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Re: Seasonals and technical analysis



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On Sun, 23 Jan 2000 13:23:27 -0500, you wrote:

>As a trader, this is dangerous thinking because of the reality of
>leptokurtic distributions in market time series data. Leptokurtosis implies
>much fatter tails where all the action happens and much higher and narrower
>central portions where "nothing happens". The economic gain or damage in the
>tails can be "very interesting".

Imo, the empirical probability distribution of wins & losses does not
depend from the market behavior only, but can also be influenced
heavily by the trading strategy. Keeping this in mind, the shape of
the probability distribution should be included into the system
optimization process to find systems with less leptokurtic
distributions, which also give more freedom in terms of money
management.

mfg rudolf stricker
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