Of course not. That's not even an objective.
Does Technical Trading Really Work?
- Thread starter Lloyd W. Coutee
- Start date
Of course not. That's not even an objective.
Let's not invert my point, which was that cointegration (tests for) are utilised in constructing MR strats.
On the other hand, it's hard to find mention of cointegration in the dozens of academic papers that have been churned out on the momentum effect in financial markets. The only one that I unearthed reported that momentum was greatest among non-cointegrated stocks.
With respect, even if there is evidence to support the case you make in the last few sentences, it's a bit of a straw man argument to my point, which is that you are incorrect to state that cointegration is effectively another way of describing the momentum concept.
Exactly. I have the same feeling each time when I get in a trade. Trust in your system and a lot of confidence are needed when the train comes rushing in.
I do admit that my post #34 in this thread was very badly worded. It is probably my fault and my miscommunication. I never intended to give the impression away that "cointegration describes momentum".
My point was that there is a market with all kinds of different investors with different holding periods and response patterns. When market impacting news hit then investors, traders, hedgers, speculators all react to varying degrees and with different response times. Prices will not instantaneously change from one equilibrium to the next but there will be transition path because, as above mentioned, market participants will react and make decisions at different times and to differing degrees. The trajectory, this adaptive process takes, and the adjusting market prices never stray away by too much until the adjustment process is completed. This applies the more long-term impact the incoming news item has. This is pretty much the precise non-statistical definition of cointegration. The higher the cointegration the more momentum market prices will exhibit because market prices are directly impacted by the actions market participants undertake in response to those news.
Such market responses are usually detected with a significant delay by those who apply trend following techniques. The only way someone with delayed signals can make money is if the trend is strong enough to persist for a while longer.
I hope this explanation makes my thought process a lot clearer.
My point was that there is a market with all kinds of different investors with different holding periods and response patterns. When market impacting news hit then investors, traders, hedgers, speculators all react to varying degrees and with different response times. Prices will not instantaneously change from one equilibrium to the next but there will be transition path because, as above mentioned, market participants will react and make decisions at different times and to differing degrees. The trajectory, this adaptive process takes, and the adjusting market prices never stray away by too much until the adjustment process is completed. This applies the more long-term impact the incoming news item has. This is pretty much the precise non-statistical definition of cointegration. The higher the cointegration the more momentum market prices will exhibit because market prices are directly impacted by the actions market participants undertake in response to those news.
Such market responses are usually detected with a significant delay by those who apply trend following techniques. The only way someone with delayed signals can make money is if the trend is strong enough to persist for a while longer.
I hope this explanation makes my thought process a lot clearer.
Does Technical Trading Really Work?
No.
Technical traders really work, though. We have to stay alert at all times because with the proliferation of programmed trading and HFT systems, if we hem and haw for a moment prior to placing our order, the opportunity (and resulting profit) can be over in an instant.
When I'm proactive and get my order placed immediately upon signal, I've had the trade go from entry fill to profit fill in as little as 10 seconds.
No.
Technical traders really work, though. We have to stay alert at all times because with the proliferation of programmed trading and HFT systems, if we hem and haw for a moment prior to placing our order, the opportunity (and resulting profit) can be over in an instant.
When I'm proactive and get my order placed immediately upon signal, I've had the trade go from entry fill to profit fill in as little as 10 seconds.
From entry to profit in 10 seconds? That's faster than a rocket. Of course no losses. So TA really works then it seems. I am converted.
Indeed.
It was an unxepected discussion, at least. I only visit these TA threads as a form of self-flagellation.
So I assume that you can never take a big position? I mean for example 100 or more contract ES?
Or in other words: size is very limited?
PS: and as you know for men size matters!!!
