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Hi Giancarlo and others
Thanks for your emails. No I don't like the "yawning chasm" is front of me
either. As one of you said, "You either learn this stuff and get serious, or
you buy "Street Smarts" and stay simple." <G>
Anyway, the papers at the site that you mentioned ...
http://europa.eu.int/en/comm/eurostat/research/index.htm?http://europa.eu.in
t/en/comm/eurostat/research/noris4/&1
have really focused the distinction between discretionary trading systems
and method based systems ... and the problems of evaluating them.
Included in Demetra, the X-11 and X-12 ARIMA are the epitome of a
discretionary system and TRAMO/SEATS is the epitome of model based systems.
Even the usage is similar to trading, the overwhelming number of practioners
use discretionary system whereas the model is much more popular in the
academic community. "Discretionary" is of course used in the "controlled"
sense not a "cowboy" sense.
The learning curve is equally difficult both for discretionary traders and
X-11 practioners.
As to Blau's book and Brown's book I've really cut back ... to just trying
to understand the theoretical properties of moving averages as they apply to
the statistical characteristics of the data. Maybe next year I'll get to
oscillators. <G>
Best regards
Walter
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