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And the Min PF = 0:D I'm not sure I understand the criteria that Jerry has used for applying to both situations, and whether it is equally applied, but I am curious as to the window of time used to make the comparison. To be fair, the entire available window of market data should be used...

17.64%

Disagree. Can you post a random plot of any type of data to demonstrate this? And make sure to compound the values over time (for suitable comparison to price charts). There is a reason why many academics model the markets as Brownian motion (granted it is not 100% gaussian random). But...

It is also known as a lowry up day. The other criteria is ratio of stocks up to dn is > 90%. These events have a very significant correlation to long term bottoms.

great posts. Don't forget "the great depression of 1990." Should be seeing some bestsellers hit the stands soon. Pessimism... characteristics.. once a recession is admitted, it is usually after the fact and near the bottom. Seems to me like we near ultra peak levels of pessimism...

Thanks for posting, I like his bet sizing. BTW. If anyone wants to try to replicate some of the arguments here. This is a pretty good simple paper. which also discusses known problems with random walk (pos and neg serial correlation, heteroskedasicity (ski daddy),fat tails, etc.). But...

scriabinop23, Nice job on your blog. I'm going to go with recession (90 style correction). deja vu?

Not only was volume high, but the up vol eclipsed down vol on most.

Thanks for corroborating the original statement. Obviously, one of the things I was getting to was that the sub-game itself had as a component, a huge edge already built in (Game B = 75% prob). Now if only you could get a system that does just that one component's performance, you'd have a...

http://gi.cebitec.uni-bielefeld.de/people/rahmann/parrondo/rahmann-report.pdf "The key is to know the rules of the games exactly, so one can know which game to play in which situation. This is clearly the reason why one cannot gain money by applying parrondo's paradox to the stock market."

I'm confused:confused: Firstly, I went back and looked over your paper on zero crossings. 1) I found some things that seemed like errors (I could be wrong). For instance: "Inside of the dead-zones, zero crossings do not occur." huh? Isn't that exactly where they occur. Should it...

http://seneca.fis.ucm.es/parr/ see recent papers... Maestro, were you able to translate this to markets? It requires a pretty specific setup of the relative probabilities of the b events, if I interpret properly.

About time. Considering the state of the market, they just may push it through. Hats off to byrne for his tenacity.

How long did it take the SEC to crack this case... 20 yrs? Talk about efficient. http://biz.yahoo.com/ap/080305/fidelity_sec.html SEC Penalizes Fidelity, Names 13 in Probe Over Improper Gifts From Brokers BOSTON (AP) -- The Securities and Exchange Commission has accused Fidelity...

IWM

http://infoproc.blogspot.com/2007/07/algorithm-wars.html Surf, I just don't see why posters around here rip on you so much. Your "cynical" beliefs are not much far from my own (if I'm interpreting correctly). A professor once said, "A cynic is someone who sees the truth for what it is."...

Interesting theory. It's funny how I've often thought about the similarities to market modeling and philosophy. They are very similar. You have the die hard platonists that believe there is an underlying objective reality behind all, then there are the existentialists who are horribly...

I think that one very important and salient point you are missing is that although markets have an unpredictability component in the short run (variation about the mean), the mean itself is not zero. Therefore, the long term bias is not random, rather the central tendency favors those who buy...

Good Points. Ultimately, my argument here comes down to the notion that reading pure price charts does not offer much more predictability than say reading a randomly generated price chart and determining the future direction. One way to visualize this is to think of the following scenario...

I think the problem that most people have with visualizing random price action, is that for whatever reason (schooling, past experience) they are familiar with visualizing random price data in the following display format. This format simply displays each individual randomly generated...