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Dans un courrier daté du 19/10/98 17:16:51é Pari51 Madrid, gabeh@xxxxxxxxxxxxx
a écrit :
> I would like to expand the discussion regarding indicators. In addition
> to the problem of lag, there is a more fundamental problem. There is a
> philosophical argument which I think is applicable here: You can not
> predict A with A.
>
> For example, take the syllogism: All beagles have brown eyes. Bob has
> brown eyes, Therefore, Bob is a beagle. What went wrong? We are using
> beagles to predict beagles. This is a logical fallacy. Likewise, prices
> and indicators based on prices, contain no inherent predictive
> information and cannot be used a price predictors. Why do they seem to
> work? Two reasons are: 1) They can identify, but not predict the future
> of trends; and, 2) When a sufficient proportion of market players act
> according to a favored indicator, it becomes a self fulfilling prophecy.
> While, I'm sure you can think of additional reasons, I would argue that
> none of them support the argument that indicators are valid price
> predictors.
>
I think that you are confusing "to predict" and "to make money with
indicators"
Nothing is predictable in the market in a general manner, but there are
scenario that may fit it a great deal of time to pick a serious part of the
trend (small, big..).
A moving average is a predicting tool that works 100% of the time in the
middle of a trend where its own period is correctly set.
It will fail in 100% of the cases when a swing will occur (end of the trend).
In both cases, I would not speak of any predictive property or lack of
property related to the moving average itself.
I would only say that the ma is an useful tool under some conditions (see
above), and not at all under some others.
Making money with indicators is making rules that will allow to use them with
a serious chance to switch from one rule to another.
Most of trading systems have a few rules because we are unable to design them
with several hundred of branchs.
This is not a proof that indicators do not work, this is a prooof that we are
not able to use them with the best rules that are necessary complicated if we
want a fine tuning.
> Where does that leave us? If you were fortunate enough to take
> Statistics 101, you know that multi-linear regression analysis is
> perhaps the best tool for predicting A. It does not use A to predict A,
> but rather, it uses independent variables b, c, d, e. etc. For us, this
> means using indexes, market statistics, sentiment indicators, interest
> rates, another stock, future or group and any other independent numeric
> indicator to predict the future of A, except A itself.
>
> Does anybody doubt this? Am I going over old territory?
>
You misuse the statistics.
Indicator can work (and technical analysis too) because of the leptokurtosis
of the distribution of returns.
TA can take advantage of this to build winning trading sytems.
No need of a predictive tool to do that.
Only a powerful filter will take you after the start of the abnormal move and
keep your position after the end of this move.
The filter (the system) will be efficient if the price to pay ( sum of losses)
is less that the benefit.
Again no prediction was involved in what I wrote.
None could say that it is obvious to anyone.
Rgds,
-Pierre Orphelin
Fuzzy Beagle trader
for more information:
http://www.sirtrade.com/fuzproof.htm
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