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At 3:33 PM -0400 8/3/98, Neil Harrington wrote:
>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).
>
>Does anyone have any thoughts on that apparent paradox?
At 6:01 PM -0400 8/3/98, Steven Buss wrote:
>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.
I agree that most markets have fractal characteristics but they also have
characteristics unique to different time frames.
For example, look at a daily chart of the S&P cash index. You can easily
see that local lows tend to occur about 10 bars apart.
Now look at a 45 min chart of the same market (9 times the resolution). Do
lows occur 10 bars apart? Nope. More like 45 bars apart which is near the
same dates/times they appear on the daily chart.
I think random behavior tends to be fractal and most tradable behavior
tends to be time related. So trading systems probably have to be designed
with a specific time compression in mind.
Bob Fulks
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