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Well if you know this, then I don't know how you can flat out deny the relationship between the ACF, PACF and model stationarity. Anyway, I am not arguing for or against WFO or any of that. I am just debating the validity of using successive local fits to overcome loss of generality of...

It seems to me that you refuse to see the connection between autocorrelation, memory / persistence length, stationarity of model parameters, and model generalizability...

I am still thinking that you have mistaken local fits as a solution to overfitting. There is no free lunch ever, only trade-offs. A local fit is still an overfit in that it still has issues with generalizability. The solution to overfitting I think cannot be to overfit locally over and over...

Yes, it works in most time frames. I use it exclusively for day trading but the journals on this site show that it works very well in swing trading.

What you are saying is that a local fit is better than a global fit. That is true only in the vicinity of your local fit. Draw a best fit line through 10 years of stock data. Then draw another line through the last 6 months of data. Now which one do you think the market will follow better for...

You bring up a good point: there are perhaps 3 main elements to PA. One is to define your probability bins (events, cases) by bar-patterns. This is easy to do and easy to get stats on. Unfortunately most of these are noisy, and barely give you enough positive expectation above...

The key point here is not to propose patterns based on empirical observations but rather on a proposed mechanism of the underlying market participants. If you simply tried to find patterns with no physical mechanism in mind, humans will be slower and an inferior to a machine, I agree. But what...

I used to have the same doubts about PA until I studied thousands and thousands of charts, and observed live price action as it happens. There are definitely undeniable pivot points or SR lines where price hesitates then makes a decisive move and I am certain this is not voodoo or an illusion or...

Alternatively instead of searching for a pattern, you could simply posit an "ansatz solution" based on your hypotheses regarding buyers and sellers, informed or not, timings, market microstructure, constraints on orders due to rules, etc. etc. etc. Then check the stats on that idea. I believe...

I would say Python is my main back test engine, but because I am so used to plotting things and doing quick stats in R, I do use it a lot for just playing with an idea on a few days or a few months of data at a time. For example, I use R the very first time I want to check a new idea. So R is...

Regarding model risk, yes, there is always the problem of introducing hard-to-catch bugs or unexpected statistical errors in the translation process. But I think a lot of this can be prevented by good programming and testing habits, e.g., always check baselines or controls (cases where you know...

I have debated with myself extensively when I decided to include python into my workflow. There are a few reasons I chose to do so. First, the ability to create a class hierarchy in python means that I can create a quick library of reusable code that is well-organized. In theory I could...

Yes, there could be, but what are the odds?

I use R for analysis and some back testing, mostly prototyping new ideas and checking stats. Then I move to my python + mysql "platform" to do another level of prototyping / back-testing. Finally, I code up the best ideas for forward testing / live trading into a custom lightweight java program...

Or you could increase the chances -- trading while intoxicated sounds like a deadly combination. I thought the trader who lost billions at UBS engaged in trades after a night out drinking and partying...

The introverts invent new things and solve hard problems and get the job done while the extroverts schmooze and party. But the extroverts take all the credit so they win anyway.

Never understood these claims and I got no responses in my other HFT ES thread. So how is this supposed to happen? ES is tracking the SPX. The SPX is tracking a basket of 500 stocks. The SPX and ES move in lock step, up to tiny noise at the few seconds timeframe. So HFT is supposed to push ES...

yes, bingo -- that's why the 100-year storm is considered, because by the time the storm hits, the original designers of the building will likely be dead.

You are absolutely right about the infinities. The fact that it goes to infinity is irrelevant; it's the rate at which it goes there that counts. If you think this way, all of engineering is like trading. When you build a building, you don't expect it to last forever. In fact, you only build it...

HateTheRisk, may be you should take it easy with the bottle??? btw single malt?