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This whole Fractal Theory that you guys are rallying behind is in the realm of Bob Prechter and Elliot Wave. By that I mean this method goes no further than an intuition that market data is fractal in nature. There is no formalism or testable hypothesis with which to base any conclusions on. I...

If I blindly gave you guys data series chosen to have Hurst exponents of -.75, 0.5, and .75, you would still be drawing these stupid lines all over the graphs without a clue.

Actually it's because you have no theoretical foundation upon which to base your ideas or provide any scientific rigor. Good day!

"I am not interested in meeting demands for proof or debating the validity of these materials. I feel the burden of obtaining sufficient proof or judging these concepts as incomprehensible and/or false resides on each individual for themselves." Why not? Why can't you state a formal hypothesis...

I generally think their market theory is pretty sound, i.e. underlying movement is random (geometric brownian motion), law of large numbers, IV rank etc. I don't generally trade options. So, how does one trade probabilistically without using options? Buy low/sell high?

The IV smile may be steepening toward the further OTM strike.

I wish markets would become more Gaussian, i.e. no skew and kurtosis in their distributions. That's easy to deal with. X = exp(sigma*t*x)*S where X = future price sigma = volatility t = annualized time x = standard deviations S = current price x =1.282 stddev = 90% winners (at expiration of...

The only function of economic forecasting is to make astrology look respectable. -- John Kenneth Galbraith

The phenomena known as volatility smile is probably at work here. The real analysis to be done is to look at a normalized IV surface and determine if the current IV smile is out of line with historic IV smiles.

The underlying principle of Six Sigma is that process variations are randomly distributed. The same assumptions also are applied to price (or return) distributions. However, the processes behind financial markets are much more complex than typical manufacturing processes. Gaussian assumptions in...

Google for these terms: ehlers dominant cycle rsi Many of the links will have code included.

It should work until it stops working. Do some proper back testing with out of sample data over multiple stock issues and volatility periods. I suspect what you will find is that the periods of time when it starts working and when it stops working are randomly distributed, and that your system...

So most options traders including TT seem caught up with probability. I'm more intrigued with maximizing payoff, which is probability weighted reward/risk, p*(reward/risk). The maximum in the payoff curve may come at the ITM strikes. I've been too chicken shit to sell those strikes, nor have I...

I'm wondering if the EMH and geometric brownian motion is still the best model for financial market behavior? Note, I'm not asking if it is a perfect model, since most of us know the weakness of this theory. I'm no academician in this field, so I'm not up to date on the latest market theories...

GARCH(1,1), of which there are literally hundreds of variations. Which one to choose depends on how you like to model market behavior. GARCH is used for forecasting volatility, and the others you mentioned are point in time measurements of historical volatility (except VIX.)

If market data is at all fractal, shouldn't spikes be tradable at all times frames? Why not look for the pattern at weekly, daily, hourly timeframes and play for larger absolute moves?

Hmmm.... "Statistically most predictable". That would be any option strategy whose underlying value most closely follows a lognormal distribution at all times, and you select your strikes based on the computed probabilities using implied volatility. Or are just interested in which option...

Do what NT does for black swan events. Take no risk and take enormous risk at the same time. In other words, buy tbills and use the interest income to buy OTM puts and calls.

Trends are real all right, but when they start and when they end is random, in all time frames.

Impossible to measure the true probability of continuing, which is close to 50/50. You define the trend how you want, and either enter on weakness counter to the trend, or ride the momentum in the direction of the trend, using risk and money management in your strategy. Remember the whole...