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Hello Ton,
> BTW if you know the book of David Aronson - "Evidence Based TA" - my
remark about randomness and TA is where EBTA is all about.
Yes, I know it, really a great book, lot of precious insight into
statistics in general and into the data-mining bias in particular, I
wished I knew it earlier : )
For the ones not owning the book, this paper is an excellent start on
the data mining bias:
http://kdl.cs.umass.edu/people/jensen/papers/mlj2000.pdf
but the experiments in EBTA are much more useful for the trader ..
>I have mailed 10 time series of stocks to several technical analysts
>around the world. Most of them in the Belenux. Question was to select
>the 4 correct stocks. 6 were home made stocks with a randomizer. Of
>the 49 answers I got the result was that only 1 analyst could select
>the correct combination of 4 stocks. He could not tell me why he
>elected these stocks. Most of them or 38 had zero correct stocks, 5
>only 1 correct, 4 had 2 correct stocks and 1 had 3 correct stocks
>selected.
Interesting, there are many textbooks containing artifical price time
series following random walks, and indeed they look very real ..
Regards,
Nicolas
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