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Hi,
Maybe it is time to come back with the main subject of the topic : RW.
I just posted a AFL script so you can plot Price VS Random walk in the ame
scale and fix the random number for investigation :
http://www.amibroker.com/library/detail.php?id=777
For intraday i think it is good to filter EOD gap because they are to much
strong volatility there.
Price seems to follow damn good this RW...
I think every new people here should look at this just to be aware that
cycles, trend ... all behaviour of the stock can be in fact just illusion
and can be made with random walk model.
Monte Carlo simulation are system tested with drifted RW ? Risk/portfolio
managment is the only thing we can act to control the trading... if there
are not based on price RW so :
- based on volatility ?
- based on fondamental analysis : choose stock by differencing geography,
....
- based on the drift wich is positive, but it is for long time position
hold...
You see, on the RW you can even trace some support/resistance... but what do
they mean !?
Cheers,
Mich
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