trend following delusion shattered

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Quote from Lefty62151:

OK maybe I am running out of patience. Its not my forte. Markets exhibit both random and non-random behavior. This is so obvious that I have to wonder what if (for some of you) this is your first visit to the planet.

What happens when we have an FOMC meeting? Anybody? Take a moment to look at an intraday chart.

Pick a stock. Check out the intraday pattern on the day earnings are reported.

Check out the S&P intraday chart on the day employment is reported.

Ever hear of end of quarter "window dressing"?

How many more examples do you need?

Get back to me if you want examples of "random" price movement. Oh and while I am "waiting", you will need to read up on how to execute a "Chi-Square" test and/or a test for stationarity. Also it would be a good idea to know how to import intraday price data into Excel.

Lefty
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LOL and all investors are always rational and never emotional. :D
 
Quote from nicholaf:

LOL and all investors are always rational and never emotional. :D
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Since when do you need rationality for a trend? Complete rationality does not exist in humans, anyway, except in the mentally deficient. See Taleb's book.

--opm8
 
Quote from TSGannGalt:

So far people are seem to be saying that markets are not random.

Can we all agree that markets are not "random" or do others have other things to say???
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I agree, but what i don't understand is why everyone want's to test random data.
The market is human-driven. Rational and/or irrational behaviour is influencing the evolution of the ticks. You don't have that element in random data. So testing on random data is useless to me.

What am i missing?
 
Quote from Lefty62151:

The reason is "stationarity".
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Q
http://classes.entom.wsu.edu/526/Exogenous.htm

"When a time series is found to be non-stationary it may be necessary to model the exogenous effects before we can forecast future population densities. There are four major situations that give rise to non-stationary time series -- transients, trends, discontinuities, and multiple equilibria."

UQ

Q
www.brettsteenbarger.com/Short-Term Trading2.doc

"
A major conclusion was that the distribution of price changes through the day is nonstationary, making it hazardous to employ the same buying and selling parameters through the day.
"
UQ

Q
http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_1e1

"In this paper we investigate the potential of the analysis of noisy non-stationary time series by quantizing it into streams of discrete symbols and applying finite-memory symbolic predictors."
UQ


:confused:
 
Quote from spike500:


The market is human-driven. Rational and/or irrational behaviour is influencing the evolution of the ticks. You don't have that element in random data. So testing on random data is useless to me.

What am i missing?
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What character in the actual market behavior is rational and/or irrational?

Also, in what way does it influence it?

Please read back to hanketsurfer's post about his subjective view of chaos and order...
 
Quote from opm8:

Since when do you need rationality for a trend? Complete rationality does not exist in humans, anyway, except in the mentally deficient. See Taleb's book.

--opm8
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I think nicholaf was being skeptical...
 
mr. subliminal, i know i am a little late to this thread, but i will ALWAYS trade a random system with introduced trends. that's a no brainer. i've done sufficient money management tests to know that the only thing you need is a little trendiness, not too high commissions and spread and you'll win.

Therefore i am thinking an indicator which displays trendiness could be very helpful to screen markets.

Does anyone know such an indicator? I know "trendiness" by itself would show a curve, but then you'd have to trade this curve as well :-P
 
Quote from trade4succes:

mr. subliminal, i know i am a little late to this thread, but i will ALWAYS trade a random system with introduced trends. that's a no brainer. i've done sufficient money management tests to know that the only thing you need is a little trendiness, not too high commissions and spread and you'll win.

Therefore i am thinking an indicator which displays trendiness could be very helpful to screen markets.

Does anyone know such an indicator? I know "trendiness" by itself would show a curve, but then you'd have to trade this curve as well :-P
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:confused:

1. Random system? Random system on "pseudo"-random data?

2. Introduced trends = Not random. Isn't it???

3. What's trendiness? You might know but others might not.

:confused:
 
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