Predicting randomness

[Cheese]

Quote from cnms2:

We have the tendency to look for Holy Grails in everything, so we're looking for a system that makes money in any market and for every issue, we talk about predicting all humans' behavior in the same way. Because we can't find such a Holy Grail we tend to conclude that we can't predict neither of them. But if we restricted ourselves to predicting the behavior of smaller groups (of stocks, and of humans), we could do it with higher probability.
..

This is interesting and is part of the big answer.

The Holy Grail does not appear after a sudden push through the dense undergrowth and jungle. After a long journey its shadowy outline first begins to be glimpsed, eventually it becomes clearer and at long last you stand before it and can grasp its handles.

Raw data will not admit you to the Holy Gail no matter what you do with the data. So this eventually will defeat almost all challengers for this sacred trophy.
And raw data across more than one market will keep you even further away. But the secret of the Holy Grail is a paradox. You gain the trophy through one market you completely come to master but the Holy Grail when attained grants you permission to master all markets.

 

[bighog]

Yes, Bighog is not a fan of Bush. Yes, he is more interested in trading, yes his posts are sprinkled with a Bush bash here and there. But even as this war has gone on the tide is turning. I mean come on, even though the pentagon has stymied real coverage of the invasion we all know the public is getting sick and tired of the deaths and expense of this quagmire.

Forget about a Utopia, these guys are ruining the whole country. We as a nation are the laughing stock of the entire world not only because of the war but also of a so called "RICH" nation with 55 million with no healthcare and rising.

I try to be especially honest about two things: One is the trading i do which has a direct result in my wallet and the other is the politics of the party in power which has a direct effect on the country and society that i call home.

I do not like to see what is happening to a great country that a few decades ago, men and women from "ALL" walks of life stood up and went to defend this great nation and defeated world power seekers. ( that is being generous to Hitler and outdated war lords of the era)

So with those words i will say this then end it: A democracy will only survive when it is transparent and allows those who opposes it's policies a free and open place to speakout. now this is not the place to do that but indeed it must be said in the proper place. To not recognize the facts is to stick a head in the sand be receive a lashing for "NOT" being outspoken.

 

[cnms2]

Quote from Cheese:
This is interesting and is part of the big answer.

The Holy Grail does not appear after a sudden push through the dense undergrowth and jungle. After a long journey its shadowy outline first begins to be glimpsed, eventually it becomes clearer and at long last you stand before it and can grasp its handles.

Raw data will not admit you to the Holy Gail no matter what you do with the data. So this eventually will defeat almost all challengers for this sacred trophy.
And raw data across more than one market will keep you even further away. But the secret of the Holy Grail is a paradox. You gain the trophy through one market you completely come to master but the Holy Grail when attained grants you permission to master all markets.

"Divide et impera" Niccolò Machiavelli (divide and rule, divide and conquer)

 

[bighog]

WOW: "to stand before it and grasp it's handles"

sounds like i do not really want to meet the HOLY GRAIL after all....

 

[cnms2]

zarqawi - turkey or black swan?

 

[trader28]

Quote from bighog:

WOW: "to stand before it and grasp it's handles"

sounds like i do not really want to meet the HOLY GRAIL after all....

Maybe they are love handles

 

[cnms2]

Quote from bighog:
Yes, Bighog is not a fan of Bush. Yes, he is more interested in trading, yes his posts are sprinkled with a Bush bash here and there. ...

If bighog needs to beat around the ... bush, maybe he should start a thread dedicated to it. It's a free country and a free forum, it just seems that this is not the right thread for what bothers him the most.

