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Alex-
Thank you for this erudite explanation. Is there anyone who is able to
explain this in lay terms? The LTCM is a great example which has practical
consequences for all of us; which is why I am asking for further
clarification.
Thanks for listening.
chas
====
----- Original Message -----
From: Alex Bell <alex_bell@xxxxxxx>
To: Ira Tunik <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 03, 2002 6:20 PM
Subject: Re[2]: [RT] What happened to the Hurst cycle?
> Hello Ira,
>
> RW disproved because its basic presume disproved - prices do not
> follow log-normal distribution. their distribution is rather Pareto
> with "fat" tails. (these tails are often referred as "rare events",
> LTCM story is classical example). everyone can see it in Excel. RW
> does not "work" in common sense of this word, it may only produce good
> results on coincidental basis, by luck. same true for many other
> market theories.
>
> Best regards,
> Alex mailto:alex_bell@xxxxxxx
>
>
> Thursday, July 4, 2002, 2:47:24 AM, you wrote:
>
> IT> I can not think of any theory that has not been disproved by someone
and proved
> IT> by someone else. If the system works for you, the name means very
little or
> IT> someone else's proof that it shouldn't work. Theoretically bees can't
fly,
> IT> there is still a flat earth society and bleeding is still practiced in
certain
> IT> areas of the world, and we are going back to using maggots in health
care along
> IT> with leaches. What is this world coming to? No sooner do things
become
> IT> outmoded and proven to be of little use then someone else discovers
that they
> IT> are a far better solution then its replacement. With all of the
computer power,
> IT> analysis capability and the availability of data, I haven't seen
anything new in
> IT> trading that beats what has been used for years. Proved or disproved.
Ira.
>
> IT> Jim White wrote:
>
> >> The data and the conclusions of the data have nothing to do with the
Random
> >> Walk theory. But, yes, you are correct, recent work has disproved the
random
> >> walk theory and the mistaken caveat that the best way to invest is for
the
> >> long term.
> >> Jim
> >> ----- Original Message -----
> >> From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
> >> To: <realtraders@xxxxxxxxxxxxxxx>
> >> Sent: Wednesday, July 03, 2002 2:56 PM
> >> Subject: Re: [RT] What happened to the Hurst cycle?
> >>
> >> >
> >> > ----- Original Message -----
> >> > From: "Jim White" <jwhite43@xxxxxxx>
> >> > To: <realtraders@xxxxxxxxxxxxxxx>
> >> > Sent: Wednesday, July 03, 2002 5:51 PM
> >> > Subject: Re: [RT] What happened to the Hurst cycle?
> >> >
> >> >
> >> > > Unfortunately Norman, the data does not agree. Research has shown
tha
> >> ROI
> >> > > decreases with holding period - so taking quick profits and
compounding
> >> > the
> >> > > results is the way to maximize profits. The data is sighted in "A
Random
> >> > > Walk Down Wall Street", page 404. Of course you need a trading
> >> > methodology
> >> > > to reliably capture the short term moves.
> >> > > Jim,
> >> >
> >> > Hasn't the Random Walk theory been disproven? I think there has
since
> >> been
> >> > a sequel to the book you mentioned that disproves the Random Walk
theory.
> >> >
> >> > Regards,
> >> >
> >> > Norman
> >> > > ----- Original Message -----
> >> > > From: "Norman Winski" <nwinski@xxxxxxxxxxxxxxx>
> >> > > To: <realtraders@xxxxxxxxxxxxxxx>
> >> > > Sent: Wednesday, July 03, 2002 2:38 PM
> >> > > Subject: Re: [RT] What happened to the Hurst cycle?
> >> > >
> >> > >
> >> > > >
> >> > > > ----- Original Message -----
> >> > > > From: "Jim White" <jwhite43@xxxxxxx>
> >> > > > To: <realtraders@xxxxxxxxxxxxxxx>
> >> > > > Sent: Wednesday, July 03, 2002 5:16 PM
> >> > > > Subject: Re: [RT] What happened to the Hurst cycle?
> >> > > >
> >> > > >
> >> > > > > I have followed the discussion on Hurst cycles with silence but
now
> >> I
> >> > > > > believe it is time to speak up.
> >> > > > > The Hurst book actually has some very significant content
however
> >> his
> >> > > > basic
> >> > > > > premise has been proven to be incorrect. Hurst presents several
> >> > > statements
> >> > > > > with out verification. For example " The impact of wars, global
> >> > > financial
> >> > > > > crisis, and all other similar events on market price action is
> >> utterly
> >> > > > > negligible." It has been shown through the application of
chaotic
> >> > models
> >> > > > > that these impulses do have an impact although they are limited
in
> >> > their
> >> > > > > duration.
