Do you see patterns in Random Walks?

[MAESTRO]

Quote from intradaybill:

Dear MAESTRO,

I am waiting an answer to this post, whenever you can of course:

http://www.elitetrader.com/vb/showthread.php?s=&postid=3272907#post3272907

If the two stochastic processes are positively correlated and we use a superimposed subtraction of those processes the resulting process will have its variance that is less than the variances of either of the two original processes. That is exactly what arbitrage is based on.

 

[SrRuthenate]

Quote from MAESTRO:

Not at all! I was just trying to illustrate that one of the measures that I consider somewhat objective is the results of actual trading; trading that is based on the models that have psychological origin. Although I cannot provide any details of our trading results I can only tell that we have experienced quite stable success over the past 10 years. That gives me the confidence to think that I have done something right and my models do hold water. The foundation of those models (we currently have more than 20 of them) is exactly what we are discussing in this thread. I shall continue to present arguments for Embedded Randomness here. Even if I could ignite 1 or 2 people to seriously consider this approach I would feel satisfied. After all, we are not forever on this Earth and I need to propagate my ideas while I can. I am 100% sure they will help!

What maximum ROR return on risk capital do you believe are achievable?. Not your actual returns or drawdowns, but what your current thinking on what's realistic with a fully automated robot.

 

[MAESTRO]

Quote from zedDoubleNaught:

Sorry for the super-basic question, and thanks for your patience: is the flock's "center of gravity" the data points to which the spline is fit, or floating in space in the middle of of the curve as it moves from one data point (to which the spline is fit) to the next, as a type of "strange attractor"?

thanks for the interesting material to study

Very close, yes

 

[MAESTRO]

Quote from kut2k2:

Having reread my post, I apologize that it came across as a slam at all social sciences. I have a thing about economystics as you undoubtedly can tell, but I do respect psychology, sociology and other social sciences as real sciences. I should have spoken of "Nobel-prize envy" rather than "science envy." I see a lot of what economystics have done and spoken about as an abdication of their duty to be objective and honest in their research and reports.

I share the same "annoyance" towards many economists myself

There are a lot more of pseudo scientists around than the real ones. I do not pretend to be a "hard-core" scientist; I am just doing my best to create new behavioral models and test them thoroughly.

Cheers,
MAESTRO

 

[MAESTRO]

Quote from SrRuthenate:

What maximum ROR return on risk capital do you believe are achievable?. Not your actual returns or drawdowns, but what your current thinking on what's realistic with a fully automated robot.

You might not like my answer and I might come across as a prick, however, if you are asking about my honest opinion and you promise not ask for the actual results I can tell you that 8 - 10 % a month is more than achievable. I can also tell you that the Sharpe ration of above 2.86 is also very real. Now, remember what you have promised!

 

[SrRuthenate]

Quote from MAESTRO:

You might not like my answer and I might come across as a prick, however, if you are asking about my honest opinion and you promise not ask for the actual results I can tell you that 8 - 10 % a month is more than achievable. I can also tell you that the Sharpe ratio of above 2.86 is also very real. Now, remember what you have promised!

That's pretty damn good for a computer. Being a real prick, I completely understand your posture, and I will not tell you what I know is possible for a human!.

Damn 8-10% monthly is a real money machine, if it is scalable!. Corrected your typo above too. Cheers.

 

[MAESTRO]

Quote from SrRuthenate:

That's pretty damn good for a computer. Being a real prick, I completely understand your posture, and I will not tell you what I know is possible for a human!.

Damn 8-10% monthly is a real money machine, if it is scalable!. Corrected your typo above too. Cheers.

Scale-ability is an issue, of course! Not all the models allow us to go pass a few M. However, some of them (with much lower return ratio, like 2- 4% a month) can go to a B.

 

[SrRuthenate]

Hats off to you MAESTRO. Stash some of the money out... just in case the models break down, or the markets get shut!. Nice of you to offer all this info. A machine-trader!. What's the world coming to?.

 

[MAESTRO]

Quote from SrRuthenate:

Hats off to you MAESTRO. Stash some of the money out... just in case the models break down, or the markets get shut!. Nice of you to offer all this info. A machine-trader!. What's the world coming to?.

it's not just me. it's the whole crew of very talented scientists, programmers, mathematicians that work in our company. I am just an "idea guy". They make it work. You should see what our robots look like! They are incredible. I would have never be able to do it on my own!

 

[SrRuthenate]

It is quite an accomplishment to have a fully objective automated robot using trader's principles quantified into math, like the arcsin and meander laws. I gave it a go, but have since given up. I got sidetracked with other ideas, and now I only trade my own money. Maybe I'll tackle the beast once again after reading that you have done it and try to follow in your steps. Or at least I will try to put someone on it. I'm not too comfortable talking about it too much anymore now that you say that it is doable... mainly because it is very simple but hard to implement. There are many more implementers than big thinkers. So hats off once again.

Semi-automated on the other hand is quite easier, I would imagine.