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Re: System's & just two question for MB



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Has anyone sucessfully done/coded this? it sounds interesting... and i've
tried to write something that works but have run into a few setbacks....
anyone know if this is worth it?  thanks....
----- Original Message -----
From: Lawrence Chan <stnahc@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, June 05, 1999 1:58 PM
Subject: Re: System's & just two question for MB


>
> ok here it goes,
>
> 1. as most of you use TS, one thing most of you never tried
>    is to use TS to collect statistics! I no longer use TS
>    for any system test as it is too limited in so many way...
>    anyhow, here is something useful,
>
>    have you ever tried to "check" if a moving average is
>    really the statistical mean and the price flutuated around
>    it are really distributed in a bell curve?
>
>    define an array in TS to store cumulative counts of where
>    the price are relative to a mean (whatever you like as the
>    mid point) then at the end of the run, send the result to
>    a printlog.
>
>    you can write that as an indicator, just use a dummy plot
>    of some number to by-pass the checking.
>
>    and to send the output to printlog, for TS3/4, if I
>    remember correctly, you can just test for a specific
>    date and time which happens to be the last bar, then
>    just dump the array out.
>
> 2. results collected this way tells a lot about the
>    "reference number" you are using ...
>
>    if it is truely normally distributed over a long period of
>    time (depending on the time frame you use) - then that
>    calculation alone will make you lots of money because
>    the calculation you are using have a true mean reverting
>    behaviour!
>
> this is pure mathematical play,
> most people do not even check if the indicators they use
> really having the right properties for trading, but just
> playing with system twisting ... thus when hitted by
> a burst of bad trades based on a system (very common - this
> is called exponential arrival of events) - the account got
> wipe out ... not even knowing why!
>
> The method I mentioned is just one of the many stand
> techniques in time series analysis ... when a "reference number"
> process some other properties, or even a "reference method",
> then you know you got a statistical edge => then the system
> is just an end product of the bias.
>
> time to do some homework - check all the indicators you have
> on hand - see which has the right property you can use!
> you will be surprised ...
>
> -Lawrence Chan
> p.s. I daytrade most of the time, thus high probability is the
> name of my game!
>
> ----------
> > From: gmtac <gmtac@xxxxxx>
> >
> > ----- Original Message -----
> > From: Lawrence Chan <stnahc@xxxxxxxxx>
> >
> > > > > Mark has given out the model rules already ... if you have
> > > coded / traded something like that you would understand.
> > >
> > Hi Lawrence,
> > Mark was very nice to share with us his big experience.
> > In his emails there were a lot of true  and also some tips .
> > But there were no code(obviusly).
> > He said us :"I use close of the one hour bar  on bond market.
> > Counter Trend trading,  is the life for me.  Computer analysis shows
that
> > there are many more wiggles in commodity data than there are strait
> lines."
> > And again:"I know of no other method of trading that makes more money in
> a
> > shorter period of time if
> > done properly.
> > For me this was a big surprise!
> > My god ,was so  difficult learn to go with the trend.
> > But maybe I am wrong on what countertrend means.
> > You can sell the brekout of  yesterday high or sell a breakout of today
> high
> > but then when  and where is the exit?
> > You can enter on a dip and then exit on the previous swing high.(this
> seem
> > better but  we can't call it counter trend)
> > This kind of strategies are, for me, too much  difficult to code so I
> have
> > never tried them.
> > Ok friends, I am ready to learn somethings new.
> > Is somebody  out there so nice to post one or two counter trend
> strategies
> > for me!?
> > Come on Lowrence share something with us...  : )
> > Have  a nice sunday
> > Mario
> >
> >
>
>