This Princeton study shows on simple examples that price changes are not random: A Non-Random Walk Down Wall Street Andrew W. Lo and A. Craig MacKinlay free text at http://press.princeton.edu/books/lo/ One should not be a Princeton professor to know that, members of this board do know that, but still... There is an interesting synopsis on physicists turned to market 'dynamics' in Nature (London) magazine: http://www.nature.com/nature/journal/v415/n6867/full/415010a.html They rediscover the same non-random nature of the market. See also the Mathematics of Gambling by Ed Thorp (free at) http://www.bjmath.com/bjmath/thorp/tog.htm to see how one can use stat. anomalies in pricing to get some 10^$.
cheers-- alex --- In [email protected], "cstrader" <[EMAIL PROTECTED]> wrote: > > Although I very much hate to say it, I am indeed skeptical that there are > any technical systems that work consistently. I am also convinced (see Ly's > argument) that if technical analysis ever did work, it works less well now > than it did in the past. > > I would like to hear from any technical trader who can provide a complete > and independently verified list (for instance on www.timertrac.com) of his > or her trades that show a profit that beats some benchmark (say sp500) over > a consecutive period of 3 recent years. > > Ly, can you explain why volatility analysis is different than technical > analysis? Can you give examples of volatility systems that might be > useful? Also, can you explain your statement regarding the "correlation > between volumes and prices?" > > One example of a volatility-based system that may be successful is the > "fasttrack" approach (see for instance > http://www.greenmountainaccess.net/~wwgansz/. > > really enjoying the thread! > > chuck > > > ----- Original Message ----- > From: "Tom Tom" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Saturday, December 02, 2006 12:50 PM > Subject: Re: [amibroker] Re: Random Walk - step 2 - : Predicitable ? > > > > 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! Groups Links > >> > > >> > > >> > > >> > > > > > > > > > > > > _________________________________________________________________ > > Windows Live Messenger sur i-modeT : dialoguez avec vos amis depuis votre > > mobile comme sur PC ! http://mobile.live.fr/messenger/bouygues/ > > > > > > > > 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! Groups Links > > > > > > >
