Enough already! It's not random

More than that - his analysis simply showed (in a fairly poor way, I might add) that there's serial correlation in daily returns. This is very very well known. However, autoregressive models can still have a random component. In fact, I can easily devise a random number generator that would give you the same results.

Just because there's structure doesn't mean it's not a random process.

Quote from Corey:

Now I don't think markets are random, but your post doesn't really prove anything. The Wald-Wolfowitz runs test is for a TWO VALUED data sequence.

Sorry, but the market cannot simply be broken down into 'up' and 'down'. Those 'ups' and 'downs' have magnitudes, volumes, advance/decline ratios ...

In my opinion, your test doesn't take advantage of Occam's Razor to reduce noise ... it just ends up completely slicing any relevance away...
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Jack Benny is walking down the street when a stick-up man pulls out a gun and says, "Your money or your life!" An extremely long silence follows. "Your money or your life!" the thug repeats. Finally Benny says, "I'm thinking!"
 
Quote from kut2k2:

Dear fellow technician, this thread is for YOU. :cool:

The next time some random walking idiot tries to rain on your efforts to find a technical edge while talking down to you like you're a small child, just direct his arrogant ass to this thread. Maybe it's not too late for *him* to learn something.
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To a child with a hammer , everything looks like a nail lol
 
Quote from MAESTRO:

Dear fellow medieval inquisitor, this thread is for YOU.

The next time some “round earth” idiot tries to rain on your efforts to find an edge of the earth while talking down to you like you're a small child, just direct his arrogant ass to this thread. Maybe it's not too late for *him* to learn something.

I never thought it would be this evident, given all the preaching about "proof" that the Earth is Round! Guess what? It's all BULLSHIT!

I just ran a little robust measurement tool called “river test” that was specifically designed to test the “flatness of the Earth”.

First I collected 10 years of data on all the rivers in our area.

The results are:

2,514 rivers
2,513 turns in each river
1,315 left turns
1,197 right turns
1 zero (ignored)

Applying the “river test” to this data I concluded that none of the rivers fell from the face of the Earth simply because the Earth is FLAT!

The chances of that “river test” being wrong is

ONE OUT OF 1,073 !

I got your “round Earth theory” right here!

P.S.

10 years of S&P 500 data is just one path of a random walk. You cannot run z-score test on one run. The result is meaningless! Before you state something like that you should really look into educating yourself a bit in the probabilities theory and have a little more understanding of math. You are a simple common idiot that is trying to protect you system of dogmas and religious beliefs by attacking scientists who really understand a lot more that you ever will! I have come across of many cement heads like your self that think they figure out everything! It is very common among the decision makers (traders) to be certain about things because they simply cannot stand the uncertainty! It is your psychological deficiency that has nothing to do with the understanding of the markets phenomenon! Suffering from ADD and lack of knowledge is a very common syndrome among people like you. I don’t know what hole you crawled out of but your blindness amazes me!
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You are the one , most close to Einstein on this board ..
 
You are all as entertaining as it gets and I thank you for that.

Now here is a question for you.
Far more difficult than the mere warblings from great theoretical minds.

"What has this thread got to do with making money from the markets"

regards
f9
 
Quote from Corey:

Now I don't think markets are random, but your post doesn't really prove anything. The Wald-Wolfowitz runs test is for a TWO VALUED data sequence.
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The two values are 'up' and 'down'. According to the random walkers, those two things appear in a fixed ratio and the runs test automatically accounts for that. It doesn't matter if it's 50/50 or 70/30. The test provides very strong evidence that the run sequences are not randomly generated, regardless of the ratio of ups to downs.
 
Quote from kut2k2:

The two values are 'up' and 'down'. According to the random walkers, those two things appear in a fixed ratio and the runs test automatically accounts for that. It doesn't matter if it's 50/50 or 70/30. The test provides very strong evidence that the run sequences are not randomly generated, regardless of the ratio of ups to downs.
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OMG! That is truly funny! Congratulations! You score the maximum points in my book of ignorance! Wow, must be embarrassing as hell to know so little!
 
neither the academics nor the smart money consider a time series of the S&P 500 "random" in the sense you are using it and in fact thats not the terminology they use anymore (for good reason, they've progressed since the 70's)

the closest definition to "random" as IID: independently and identically distributed. The S&P 500 is definitely NOT IID and the academics admit that. It roughly follows a geometric brownian process with drift. Again WITH DRIFT! not a coin toss.

The big flaw in the brownian motion approximation is that volatility in markets is time varying.

Take this a step further and add in other variable besides price and you'll find a mountain of good academic work supporting violations of EMH.

As previous posters said. Your original post was naive.
 
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