Re: Seasonals and technical analysis

["Walter Lake" <wlake@xxxxxxxxx>]

Hi Rudolf

I enjoyed your posting ...

"...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, ..."

Why? That's where all of action happens. No leptokurtosis ... no cash, no
flame-outs.

I'd hate to lose those home grown Hill-Billy systems with the picturesque
quality of an East LA home made of cemented together beer bottles. A "labour
of love" worthy of any "her story" from the Womans' Television Network.

Best regards

Walter

----- Original Message -----
From: "rudolf stricker" <lists@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Friday, June 04, 1999 1:50 PM
Subject: Re: Seasonals and technical analysis


| 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
| | Disclaimer: The views of this user are strictly his own.
|