http://www.youtube.com/watch?v=jHPOzQzk9Qo
--- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Still not chrystal clear, bud? > > I apologise for my failures as a teacher. > > With your permission may I try one (maybe) last time: > > - in Howard's QTS book he published the FDistribution for the S&P500 > daily changes 94 - 06..... it is not normal but for my example it is > near enough to it. > > - you buy at random and exit with +- 1% as your stop/profit, > - excluding commission > - allowing for slippage you will get everything on Howards graph > excluding the prices bounded within +- 1% i.e. your FDist will == the > left and right tails of the near normal dist. > > This is a nearly exact replica of a break even coin toss because: > > - it is binomial (it comprises two states i.e wins and losses) > - the value on each side of the coin has a mean (something like +- > 1.5% as a guess). > > > It is stationary: > > - (it can't ever change unless the S&P does something totally > contrary to all past behaviour), > - my 10 year history shows S&P daily close is approx 50/50 win/loss +- > insignificant variance, > - it is bounded by your own rules, > - you are highly unlikely to get favourable slippage from your broker > (unless it is an abherration) > - occassional and random, wild outliers won't change the mean result. > > > How to evaluate the system?: > > The FDist of the samples is not normal. > You certainly can not quantify the performance of the system on one > backtest because the liklihood of 'one run' being representative of > the system is very low. > > Knowing coin toss behaviour inside out: > > I could use BinomialSimulation, produce a CumFreqDist for the > possible eq outcomes and then get a probability of risk of ruin. > > (I probably couldn't be bothered though and would just use some other > quick and dirty stats method I learnt when playing Flip!) > > > **************************************************************** > > > YouTube video clip from "The Life Of Brian". > > Outside a crowd, comprising mostly ignorant peasants, gathers. > > They clamour at the windows and door, shouting for Brian to come > out, "Brian, Brian, ........ Messiah!" > > Brian's mother goes to the windows and door to slam them shut. > > "Brian, the Messiah?" > > "He's not the Messiah, he's just a very naughty boy!" she yells back > to the crowd, with finality. > > > > > > > > --- In [email protected], "Phsst" <phsst@> wrote: > > > > And greetings to you Howard... > > > > I'll get rid of all the baggage of the various previous posts on > the old > > thread and only focus on one tiny statement you made that seems to > do a > > very good job of summarizing the gist of the subject: > > > > "My position is that any system that recognizes an inefficiency, and > > trades it profitably, removes some of that inefficiency." > > > > Technical traders are all about identifying and exploiting > repetitive > > inefficiencies in the market. Most inefficiencies are short in > duration > > and therefore not repetitive enough to catch with backtested trading > > systems before they vanish. But then some patterns (inefficiencies) > > persist long enough to exploit for some period of time (which > produces > > better results than flipping a coin). > > > > While (for the most part) I managed to avoid the "Great Recession" > of > > the past year, I finally had to accept the fact that taking outright > > positions in individual stocks had become too risky for my > disposiiton > > because of the chicanery, hype, mis-direction and outright > dishonesty of > > Corporate Leaders, Analysts, Talking Heads, Money Managers, etc. > > Perhaps Brian's repeated references to "Coin Flips" struck an > unwelcome > > nerve because of my recent reincarnation into a complete skeptic of > free > > market management teams and the information they dis-siminate to an > > unsuspecting public. > > > > This does not mean that I do not trade however. > > > > I've switched to trading Options on the underlying, using various > spread > > strategies to mitigate as much of the risk as possible associated > with > > adverse price moves. I can use AB to find lists of candidates for > > manually exploring Options strategies, but I no longer search for > > strategies which take outright positions in the equities. > > > > By putting together multi-leg Options positions I can structure some > > pretty nice trades that have good pay-off's (when they work) and > with > > positions that act much like shock absorbers when the crap hits the > fan > > on the underlying. That does not mean that I don't take losses when > > necessary... It just means that my losses no longer have a linear > > relationship to adverse moves in the underlying. > > > > And finally back to your point about finding "inefficiencies", I > have > > found that the Options Market Makers have their fair share of > > mis-pricing and inefficiencies which I've been able to occasionally > > derive profits from. > > > > But I am way off topic. > > > > Good Luck. > > >
