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I feel I led some people here astray. I want to say that no single
indicator may be used to predict the market 100% of the time. If it
existed, we would know about it, because it would be our holy grail
and it's all we would talk about here.
What I have been trying to say is that a number of different TA
systems are required to make an "uber" system that contains them
all. The "uber" system contains decision-making code that taps into
such things as market breadth, open interest, and trend detection --
all for the purpose of emulating the human decision-making process
regarding which technical indicators to use.
The key is not in the depth of the indicator code complexity. It's
in emulating the human decision-making process regarding which
indicators to use at any given time.
There should even, perhaps, be a separate AFL library or library
section that focuses strictly on code that emulates the decision-
making process. It would do everyone well to stop pursuing the math
and engineering skills, and begin pursuing the ability to break down
the decision-making process regarding which TA indicator
combinations to use for different situations.
After testing thousands of indicators and combinations of indicators
over the last 6 years, I can now say my best indicators are the
simplest ones, some of which are ones that were handed to me in my
first month or two of playing with Amibroker. The hard part has been
in getting the trading experience under my belt so that I can code
the decision-making process mentioned above.
Thanks for reading,
Namaste,
~Bman
--- 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
> >
> >
> >
>
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