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Mich. I replied to this interesting post on the amibroker-ts group.
chuck
----- Original Message -----
From: "Tom Tom" <michel_b_g@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, December 07, 2006 9:53 PM
Subject: [amibroker] Re: Random Walk - step 2 - : Predicitable ?
> 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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