|
PureBytes Links
Trading Reference Links
|
This Princeton study shows on simple examples that price changes are
not random:
A Non-Random Walk Down Wall Street
Andrew W. Lo and A. Craig MacKinlay
free text at http://press.princeton.edu/books/lo/
One should not be a Princeton professor to know that, members of
this board do know that, but still...
There is an interesting synopsis on physicists turned to market
'dynamics' in Nature (London) magazine:
http://www.nature.com/nature/journal/v415/n6867/full/415010a.html
They rediscover the same non-random nature of the market.
See also the Mathematics of Gambling by Ed Thorp
(free at) http://www.bjmath.com/bjmath/thorp/tog.htm
to see how one can use stat. anomalies in pricing to get some 10^$.
cheers-- alex
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>
> 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@xxx>
> 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
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> >
> >
> > _________________________________________________________________
> > Windows Live Messenger sur i-modeT : dialoguez avec vos amis
depuis votre
> > mobile comme sur PC ! http://mobile.live.fr/messenger/bouygues/
> >
> >
> >
> > 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
> >
> >
> >
>
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
|