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Interesting post, and also thanks for the links, Mich.
In response... the financial firms in the US generally (not all)
claim that the expertise of their money managers will make their
clients money... and when describing the trading strategies of these
money managers, the strategies steer clear of TA, and point toward
fundamental analysis instead -- sector analysis, projected EPS, cash
flow, etc. The consensus for the most part among these firms is that
TA is witchcraft and does not work.
Some of the trading systems located at the following links are
automated and make money consistently without human intervention...
see --
http://www.collective2.com
http://www.traderscue.com
http://www.timertrac.com/Public/Investors.asp
http://www.systemrank.com
One thing people often forget is that a trading system may be
created by combining a collection of automated trading systems. The
system that trades at any given moment may be selected according to
various market environment factors. A combnation of systems may also
be traded in the same way.
I have stopped looking for "scientific evidence" that TA works,
because I have personally experienced that it works, consistently,
for myself. Remember, too, that science has failed to identify solid
matter -- each time a subatomic partical is broken into, it reveals
smaller particals that are made up of "probability fields." Yet, we
still live and fucntion within an entire paradigm that makes the
grand assumption that we and everything around us "really exists."
I'd write more but I have to eat dinner now.
Thanks,
~Bman
--- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@xxx> wrote:
>
> 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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