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What is being tested in these TA studies? Not TA. Trading systems based on TA. Explain to us how you test any trading system while ignoring the position size. Getting back to the coinflip example I posted previously: a skeptical researcher ignorant of probability decides to see there...

Nothing in my post indicates that money management creates edge. I explicitly said otherwise, in fact. It is inane to say that (poor) "money management/position sizing can cause a profitable system to fail" (true) but then follow it up with "TA studies amount to shit because they are shit...

:eek: You really don't get it, do you? TA is not a trading system. It never has been and it never will be. TA is a tool that allegedly will provide a trading system with the necessary edge. In order to test that claim, TA at the very least has to be tied to a position-sizing method...

Evidently the same can be said about the "against TA" content. You resurrected this thread after more than a week of dormancy with this post about some new study. When it is pointed to you that we know nothing about whether the study used reasonable position sizing et al., you have no...

Not sure what real distinction there is between "money management" and "risk management", or between "self-management" and "enormous discipline", but it looks like you've rounded all the bases. More than once. :D As far as what this discussion is all about, rcanfiel maintains that...

Oh yeah! :cool: I often wonder if there's just some secret academic agreement to be all-in or all-out when they "test" those kludged "strategies." I also wonder how many of those guys have even heard of position sizing. :D :D

Outstanding post! :cool:

Yes, that is incredibly simplistic thinking on your part. If one gets a string of losers, the Kelly fraction (which is ridiculously easy to update) shrinks accordingly. That is, if you're smart enough to make it adaptive in the first place. Some people, on the other hand, never think ahead.

This is a common misconception with the Kelly fraction. Is there total risk control? No, total risk control would be to not trade at all. But if the Kelly fraction did not mitigate a lot of risk, there would be no maximization of returns. That's just a basic outcome of the mathematics...

You've pinpointed a key issue with Kelly sizing. You need to establish a trade distribution baseline. Once you have the baseline, you can test the Kelly sizing with the remainder of the trades in your backtest. There's no hard and fast rule on how long the baseline should be, but anything...

LOL "risk management", ostrich-style: "If I can't see the scary lion, it won't see me neither." :p

You keep contradicting yourself while accusing others of the same. You concede that there may be an edge in STA (dependent upon the particular trader, of course ), then you continue to state that "TA" (which means ALL TA, including STA) is valueless. Maybe you should stop making dogmatic...

Hi again, marketsurfer So if I read you correctly, what you're really saying is that while there may be some value in what Jack Schwager called discretionary trading (based on what David Aronson calls Subjective Technical Analysis (STA)), there is no value in what Schwager called mechanical...

This shows a profound misunderstanding of the Kelly fraction, or for that matter, any fractional betting strategy. The main advantage of fractional betting is that you are never risking all of your betting account, and therefore you never have a risk of ruin (100% loss). The formula for risk...

This is kinda like somebody pre-1800 saying "when tested properly, medicine fails". So why bother with medicine at all? Because the alternative is worse? Because even pre-science doctors knew that they didn't know everything that there was to know about medicine, and that the room for...

"As we know" ?? Rather than just assuming that we all share the same knowledge set, why not define what you mean by "fixed ratio", "fixed fractional", etc. ? That way, everybody is on the same page and you'll have a better chance of getting a coherent answer. Remember, this is the forum...

Good question. AFAIK (and I could be totally wrong), most option players are hedgers, not directional traders. Assuming your previous trades were directional ones (stocks?), you'll probably want to read a basic book on options trading to get familiar with all the hedging schemes they use...

As has been stated before in at least one other thread, you can't prove TA doesn't ever work, and nobody with a winning TA system is stupid enough to disclose it to you just to prove you're wrong. This is a foreseeable impasse. So what's the point of this, the 637th "TA doesn't work" thread?

That's kinda like saying cooking is only a refinement of something (raw meat) which wasn't that great to start with. The difference between a great filter and a poor filter can make all the difference between profit and loss. But indicators are not trading systems; they are parts of...

I find them fascinating. I think the JMA is the best way to model the present, not the past. The only thing that gives me pause and has prevented my purchase is the PHASE parameter, which seems to be more of a marketing gimmick than something with a sound theoretical foundation. But I admit...