 

[profturf]

It is good to read all the erudite posts about the ability of trend followers and the lack of randomness in prices, as well as those that memorialize the past and predict the future disasters of VN,and point to the benevolent return of NT to the trading world from his all too lengthy sabbatical. Some serial correlation coefficients of 1,5, 10 , 30, and 60 day S &P futures prices for the last 6 years mite put the first subjects in perspecitive. They are based on the last 1000 days respectively -0.01, -0.04,0.00,0.00,and 0.00 respectively. I would submit that there is no form of non-randomness in actual prices in a market , linear or non-linear in real life that would not show some substantial randomness with correlation coefficients of the order of 0.2 or higher. On another front there is good news to report with he S and P managed futures index representative offinvestable funds. It reached a yearly high of 1113.5 on Monday Novermber 14., and it's now down only 5% on the year and a mere 8% from it's March and April 2004 levels, which I take as a base becuase this is when real time activity in it apperently reached a reasonable level. Considering all the slippage , and fees, and mysticism embodied in such a investable index representative of the best non-random players, it is good to know that they have been able to overcome it all and only lose about 10% during this period. As for the past declines of VN, The inevitability of the black swan appearing again, and NT's reemergence, with particular reference to the Gladwell article quoting the fantastic results of NT and VN' remark about 9-11 impact on his trading results " i almost went under again ", I would advise a certain skepticism relating to the rumours heard and press reports mentioned. Apparently some on this sight have access to the reports of actual performance submitted by independent auditors, and fund administrators, as well as the troubled company reports from Bermuda.These reports do provide some hard data on actual performance of the parties mentioned. And they are not completelyl consistent with the above mentioned rumours . However , let us all welcome the invevitable rivalry and mysteries of the market that will have us all debating such things as whehter large tails exist, the randomness of prices, the value of charting and technical analysis , the relative merits of volatility trading, and the wisdom or lack of same of various exemplars of trading styles such as those mentioned for the endless future. proturf

 

[bdixon619]

Some serial correlation coefficients of 1,5, 10 , 30, and 60 day S &P futures prices for the last 6 years mite put the first subjects in perspecitive. They are based on the last 1000 days respectively -0.01, -0.04,0.00,0.00,and 0.00 respectively. I would submit that there is no form of non-randomness in actual prices in a market , linear or non-linear in real life that would not show some substantial randomness with correlation coefficients of the order of 0.2 or higher.

Transactions & Regularities

Limited orders to buy tend to cluster below the market, and limited orders to sell cluster above. Market orders to buy must be sufficient to overcome the limited sell orders before consecutive rises can occur. Market orders to sell must overcome the buy limited orders before consecutive declines can occur. Prices may reverse up and down hundreds of times in a row before continuations take over. The result is four non-random properties:

1. There is a general tendency for price reversal between trades.

2. Reversals are relatively more concentrated as integers where stable, slow-moving participants place their limit orders.

3. Fast-moving floor traders knowing the locations of these limit orders, take positions at nearby prices, "pocketing the spread."

4. After two price changes in the same direction, the probability of a third change in the same direction as the second is greater than after two changes in opposite directions.

*Odds ratios in favor of of reversals versus continutions in transaction data normally run at five-to-one.

Soooo, the mountain comes to Muhammad, eh?

Thanks for posting, it is the most you can do. ;-)

 

[oddiduro]

Quote from cnms2:

I just found several threads about Jack's method. I wonder what's your opinion: is it a making money method? Are you still trading it? It seems that most its followers just try to tweak it for better results, and don't necessarily understand or follow the spirit of the method. Jack's posts are quite difficult to follow (I read one post explaining that he actually writes so on purpose to transfer some more difficult concept directly to his pupils' subconscious ).

In my opinion trying to find an universal system that works in all the markets is a huge task, with little reward. Markets have different volatility, cycling, open interest, risks, and other characteristics, so I think it's better to apply an appropriate system to each one of them.

Jack's methods are definitely money makers. Sydertrader is an excellent example of the benefits of understanding the price volume relationship.

Once I learned to trade his methods, I went back to trying to find the "unified market theory." I am not rich, but I also realize that becoming a billionaire is a pointless endeavor. My fasincation with the market is a much a study in philosophy as it is in making money. I have found that most of the western world is driven by wall street at the end of the day, and it fascinates me.

If you like an abbreviation of Jack's methods, Spyder is an excellent example of this. If it continues to be murky, I will answer specific questions.