> >> > > > > The use of static cycles to forecast future price movement is
also
> >> > > doomed
> >> > > > to
> >> > > > > failure. There have been many attempts to duplicate and
forecast
> >> price
> >> > > > > action with composite static cycles and all have failed simply
> >> because
> >> > > the
> >> > > > > market is not composed of static cycles. Even an attempt to
> >> determine
> >> > > the
> >> > > > > current dominant cycles will fail because the cycles will
change due
> >> > to
> >> > > > > lateset conditions. The new information may or may not be in
the
> >> > > direction
> >> > > > > of the old cycles.A much more likely composition, also
supported by
> >> > > > studies
> >> > > > > of chaotic models, is that the market is composed of dynamic
cycles
> >> > with
> >> > > > > diminishing amplitude. Since these cycles are always changing,
due
> >> to
> >> > > the
> >> > > > > latest impulse to impact the market, they are predictable only
in
> >> the
> >> > > very
> >> > > > > short term. The real value of Hurst's work is to show that
profits
> >> are
> >> > > > > maximized by short term trading.
> >> > > > > Jim White
> >> > > >
> >> > > > Jim,
> >> > > >
> >> > > > I was going to stay out of this until your last statement ". The
real
> >> > > value
> >> > > > of Hurst's work is to show that profits are > maximized by short
term
> >> > > > trading." Most of the studies I have seen indicate that the more
you
> >> > > trade
> >> > > > the greater your risk of ruin. Each time you trade you take a
risk.
> >> The
> >> > > more
> >> > > > you trade, the greater the risk. Very few of the really big
traders -
> >> > > > investors such as George Soros or Warren Buffett made their money
> >> doing
> >> > > alot
> >> > > > of short term trades. The big money is made riding the big moves
and
> >> not
> >> > > > getting in and out. Some of the saviest traders I met during my
> >> Chicago
> >> > > days
> >> > > > made their big money on a few big moves. The short term trading
was
> >> > just
> >> > > > rent money. I propose to ammend the above statement to read,
"...that
> >> > > > brokers profits are maximized by short term trading."
> >> > > >
> >> > > > Regards,
> >> > > >
> >> > > > Norman
> >> > > >
> >> > > >
> >> > > >
> >> > > > > ----- Original Message -----
> >> > > > > From: "Clyde Lee" <clydelee@xxxxxxxxxxxx>
> >> > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> >> > > > > Sent: Wednesday, July 03, 2002 10:34 AM
> >> > > > > Subject: Re: [RT] What happened to the Hurst cycle?
> >> > > > >
> >> > > > >
> >> > > > > > More likely the parameters for generation of the prediction
of
> >> > > > > > the cycle were wrong.
> >> > > > > >
> >> > > > > > We will have to wait for the Centered Moving Averages to
catch
> >> > > > > > up with the data to make the kind of judgment you have made
> >> > > > > > with insufficient data.
> >> > > > > >
> >> > > > > > Remember, the REALTIME values for the Hurst channels are an
> >> > > > > > ATTEMPT to predict what the real values of the CMAs will be
> >> > > > > > and that ATTEMPT to estimate can be really wrong at times.
> >> > > > > >
> >> > > > > > Everyone needs to understand that the attempt to estimate the
> >> > > > > > realtime CMA values is strictly that -- an attempt.
Currently we
> >> > > > > > are using classical Fourier analysis and have limited
ourselves
> >> > > > > > to only 3 components to construct envelopes. We may be
> >> > > > > > using too many or too few -- at this stage in development I
> >> > > > > > do not have a good feeling of what it takes to better match
the
> >> > > > > > eventual values of the CMAs but you can bet we are still
> >> > > > > > working on it.
> >> > > > > >
> >> > > > > > Clyde
> >> > > > > >
> >> > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >> > > > > > Clyde Lee Chairman/CEO (Home of SwingMachine)
> >> > > > > > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> >> > > > > > 7910 Westglen, Suite 105 Office: (713) 783-9540
> >> > > > > > Houston, TX 77063 Fax: (713) 783-1092
> >> > > > > > Details at: www.theswingmachine.com
> >> > > > > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >> > > > > >
> >> > > > > > ----- Original Message -----
> >> > > > > > From: "bondo92677" <bruce.larson@xxxxxxxxxxxxx>
> >> > > > > > To: <realtraders@xxxxxxxxxxxxxxx>
> >> > > > > > Sent: Wednesday, July 03, 2002 12:25 PM
> >> > > > > > Subject: [RT] What happened to the Hurst cycle?
> >> > > > > >
> >> > > > > >
> >> > > > > > > I guess we fell into the 10% of the time its wrong.
> >> > > > > > >
> >> > > > > > >
> >> > > > > > > To unsubscribe from this group, send an email to:
> >> > > > > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >> > > > > > >
> >> > > > > > >
> >> > > > > > >
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> >> > > > > > >
> >> > > > > > >
> >> > > > > > >
> >> > > > > >
> >> > > > > >
> >> > > > > >
> >> > > > > > To unsubscribe from this group, send an email to:
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> >> > > > > >
> >> > > > > >
> >> > > > > >
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