Probability of success due to chance alone?

[Mike805]

Quote from dave4532:

This is not a game but a strategy that involves alternating between two games with the payoff of one game depended on its capital.

I wonder, where you saw a connectiom between this paradox and what we are talking here. Actually, it is not even a paradox. It is a game setup. It does not apply to trading.

Dave,

It's going to be a little difficult for you to accept new information when you still believe no statistical edges exist in the marketplace.

Before commenting further, ask yourself how you came to that conclusion and why you continue to believe such. It may help if you actually outlined your reasoning here.

You've mentioned before that the onus of proof rests on me. I have shown you numerous threads (and even posted a few simple edges myself in other threads) that outline positive expectancy strategies. Again, what was/is the reasoning behind your conclusions? Please post examples, not opinions.

Mike

 

[dave4532]

Quote from Mike805:

I have shown you numerous threads (and even posted a few simple edges myself in other threads) that outline positive expectancy strategies. Again, what was/is the reasoning behind your conclusions? Please post examples, not opinions.

Mike

You have demonstrated no edges, you are lying. All you have done is to claim such edges exist with vague references to absurd setups. You are welcome to post the links to those examples of edges because I have seen none worth mentioning.

If an edge exists, one could exploit it to geometrically increase profits using %kelly to the point that acts as a wealth-out effect to the market. Since nothing of that sort has happened, based on reductio ad absurdum I can claim such edges do not exist. It appears though that there may be fragile temporal edges that depend on position size. IMO, these do not differ from luck. An edge, is an edge, is an edge.

 

[logic_man]

Quote from dave4532:

OK, I read a few posts by Bill and I now understnad what he claims.

He claims the following: let us assume that a trading system involves some random number generator for taking positions in ES with X ticks profit/stop. He then assumes that his system has a long streak of winning trades, 100 in number, a sequence of events of low probability but nevertheless other than zero. He than claims that the Van Tharp metric as you call it, will produce an infinite value, indicating a non-random system.

It is clear that logic_man does not agree but the example Bill gave was a blow to Tharp's ratio. How can you claim that a system designed to be random was not random?

It appears that the Van Tharp metric cannot distinguish between non-random/low variance and those low probability random systems that basically cause the highest damage to traders.

Logic_man please provide your answer.

I thought I had made it pretty clear that this is NOT "the Van Tharp metric", it's a standard metric used in statistics for over a century. So, if your problem is that this is associated with Van Tharp, you need to just get over it. The main reason I brought up Tharp was to mention his point about some of the best traders having high numbers (presumably not from flipping coins, yadda, yadda, yadda, but from actual methodologies), meaning their trades were very consistent. I keep track of my trading method's number, but not to the exclusion of other numbers.

Anyway, to your example, what if you flip it and take a system which tests as non-random and do the opposite of its signals and you end up with a system that tests as random when in fact you chose to make it seem random by doing the opposite of a non-random system?

Point being that most things in statistics can be gamed somehow in some theoretical way (how else would the "lies, damn lies and statistics" saying have come about?), but the practical approach is to use them as the best approximations we have to measure whether something is substantive or illusory.

 

[dave4532]

Quote from logic_man:

Anyway, to your example, what if you flip it and take a system which tests as non-random and do the opposite of its signals and you end up with a system that tests as random when in fact you chose to make it seem random by doing the opposite of a non-random system?

I think you should have a doctor examine you, seriously. You are either very stupid or crazy.

 

[logic_man]

Quote from dave4532:

I think you should have a doctor examine you, seriously. You are either very stupid or crazy.

So, wait, Bill's idea, which was basically just the 180-degree opposite of my idea, and equally as likely (remember all that talk about "small, but non-zero probability") was some sort of stroke of insight, but my idea is "very stupid" or "crazy"?

If you and bill want to mentally masturbate each other, have at it. Your comments grow less interesting with each passing one anyway.

 

[Mike805]

Quote from dave4532:

You have demonstrated no edges, you are lying. All you have done is to claim such edges exist with vague references to absurd setups. You are welcome to post the links to those examples of edges because I have seen none worth mentioning.

If an edge exists, one could exploit it to geometrically increase profits using %kelly to the point that acts as a wealth-out effect to the market. Since nothing of that sort has happened, based on reductio ad absurdum I can claim such edges do not exist. It appears though that there may be fragile temporal edges that depend on position size. IMO, these do not differ from luck. An edge, is an edge, is an edge.

Dave,

To your first point:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=181368&highlight=how+to+research

I'm starting to think you don't know how to use a search function even with *serious hand-holding*. This is the second time I've pointed you in a direction. Please prove that you're somewhat smarter than a toolshed. You can do this by actually reading the info and discrediting actual ideas.

