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Although I very much hate to say it, I am indeed skeptical that there are
any technical systems that work consistently. I am also convinced (see Ly's
argument) that if technical analysis ever did work, it works less well now
than it did in the past.
I would like to hear from any technical trader who can provide a complete
and independently verified list (for instance on www.timertrac.com) of his
or her trades that show a profit that beats some benchmark (say sp500) over
a consecutive period of 3 recent years.
Ly, can you explain why volatility analysis is different than technical
analysis? Can you give examples of volatility systems that might be
useful? Also, can you explain your statement regarding the "correlation
between volumes and prices?"
One example of a volatility-based system that may be successful is the
"fasttrack" approach (see for instance
http://www.greenmountainaccess.net/~wwgansz/.
really enjoying the thread!
chuck
----- Original Message -----
From: "Tom Tom" <michel_b_g@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, December 02, 2006 12:50 PM
Subject: Re: [amibroker] Re: Random Walk - step 2 - : Predicitable ?
> 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
>> >
>> >
>> >
>>
>
>
>
>
>
> _________________________________________________________________
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>
>
> 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
>
>
>
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