Quote from harrytrader:
Why do you need this spreadsheet since you have the marvellous Kelly formula in your java applet hee hee ! There's nothing wrong with this formula, the problem is to put numbers that are CONSISTENT STATISTICALLY SPEAKING and that is another problem to prove that these numbers are consistent: that's the hard part of the work but since it is not the question of this thread I won't extend 
.
BTW I used the expression "CONSISTENT STATISTICALLY SPEAKING" but according to CFTC (see exerpt below) it is very doubtfull than any system based on TA or in fact any public information (so that even if you pretend to use your intuition and not TA per se doesn't change anything you would be even Superman in that case) can have such property (e.g. STATISTICAL CONSISTENCY) that is to say it is as if they pretend implicitely that it is equivalent to so-called HOLY GRAIL (that it is mechanical or discretionary doesn't change anything ) that's why it should be difficult to achieve such consistency in regard to efficiency theory
. Now I SAY THAT THEIR DEFINITION OF EFFICIENCY IS VERY CONSTESTABLE but that's another story (see my homepage if you want although I don't want to extend deep about that as it would need one hundred pages at least
).
Remember the thread :
"Unbelievable but true: CFTC declares Technical Analysis as FRAUD
!!! "
http://www.elitetrader.com/vb/showthread.php?s=&threadid=18551&highlight=CFTC
http://www.supertraderalmanac.com/censorship/technical_analysis_deemed_fraud_.htm
CFTC v. R&W TECHICAL SERVICES, INC.
"[R]espected scholars are virtually
unified in their recognition that even the most legitimate technical
systems (with their hypothetical and retroactive foundations) are
incapable of providing the trader with any significant market
advantage." (note 75, p 41)
"The efficient market capital model emphatically contests the notion
that financial markets are so inefficient that speculators can exploit
these markets' inability to adjust to all types of information.
Although the limits of the efficient capital market model, and its
implications for regulatory policy, are a dependable source for
endless debate, few dispute the model's general predictive powers. In
fact many important regulatory policies are predicated on the model's
accuracy. See, e.g., Basic, Inc. v. Levinson, 485 U.S. 224 (1988)
("fraud on the market" action for a violation of Securities Exchange
Commission Rule 10b-5); In re LTV Securities Litigation, 88 F.R.D. 134
(N.D. Texas 1980)." (note 74, p 41)
"Virtually the entire economic community is in agreement, however,
that the efficiency of the market is sufficiently strong so that all
publicly available information is rapidly disseminated and is then
almost instantaneously reflected in the price for any widely traded
investment contract. As a consequence, investor analysis of specific
investment contracts will not lead to superior gains, since it will
require an analyst to predict value better than the market as a
whole. Thus, while some traders will profit while others will lose,
the outcome of speculative investment is unlikely to significantly
outperform chance. See Dennis, Materiality And The Efficient Capital
Market Model: A Recipe For The Total Mix, 25 Wm. & Mary L. Rev. 373
(1984); Posner, Economic Analysis of Law, Ch. 15 (4th ed. 1992);
Comment, The Efficient Capital Market Hypothesis, Economic Theory and
the Regulation of the Securities Industry, 29 Stan. L. Rev. 1031
"Technical analysts . . . first make a deterministic (one might say
spiritual) leap of faith that non-random price patterns exist. They
then illogically posit that these patterns, once revealed to the few
(or indeed -- through marketing -- to the many), may be successfully
exploited in trading. To accomplish this, of course, the 'pattern'
must remain undetected by others (otherwise the increased market
activity defeats the 'pattern' by driving the price to a point where
speculation is no longer profitable). See Marshall (1989) at
263-264. Public policy presumes that markets are not so witless.
'The presumption is [] supported by common sense and probability [as]
recent empirical studies have tended to confirm Congress' premise that
the market price of shares traded on well-developed markets reflects
all publicly available information . . . ' Basic, 485 U.S. at 246."
(note 75, page 41)"
"[A]ny marketer's claim of increased profitability or reduced risk
through the use of these systems is likely to be fraudulent". (note
75, page 41)
