Hi Bman, Sure there is psychological and human behaviour in this game, and it has to be considered.
But the financial instition should say us "yes it is predictable"... so we put all our money on the market for them. If they say, "it is random walk" people will leave the market and give less money to it. It need to be balanced i think...maybe yes maybe not, so mystery is keep and financial institution have maximum cards to play in their hand. I aggree 100% with Chuck about this line "technical analysis has not been validated in controlled studies"... It is true, i have never read (if someone know where to find, i am very interrested, thx) a clean scientific demonstration about winning trading system... nor an old mechanical trader publish any trading reconstruction based on real trade winned by his trading system and showing precise reports and indicator used... and it frighten me sometimes, because maybe after all the winner we show us are only a small part of the people which take a big risk and win (big risk = big return if lucky = good trader ?). Those who take a big risk and did'nt win are no more here. Statically, on all the trader over the world, their is some who can be lucky and win 10 years , 20 or more consecutive years... few people... but possible. Are their technics consistent ? Do they adapt their technics over the time ? (so profit cannot be consistent because we cannot for sure have a good trading system everytime). Why not a book on a big trading looser ? : )) so trader (bad or good) would make money not by trading but by publishing book héhé. YES we can make money on the market it is a fact, but we have to be very... very... very carrefull i think if we want it to be consitent over the time. The hard compromises we face is : Commission / Returns and Risk / Profit expected. Their is are two book on the subject, i find the title funny : 1- A random walk down wall street, by Burton G. Malkiel http://people.brandeis.edu/~yanzp/Study%20Notes/A%20Random%20Walk%20down%20Wall%20Street.pdf 2- A non-random walk down wall street, bu Andrew W.Lo and A. Craig MacKinlay http://www.amazon.com/Non-Random-Walk-Down-Wall-Street/dp/0691092567 It show well the problem. I did'nt read the first one (just the abstract) I just read fastly thez second one. Very good, go deep in the problem with mathematic backgound to show assumption which are made inside. First one say from its abstarct : "this is random walk, and all that we can do is good managing of risk" Second one say : "this is not random walk because volatility don't follow random walk model" All seems about volatility : First one : risk managment = manage portfolio gievn the volatility (=risk). Second one : volatility is not random So to go deep on the subject : Does someones here make pure volatility based trading system on Amibroker ? Can we have his feeling about that ? Cheers, Mich. ----- Original Message ----- From: brpnw1 To: [email protected] Sent: Saturday, December 02, 2006 5:36 PM Subject: [amibroker] Re: Random Walk - step 2 - : Predicitable ? The fact that people make consistent money off the stock market is evidence that the markets are not random. It appears that self- purported "experts" who likely work for large financial firms will go to great lengths to use data to help people forget that the markets are not random -- of course it's not random, because people are making consistent wins off the market, using technical analysis. People such as John Ehlers, for example, who have created black box mehods that will always profit from the market, without any human intervention. These financial firms have everything to gain by demonstrating that technical analysis is an illusion. They want to handle your money so they can make their profits. Don't ever believe them. They want you to ride out the long-term dips in the market without ever moving your money. They make more money if you don't move your money. The compliance portion of the financial industry goes to greath lengths to make sure that once they have your money, very few people in the financial world can actually use technical analysis to make you regular profits. Try getting a job as a financial planner, based on your ability to make people money using technical analysis -- you'll never get near a desk at any firm. They don't want you to contradict the BS that they feed the masses. In order for financial firms to make money off you, they have to make you lose money. Somebody always loses in the stock market. They just want to make sure it's you. So continue to seek out technical analysis to make consistent gains in the market. Regularly read articles written by people who are already doing this successfully, so you don't lose track of reality, since the financial firms are rich enough to produce a very convincing BS argument. ~Bman --- In [email protected], "cstrader" ...> wrote: > >Hi Tom Tom: > >Yes, an interesting article. I was particularly intrigued by this line: > >"technical analysis has not been validated in controlled studies " > >Is there any evidence that what we are trying to do might ever work? How >could we prove that it does? > >chuck > >----- Original Message ----- From: "Tom Tom" ...> >To: <[email protected]> >Sent: Friday, December 01, 2006 5:12 PM >Subject: [amibroker] Random Walk - step 2 - : Predicitable ? > > > > To go on dicussion about random walk, nice article at the middle of this > > page : > > > > http://www.duke.edu/~rnau/411georw.htm > > > > Combine: Random Walk and Prediction. > > Technical analysis... usefull ? Financial information ... usefull ? Even > > illegal information (hidden to public) .. usefull ? Last one maybe. > > Others, > > humm.... > > This is what about deals this article. > > > > For me, next theory could be a Chaotic Fractal Near-Random Walk... : )) > > Chaotic : because spurious peak in the data wich can initiate further > > mouvment > > Fractal : year, month, day, hour, minute, sec... same patterns > > Near-Random Walk : Random Walk but predictable, because i don't think > > price > > move randomly... > > If they move randomly... tehnical or fundamental analysis are useless, so > > there is no mean to try to trade at all, (only to give commission to the > > broker héhé). > > > > Seriously, from this article, what seems emerging from last years, is that > > price is random walk, but volatility maybe not... It is well explained in > > the article. Arch and Garch model are mentionned. > > Someone try this on AB ? Trade based only about volatility prediction (so > > predict risk, and manage portfolio depending those prediction about > > volatility)... and so don't bother with the price random-walk ? > > > > > > Cheers, > > Mich > > > > __________________________________________________________ > > Les révélations de la starac 6 commentées par Jérémy! > > http://starac2006.spaces.live.com/ > > > > > > > > Please note that this group is for discussion between users only. > > > > To get support from AmiBroker please send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > Yahoo! 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