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Comments inserted below.
Steven Buss
Walnut Creek, CA
sbuss@xxxxxxxxxxx
"There's nothing more practical than good theory."
-----Original Message-----
From: Neil Harrington <njh@xxxxxxxxx>
To: 'Steven Buss' <sbuss@xxxxxxxxxxx>; 'Timothy Morge'
<tmorge@xxxxxxxxxxxxxxx>
Cc: 'Neal T. Weintraub' <thevindicator@xxxxxxxxxxx>; omega-list@xxxxxxxxxx
<omega-list@xxxxxxxxxx>
Date: Monday, August 03, 1998 12:36 PM
Subject: RE: Trading as a way to financial success (a reply)
>Steven,
snip
>
>This flow of logic begs a question from an earlier post of yours, where you
>state that the markets are fractal, but also that systems perform sometimes
>significantly differently in different time frames.
>
>I don't disagree with your observations, but those seem to be conflicting
>pieces of information. If the markets have a truly fractal nature, then
>systems should perform similarly in different time frames (unless
commission
>and slippage become too significant in smaller time frames).
I believe what I said was that, to my eye, some timeframe bars "looked"
different than other timeframe bars. I think a careful reading of my
previous post on the variances across timeframes for the same market would
show that what I was trying to do was to suggest that there MAY be a
difference. I was asking whether there was empirical work on the subject.
And I proposed two mathematical expressions that constituted a first feeble
attempt to specify how one might get at the question.
My note didn't create much exciting discussion so I won't go on about this
here...
Suffice to say that the markets are fractal. But I have no idea whether
different timeframes have PRECISELY the same structure. It seems to me that
it would be surprising if they had PRECISELY the same structure. Maybe the
question is really whether they have a different enough structure to take
into consideration for trading. The good news is that this is an empirical
question.
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