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Here is the percentage graph again, this time out to 5000 steps, it does not appear the drift is eliminated by using percentages, though I may be misinterpreting MAESTROs post.

Now here is the last one again, except this time using % change as suggested, slightly more conformity to the shape of the theoretical curve can be seen at the top of the curve.

...and here is another one on a different market.

Here are the is the same study that dtrader did, except this is on forex data. The same characteristics that dtrader discussed can be seen.

Without actually doing the calculation, just thinking about what it would mean logically if the measured expectation was smaller for instance, I guess this would constitute a violation of the 'p+q=1 and n1+n2=N' preconditions for deriving the equation. Quite how this could be turned into an...

OK, I have to work the 'day job' now (NZ time), but I'll work on this tonight.

I'll think this though, but I only have access to 1min data and at first glance it would be difficult to know how many 1 point steps are contained in a single OHLC candle.

Ok, I'll make a random observation, it seems interesting that the formula for the expectation value of the absolute distance only depends on the number of steps, not any of the other parameters of the walk. The text at the bottom of the page is also interesting 'Tóth (2000) has proven that...

Here is some background on the quoted formula. http://mathworld.wolfram.com/RandomWalk1-Dimensional.html.

I have to disagree, whilst ericp may not have posted actual systems some of his posts have been immensely helpful in terms of general approaches, for me anyway.

Off topic, I was checking out your website, may I ask what you are using to draw your graphs in your .NET GUI?

Hi MAESTRO, I am still confused by the usage of the term 'natural spline', will not a cubic natural spline interpolate all the given points in a set? If so, how can one measure the deviations?

Acrary, dtrader98, Dustin, EricP, MAESTRO.

Hey there, I glanced at your spreadsheet, you appear to be using a cumulative random walk, this is incorrect as per the instructions given a few posts ago.

Yep, they are percentages, sorry, I should have mentioned this. Currently thinking... Edit: Feeling kind of dumb as it's late in the day here, but I guess the thing which leaps to mind is that the percentages are consistently below 50%, your rule as I interpret it is 'will there be a...

Ok, reworked it a bit... Code: int main(int argc, char *argv[]) { int pos = 0; int neg = 0; int num_trials = 0; for(int z = 0; z < 10; ++z) { for(int j = 0; j < 10; ++j) { std::vector<double> run; for(int i = 0; i < 1000; ++i) {...

Stupid question, the median is going to pretty much be zero for any stationary time series right? So I replaced 'median' with '0', but I still get pretty much the same result...just re-checking the other stuff now. Edit: Here is the code int main(int argc, char *argv[]) { int pos =...

Ok, that clears things up a bit, here are some runs... POS:37.41 NEG:37.84 POS:37.455 NEG:37.535 POS:37.3067 NEG:37.5267 POS:37.3 NEG:37.68 POS:37.336 NEG:37.602 POS:37.48 NEG:37.5167 POS:37.5314 NEG:37.4857 POS:37.5038 NEG:37.44 POS:37.5078 NEG:37.4411 POS:37.533 NEG:37.496 Also...

Is the medium "the medium for the last n innovations"? If so then isn't the value of n going to heavily affect the result? Here are some sample runs with 1000 innovation, median length 40, repeat 10x. POS:24.75 NEG:25.75 POS:25.58 NEG:25.62 POS:26.37 NEG:24.77 Discarding the fact I...

This book http://www.amazon.com/Handbook-Analysis-Processing-Dynamics-Applications/dp/0125609906/ref=sr_1_3?ie=UTF8&s=books&qid=1258141096&sr=1-3 has pascal code for natural cubic splines & smoothing splines, if you know a little matrix algebra you should be able to put something together with...