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http://www.youtube.com/watch?v=jHPOzQzk9Qo
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Still not chrystal clear, bud?
>
> I apologise for my failures as a teacher.
>
> With your permission may I try one (maybe) last time:
>
> - in Howard's QTS book he published the FDistribution for the
S&P500
> daily changes 94 - 06..... it is not normal but for my example it
is
> near enough to it.
>
> - you buy at random and exit with +- 1% as your stop/profit,
> - excluding commission
> - allowing for slippage you will get everything on Howards graph
> excluding the prices bounded within +- 1% i.e. your FDist will ==
the
> left and right tails of the near normal dist.
>
> This is a nearly exact replica of a break even coin toss because:
>
> - it is binomial (it comprises two states i.e wins and losses)
> - the value on each side of the coin has a mean (something like +-
> 1.5% as a guess).
>
>
> It is stationary:
>
> - (it can't ever change unless the S&P does something totally
> contrary to all past behaviour),
> - my 10 year history shows S&P daily close is approx 50/50 win/loss
+-
> insignificant variance,
> - it is bounded by your own rules,
> - you are highly unlikely to get favourable slippage from your
broker
> (unless it is an abherration)
> - occassional and random, wild outliers won't change the mean
result.
>
>
> How to evaluate the system?:
>
> The FDist of the samples is not normal.
> You certainly can not quantify the performance of the system on one
> backtest because the liklihood of 'one run' being representative of
> the system is very low.
>
> Knowing coin toss behaviour inside out:
>
> I could use BinomialSimulation, produce a CumFreqDist for the
> possible eq outcomes and then get a probability of risk of ruin.
>
> (I probably couldn't be bothered though and would just use some
other
> quick and dirty stats method I learnt when playing Flip!)
>
>
> ****************************************************************
>
>
> YouTube video clip from "The Life Of Brian".
>
> Outside a crowd, comprising mostly ignorant peasants, gathers.
>
> They clamour at the windows and door, shouting for Brian to come
> out, "Brian, Brian, ........ Messiah!"
>
> Brian's mother goes to the windows and door to slam them shut.
>
> "Brian, the Messiah?"
>
> "He's not the Messiah, he's just a very naughty boy!" she yells
back
> to the crowd, with finality.
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@> wrote:
> >
> > And greetings to you Howard...
> >
> > I'll get rid of all the baggage of the various previous posts on
> the old
> > thread and only focus on one tiny statement you made that seems
to
> do a
> > very good job of summarizing the gist of the subject:
> >
> > "My position is that any system that recognizes an inefficiency,
and
> > trades it profitably, removes some of that inefficiency."
> >
> > Technical traders are all about identifying and exploiting
> repetitive
> > inefficiencies in the market. Most inefficiencies are short in
> duration
> > and therefore not repetitive enough to catch with backtested
trading
> > systems before they vanish. But then some patterns
(inefficiencies)
> > persist long enough to exploit for some period of time (which
> produces
> > better results than flipping a coin).
> >
> > While (for the most part) I managed to avoid the "Great
Recession"
> of
> > the past year, I finally had to accept the fact that taking
outright
> > positions in individual stocks had become too risky for my
> disposiiton
> > because of the chicanery, hype, mis-direction and outright
> dishonesty of
> > Corporate Leaders, Analysts, Talking Heads, Money Managers, etc.
> > Perhaps Brian's repeated references to "Coin Flips" struck an
> unwelcome
> > nerve because of my recent reincarnation into a complete skeptic
of
> free
> > market management teams and the information they dis-siminate to
an
> > unsuspecting public.
> >
> > This does not mean that I do not trade however.
> >
> > I've switched to trading Options on the underlying, using various
> spread
> > strategies to mitigate as much of the risk as possible associated
> with
> > adverse price moves. I can use AB to find lists of candidates for
> > manually exploring Options strategies, but I no longer search for
> > strategies which take outright positions in the equities.
> >
> > By putting together multi-leg Options positions I can structure
some
> > pretty nice trades that have good pay-off's (when they work) and
> with
> > positions that act much like shock absorbers when the crap hits
the
> fan
> > on the underlying. That does not mean that I don't take losses
when
> > necessary... It just means that my losses no longer have a linear
> > relationship to adverse moves in the underlying.
> >
> > And finally back to your point about finding "inefficiencies", I
> have
> > found that the Options Market Makers have their fair share of
> > mis-pricing and inefficiencies which I've been able to
occasionally
> > derive profits from.
> >
> > But I am way off topic.
> >
> > Good Luck.
> >
>
------------------------------------
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