To your second point:

Wealth out effect? Seriously? This is an academic pipe dream. There is no such thing. What does exist, however, are plenty of exploitable statistical mispricings that can be identified with some decent research. Jim Simons runs billions doing just that, many others do similar things. For you to claim otherwise is trolling at its finest.

I don't know where you get your info or how you form your opinions... maybe some third rate econ class in some community college? At any rate, until you produce something other than baseless opinion regarding something you know very little about, consider this my last post addressing you.

Mike

 

[dave4532]

Quote from Mike805:

Dave,

To your first point:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=181368&highlight=how+to+research

I'm starting to think you don't know how to use a search function even with *serious hand-holding*. This is the second time I've pointed you in a direction. Please prove that you're somewhat smarter than a toolshed. You can do this by actually reading the info and discrediting actual ideas.

To your second point:

Wealth out effect? Seriously? This is an academic pipe dream. There is no such thing. What does exist, however, are plenty of exploitable statistical mispricings that can be identified with some decent research. Jim Simons runs billions doing just that, many others do similar things. For you to claim otherwise is trolling at its finest.

I don't know where you get your info or how you form your opinions... maybe some third rate econ class in some community college? At any rate, until you produce something other than baseless opinion regarding something you know very little about, consider this my last post addressing you.

Mike

Mike, your beat around the bush constantly. This isn't funny any more. Something is wrong with you. There is no edge in that link you posted. I had two individuals at work look at the thread, they both have a Ph.D in finance from prestigious schools and they laughed so hard, they said these are a bunch of losers wasting their time with silly talk.

Instead of wasting bandwidth, you could simply reply and describe the edge, even not in full detail. You not doing that but instead beating around the bush is proof that you got nothing.

You got nothing Mike...just links to silly talk...

http://www.thefreedictionary.com/beat+around+the+bush

If you keep on beating around the bush...you are only fooling yourself Mike...look yourself at the mirror...who do you think you are fooling?

 

[dave4532]

Quote from logic_man:

So, wait, Bill's idea, which was basically just the 180-degree opposite of my idea, and equally as likely (remember all that talk about "small, but non-zero probability") was some sort of stroke of insight, but my idea is "very stupid" or "crazy"?

If you and bill want to mentally masturbate each other, have at it. Your comments grow less interesting with each passing one anyway.

Mental masturbation is what you wrote:

"Anyway, to your example, what if you flip it and take a system which tests as non-random and do the opposite of its signals and you end up with a system that tests as random when in fact you chose to make it seem random by doing the opposite of a non-random system?"

 

[Mike805]

Quote from dave4532:

Mike, your beat around the bush constantly. This isn't funny any more. Something is wrong with you. There is no edge in that link you posted. I had two individuals at work look at the thread, they both have a Ph.D in finance from prestigious schools and they laughed so hard, they said these are a bunch of losers wasting their time with silly talk.

Instead of wasting bandwidth, you could simply reply and describe the edge, even not in full detail. You not doing that but instead beating around the bush is proof that you got nothing.

You got nothing Mike...just links to silly talk...

http://www.thefreedictionary.com/beat+around+the+bush

If you keep on beating around the bush...you are only fooling yourself Mike...look yourself at the mirror...who do you think you are fooling?

It's written right there davodouche... in the first post. I'm starting to think you're a special kinda guy. Helmet special. This is soooo simple its ridiculous...

Index Adds / Drops from S&P 500

S-P-E-L-L-I-N-G it out for a 3rd time for you.

PhD's in finance? Prestigous schools? ROTFLMAO!!! Are you f'in kidding me? We're traders here davodouche. While I also have a graduate finance/engineering background from a prestigous school I do know KISS when I see it.

Apparently you and your friends never learned critical thinking... Did your 2 imaginary friends even bother to test that concept? Doubtful. Yet you and they dismiss it without even doing the homework....? pretty sad... says a lot about graduate finance cirrculums. Not good, davodouche. Not good. I'm giving your last attempt a D-. At least you're clicking on the link, so you do have some interest, but, your post was entirely devoid of content (like usual).

Ok, I'm pretty convinced you're a troll, but, I already took the bait. At least provide some enertainment in your next reply... please? "look at yourself in the mirror" is sooo cheesy... like a bad 1980's movie or something...

 

[logic_man]

Quote from dave4532:

Mental masturbation is what you wrote:

"Anyway, to your example, what if you flip it and take a system which tests as non-random and do the opposite of its signals and you end up with a system that tests as random when in fact you chose to make it seem random by doing the opposite of a non-random system?"

No, I pointed out how absurd bill's idea was with an equally absurd idea.