|
PureBytes Links
Trading Reference Links
|
Hi Bman,
Sure there is psychological and human behaviour in this game, and it has to
be considered.
But the financial instition should say us "yes it is predictable"... so we
put all our money on the market for them. If they say, "it is random walk"
people will leave the market and give less money to it.
It need to be balanced i think...maybe yes maybe not, so mystery is keep and
financial institution have maximum cards to play in their hand.
I aggree 100% with Chuck about this line "technical analysis has not been
validated in controlled studies"...
It is true, i have never read (if someone know where to find, i am very
interrested, thx) a clean scientific demonstration about winning trading
system... nor an old mechanical trader publish any trading reconstruction
based on real trade winned by his trading system and showing precise reports
and indicator used... and it frighten me sometimes, because maybe after all
the winner we show us are only a small part of the people which take a big
risk and win (big risk = big return if lucky = good trader ?). Those who
take a big risk and did'nt win are no more here.
Statically, on all the trader over the world, their is some who can be lucky
and win 10 years , 20 or more consecutive years... few people... but
possible. Are their technics consistent ? Do they adapt their technics over
the time ? (so profit cannot be consistent because we cannot for sure have a
good trading system everytime).
Why not a book on a big trading looser ? : )) so trader (bad or good) would
make money not by trading but by publishing book héhé.
YES we can make money on the market it is a fact, but we have to be very...
very... very carrefull i think if we want it to be consitent over the time.
The hard compromises we face is : Commission / Returns and Risk / Profit
expected.
Their is are two book on the subject, i find the title funny :
1- A random walk down wall street, by Burton G. Malkiel
http://people.brandeis.edu/~yanzp/Study%20Notes/A%20Random%20Walk%20down%20Wall%20Street.pdf
2- A non-random walk down wall street, bu Andrew W.Lo and A. Craig MacKinlay
http://www.amazon.com/Non-Random-Walk-Down-Wall-Street/dp/0691092567
It show well the problem.
I did'nt read the first one (just the abstract)
I just read fastly thez second one. Very good, go deep in the problem with
mathematic backgound to show assumption which are made inside.
First one say from its abstarct : "this is random walk, and all that we can
do is good managing of risk"
Second one say : "this is not random walk because volatility don't follow
random walk model"
All seems about volatility :
First one : risk managment = manage portfolio gievn the volatility (=risk).
Second one : volatility is not random
So to go deep on the subject :
Does someones here make pure volatility based trading system on Amibroker ?
Can we have his feeling about that ?
Cheers,
Mich.
----- Original Message -----
From: brpnw1
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, December 02, 2006 5:36 PM
Subject: [amibroker] Re: Random Walk - step 2 - : Predicitable ?
The fact that people make consistent money off the stock market is
evidence that the markets are not random. It appears that self-
purported "experts" who likely work for large financial firms will
go to great lengths to use data to help people forget that the
markets are not random -- of course it's not random, because people
are making consistent wins off the market, using technical analysis.
People such as John Ehlers, for example, who have created black box
mehods that will always profit from the market, without any human
intervention.
These financial firms have everything to gain by demonstrating that
technical analysis is an illusion. They want to handle your money so
they can make their profits. Don't ever believe them. They want you
to ride out the long-term dips in the market without ever moving
your money. They make more money if you don't move your money. The
compliance portion of the financial industry goes to greath lengths
to make sure that once they have your money, very few people in the
financial world can actually use technical analysis to make you
regular profits. Try getting a job as a financial planner, based on
your ability to make people money using technical analysis -- you'll
never get near a desk at any firm. They don't want you to contradict
the BS that they feed the masses.
In order for financial firms to make money off you, they have to
make you lose money. Somebody always loses in the stock market. They
just want to make sure it's you.
So continue to seek out technical analysis to make consistent gains
in the market. Regularly read articles written by people who are
already doing this successfully, so you don't lose track of reality,
since the financial firms are rich enough to produce a very
convincing BS argument.
~Bman
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" ...> wrote:
>
>Hi Tom Tom:
>
>Yes, an interesting article. I was particularly intrigued by this
line:
>
>"technical analysis has not been validated in controlled studies "
>
>Is there any evidence that what we are trying to do might ever
work? How
>could we prove that it does?
>
>chuck
>
>----- Original Message ----- From: "Tom Tom" ...>
>To: <amibroker@xxxxxxxxxxxxxxx>
>Sent: Friday, December 01, 2006 5:12 PM
>Subject: [amibroker] Random Walk - step 2 - : Predicitable ?
>
>
> > To go on dicussion about random walk, nice article at the middle
of this
> > page :
> >
> > http://www.duke.edu/~rnau/411georw.htm
> >
> > Combine: Random Walk and Prediction.
> > Technical analysis... usefull ? Financial information ...
usefull ? Even
> > illegal information (hidden to public) .. usefull ? Last one
maybe.
> > Others,
> > humm....
> > This is what about deals this article.
> >
> > For me, next theory could be a Chaotic Fractal Near-Random
Walk... : ))
> > Chaotic : because spurious peak in the data wich can initiate
further
> > mouvment
> > Fractal : year, month, day, hour, minute, sec... same patterns
> > Near-Random Walk : Random Walk but predictable, because i don't
think
> > price
> > move randomly...
> > If they move randomly... tehnical or fundamental analysis are
useless, so
> > there is no mean to try to trade at all, (only to give
commission to the
> > broker héhé).
> >
> > Seriously, from this article, what seems emerging from last
years, is that
> > price is random walk, but volatility maybe not... It is well
explained in
> > the article. Arch and Garch model are mentionned.
> > Someone try this on AB ? Trade based only about volatility
prediction (so
> > predict risk, and manage portfolio depending those prediction
about
> > volatility)... and so don't bother with the price random-walk ?
> >
> >
> > Cheers,
> > Mich
> >
> > __________________________________________________________
> > Les révélations de la starac 6 commentées par Jérémy!
> > http://starac2006.spaces.live.com/
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
>
_________________________________________________________________
Windows Live Messenger sur i-mode? : dialoguez avec vos amis depuis votre
mobile comme sur PC ! http://mobile.live.fr/messenger/bouygues/
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.430 / Virus Database: 268.15.4/563 - Release Date: 12/2/2006 9:59 AM
|