Why are quants afraid of Mark Jurik?
- Thread starter kut2k2
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I'm trying to help them, mate, but some folks are mighty attached to their old ways and won't listen.
There will always be people at these levels of TA. They are taking their chances (61.8% losers). If in addition their decisions have random components, they fail 100% of the time.
Copy this list, print it and frame it.
Level 1: discretionary random
Level 2: TA - mechanical
Level 3: price action - mechanical
Level 4: discretionary non-random
Level 5: master of trading - (inc. heuristic high speed autotrading)
Level 1: 100 % losers
Level 2: 61.8 % losers
level 3: 38.2 % losers
Level 4: 23.6% losers
Level 5: 0% losers
Statistical error: +/- 2.5%
I've used a trous wavelets, redundant Haar, HMA, looked at JMA. It didn't seem any different than a redundant Haar wavelet.
Honestly, after a lot of effort I couldn't find a reason to smooth anything. Price has the most information so why would I strip out the information? In that regard, these filters can have some value if you want to detrend w/minimal phase effect so you can get a better look at the residuals. But, smoothing by itself. For what? So I can have silky smooth canned technical indicators? Quant funds aren't afraid of that. It's just not what they do.
Honestly, after a lot of effort I couldn't find a reason to smooth anything. Price has the most information so why would I strip out the information? In that regard, these filters can have some value if you want to detrend w/minimal phase effect so you can get a better look at the residuals. But, smoothing by itself. For what? So I can have silky smooth canned technical indicators? Quant funds aren't afraid of that. It's just not what they do.
I think Wilmott and nuclearphynance.com are probably as close as they come. Wilmott does appear to mostly be students trying to get into finance with some market professionals and total noobs thrown in. Most currently employed quants are not going to take the time to go posting on message boards. And even those two sites primarily deal with pricing derivatives so why you'd think they care about some moving average which looks like is meant for TA is beyond me.
And if you think it's really that great then try writing a strategy and backtest it that can generate 3+ sharpe (and of course trade some size and reasonable tcost assumptions) and I'll help you get a job trading it (or find a headhunter) where you can be like these quants you're basically laughing at making a 6 figure salary (+ benefits) and potential 7 figure bonus.
No offence but 0% losing trades is impossible however strong the edge is... unless a trader extends stop-loss forever in vain hope of winning every time, which is madness.
To the OP... people reply to threads they find relevant. Most posters on both Wilmott and Nuclearphynance specialise in pricing financial derivatives and not in systematic trading. Naturally, "improved" moving averages are of absolutely zero value to someone who values Bermudan options.
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