Why Can't I Trade with the Trend

[nzbryant]

Wow - the fastest growing thread ever on ET (except perhaps the marriage one).

Jane - there doesnt have to be a structure for a positive expectation. I have developed two systems on completely random numbers that have significant profits (with 99.9% t-test significance over thousands of simulations. Rules on where and when you enter and exit on a random number system can make you money (entries random or based on price movement, exits based on price movement and/or where you enter).

This sounds crazy - but it is true - Ive done it. Dont knock it until youve spent a week or so on Excel trying to do it (will need to write a macro for the simulations).

 

[jrkob]

what random number generator are you using ?

 

[PitchBlack]

Quote from NickelScalper:

So?

None of the above does anything to prove that future price is determined by past price action.

Would you agree that you can see a trend if i show postings and charts that were made BEFORE ( sometimes days, sometimes even months) the prediction happened?
I said several times in advance which way we were going and approx how long it could go that way. I must admit that i added mostly the word PROBABLY, that is because you can never be sure and i don't want people to jump in trades because of my opinion.
You don't need to know the start nor the finish of the trend; just the direction is enough to make money. If you know the trend for the next 24 hours, you know enough.

Summary of the postings i made and they can still be verified because they still are on the internet:

May, 25 2003: the bottom of march was THE BOTTOM.


June, 28 2003: from hereon higher and through the 1000 level.


August,20 2003:we will test the high (1015) again within the following days.


December,18 2004: we will at least have to wait until end of january 2005 before we can go short. A rough estimation even gives end of february 2005, the highs will be tested again.



I made dozens of postings like these. For me the discussion ends here. Whether there is a trend are not and whether you can consistently make money or not doesn't matter any more.
I know what i earn and that's enough. Why should i care about what others believe? My financial situation will not change by trying to change someonelses opinion.

If i ask my broker to transfer 10 000 $ to me because i want to spent it, he does the transfer.
So is this reality or imagination? I don't know, but when i run through my garage and hurt myself by bumping into my car, i feel that the car that was bought with that money was for real. I can even drive in it and untill now i never woke up in my bed when i was driving it.

 

[nononsense]

Quote from NickelScalper:

So?

None of the above does anything to prove that future price is determined by past price action.

Nobody said so.
Only by structuring (Jane's term) your knowledge about 'past price action' (not limited to) are you able to make a future profit out of today's transaction, this with nonzero probability. Your (cunning) sequence of such transactions will:
(1) lead to a positive account balance over a given period with nonzero probability;
(2) have a probability of ruin tolerable for the practitioner.

If you are dabbling in the market not subject to the above discipline you are possibly some kind of a 'Trend' gazer and most certainly a gambler.

PS: It is futile to talk about 'trying out a little edge' if you are not going to rigorously probe the above with properly designed experiments.

nononsense

 

[nononsense]

Quote from nzbryant:

Wow - the fastest growing thread ever on ET (except perhaps the marriage one).

Jane - there doesn't have to be a structure for a positive expectation. I have developed two systems on completely random numbers that have significant profits (with 99.9% t-test significance over thousands of simulations. Rules on where and when you enter and exit on a random number system can make you money (entries random or based on price movement, exits based on price movement and/or where you enter).

This sounds crazy - but it is true - Ive done it. Dont knock it until youve spent a week or so on Excel trying to do it (will need to write a macro for the simulations).

It is indeed crazy or possibly not crazy at all. In fact jrkob asked you the right question.

Your story is undecidable as you simply don't provide the information necessary to say anything at all about this.

Your 'random number generator' generates a stochastic process. What are its properties?

For example, if you start with a Wiener process and pass it through say a linear filter, its output is still random. (Call this giving it some structure if it makes you happy - some call it colored noise). A well known body of knowledge exists enabling one to make 'valid' predictions about the future output of such a process. This is the essence of simple Wiener Filter theory.

Let me hasten to add that the above example is not easily transposed to market environments. However, you could easily set up a computer experiment mimicking closely these theoretical results.

nononsense

PS: about fast growing ET threads: no threat yet for Chit-Chat

 

[jrkob]

I got caught in the past with these - not so- random numbers generated by not only Excel, but other programs too. There seem to be a number of limitations that makes generating truely random numbers on Windows not as easy as typing "=Rand()" on Excel.

Using that kind of pseudo random numbers, it would be very easy to come to the conclusion that a strategy selling deep out of the money options is systematically winning. While in reality, it isn't.

Demonstration and elements of answers provided by MrSubliminal here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=35622

 

[easyrider]

Quote from ProfLogic:

Easy, you have to be kidding right.
B]

The site is a sideline. I believe he runs a hedge fund for a living.

p.s. I took a look at your web site and ran across your challenge:


" Prove, to me, that Market Price/Momentum Does Not move Either to Or Through the Last Prime or Minor Support or Resistance Level from the Previous Sequential Support or Resistance Level,"

Im going to have to chew on that one for awhile. Any chance you could define prime and sequential?

 

[nononsense]

Quote from easyrider:

The site is a sideline. I believe he runs a hedge fund for a living.

p.s. I took a look at your web site and ran across your challenge:


" Prove, to me, that Market Price/Momentum Does Not move Either to Or Through the Last Prime or Minor Support or Resistance Level from the Previous Sequential Support or Resistance Level,"

Im going to have to chew on that one for awhile. Any chance you could define prime and sequential?

easyrider,

You must have missed the fine point in this. It's the juxtaposition of two central thoughts:

Quotes from ProfLogic:

Market prices mirror this action due to being born out of the same type of random chaotic environment as anything else effected by the Laws of Physics.

__________________
The Market is NOT Chaos and Randomness . . .

 

[ProfLogic]

Quote from nkhoi:

prof. how is this "Due to problems with "Theft of Information" and harassment this Website is CLOSED" better than that?

Nice "out of context" snatch and grab. I imagine you like it when people steal from you. What was your address again?

 

[Equalizer]

Here's a clue,

instead of bagging each other and adding no value to ET by turning this in to a pissing contest, why don't you two dudes settle this once and for all.

Live calls on a financial instrument of choice - do this for a week. Whilst not totally conclusive it should give all an idea of who can and who can't trade their way out of a paper bag.

I'm sure someone could organise the software to log the live calls, and given the popularity of the thread, I'm sure many here would be more than curious to see how some of the rather opinionated participants - who dispense advice with abandon - would fare under realistic market conditions.

I'd like to see that, yeah yeah...