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the application to trading is probably similar to the random walk index.
This was written up in TASC about 1993. Metastock has a random walk
indicator,but this is a sort of oscillator and doesn't provide the same
information as the random walk index as written up in TASC. It is
impossible to program this in the present versions of Metastock. It should
be possible to program this into a spreadsheet and use visual basic
routines to simplify the calculation process.
Lionel Issen
At 03:15 PM 9/5/97 -0400, Steve Burns wrote:
>John,
>
>In layman's terms, the theory is applied to such things as flipping a
coin. Depending on the outcome of past occurrences (heads or tails), an
optimum time to stop is determined from a risk/reward standpoint based on a
finite number of random variables. Interestingly, the calculations are
independent of future occurrences. Future independence is a unique and
powerful attribute of this theory.
>
>An analogy of the "secretary problem" (see section 3.2f) and a "stock
trade" is as follows:
>A trader is faced with the problem of exiting a trade after N number of
intervals (minutes, days, weeks etc.). She gets the data one at a time
(closing price). Once a data is rejected it can not be traded (yesterdays
price). And so on......
>
>Also, consider the G. Elfving problem of Chapter 5, Section 4. The analogy
is as follows:
>A trader has an open position which is consolidating sideways. He receives
closing prices he must accept or reject. The longer he waits, the more
money market interest or alternative trade profit he loses by being in the
open position. What should he do????
>
>Comments?
>PS. I have the republished version - Dover press ISBN 0-486-66650-6.
>
>
>----------
>From: John Sweeney S&C
>Sent: Friday, September 05, 1997 1:53 PM
>To: metastock-list@xxxxxxxxxxxxx
>Subject: RE: The Theory Of Optimal Stopping
>
>Why do you think this applies to market indicator parameters? And how?
>
>[By the way, the books was also republished in 1991 ($6.95 from Amazon)]
>
>John
>
>>I purchased a book recently titled "The Theory Of Optimal Stopping" by Y.
>>S. Chow et. al. published in 1971. Searching the net revealed the theory
>>has been advanced the last two decades mainly applied to optimizing Monte
>>Carlo run time parameters. It seems to me the theory can be applied to
>>market indicator parameters as well. Does anyone know about this?
>
>
>John Sweeney, Tech. Editor Technical Analysis of Stocks & Commodities
>Technical Analysis, Inc. The Traders' Magazine
>4757 California Ave. S.W. Phone: 206 938-0570 Fax: 206 938-1307
>Seattle, WA 98116-4499 USA Web: http://www.traders.com/
>____________________________________________________________________
>Contents may not reflect official opinion of Technical Analysis, Inc.
>
>
>
>
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