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In theory, if you happened to stumble upon the best rule by chance (i.e. case I), it would be like winning the lottery -- BUT-- that would correctly be statistically significant given that it was above the p value of your MC/bootstrap sampling distribution. If you somehow, additionally...

#1 is the unbiased estimator. This is so, since you are comparing an arbitrary rule to a sampling distribution of many possible rules. case #2 where you are optimizing is considered a biased estimator. Think of it as cherry picking the best outcomes of the rules you test (systematic bias)...

it would be nice if you posted the entire article for viewers to make opinions.

In that direction," the Cat said, " lives a Hatter and in that direction lives a March Hare. . . . They're both mad." "But I don't want to go among mad people," Alice remarked. "Oh, you can't help that," said the Cat: "we're all mad here. I'm mad. You're mad." "How do you know I'm mad?" said...

http://www.cass.city.ac.uk/media/stories/resources/Magic_Numbers_in_the_Dow.pdf "Our conclusion must be that there is no significant difference between the frequencies with which price and time ratios occur in in the DJIA, and frequencies with which we would expect to occur at random in such...

http://biz.yahoo.com/ap/080812/corporations_income_tax.html Report says most corporations pay no federal income taxes; lawmakers blame loopholes WASHINGTON (AP) -- Unlike the rest of us, most U.S. corporations and foreign companies doing business in the United States pay no federal income...

Everything I've read about Danger's run up looks legit. Although, as many have already mentioned... don't confuse a bull with brains. Try compounding max leverage on every trade in today's market and I have the utmost confidence that you will get smoked before reaching 30,000% gain. He...

Let's see... the assumption was do not assume an outcome with certainty. So you are saying that is a bad assumption? That doesn't sound like what the rest of your post advocates. I'll assume you were not directly responding to the quote you referenced.

You are awesome. Thanks. I wholeheartedly agree with RTFM, but I wish some of these programmers would be a little more documentation friendly (like maybe a 1 page visual tutorial on getting started and running, rather than pages and pages of verbose technobabble). P.S. If it helps anyone...

I downloaded R and it doesn't seem as simple as suggested. 1st line: "Error in library("fImport") : there is no package called 'fImport' " Anyone have any suggestions on how and where to get the library functions, fImport, yahooimport(), etc for WINXP? And it would be great if you...

I've heard some good things about R, but never took the plunge. Looks almost as good as matlab (at least for simple probability/statistics stuff). Was there a steep learning curve? Also, was the PACF function included in the package library, or did you have to write it?

excellent example of the type of thinking I was promulgating. Thanks for mentioning. Here's a byte from his 'scenarios for global risk management and global investment strategies'.

Yes, I've made the same argument myself on plenty of earlier posts. That however, does not negate his quote I was focusing on, nor does it change the application towards the context in which I was using it. That being said; always great to have your wit and intelligence liven any discussion.

Your argument further corroborates my original premise. Ralph vince once said, "In a negative expectation game, there is no money-management scheme that will make you a winner." I think that sums up your argument regarding games of chance that are not in your favor. And I don't disagree...

Blackjack is different than gambling.:confused: Ok.

No, too many people seem to misunderstand the intention behind the 1st post. It is not meant to equate trading with wild misinformed speculation. The point I was trying to get across is that; successful gamblers do well-- PRECISELY, because they understand when probability is in their favor...

http://www.quantnotes.com/fundamentals/basics/archgarch.htm

And yet there will always be those who still don't get it. To each his own.

It's funny to watch all these gambling analogies to trading (poker, blackjack, etc...) surface from time to time. I was recently reading a book on how modern horse racing handicappers succeed. The funny thing is, these guys go through the same types of debates that some of the...

I had a hard time trying to follow what you are actually suggesting, since you seem to be mixing terminology IMO, and your thesis is not very clear. However, I will attempt to decipher and humbly comment from my interpretation. 2. If the value of the variance ratio test indicates a...