Why I call Backwardation in time Feynman-like effect
- Thread starter harrytrader
- Start date
With today's high at 10746.88 we have backwarded to the FOMC day where a local top was LT=10744.2 (so within the 2 points error normally expected and remark that it is overshot and not undershot by two points: overshot is much more frequent than undershot)
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Remark that it was from the bottom low at 10431 theorically on this scale 2 in real the lowest low was 10417 on spot but on lower scale it was 10415 theorically (10362 was made on globex morning with a real low of 10360) as posted in the old thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=27783 :
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Remark that it was from the bottom low at 10431 theorically on this scale 2 in real the lowest low was 10417 on spot but on lower scale it was 10415 theorically (10362 was made on globex morning with a real low of 10360) as posted in the old thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=27783 :
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Quote from harrytrader:
It occurs even near opening which is reputed to be "volatile" and "unpredictable" example of last session on low scale we had backwarded in time when market reverse from its low at 10464.59 (near the theorical bottom at 10466.9): the green arrow is a backwardation in time since its arrow is in counterclock-wise or oriented towards the left. You can see that it is indeed going in the past only if you have the model since it occurs on a sort of invisible internal clock of the market.
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As I said there are some strange behaviors so that I can make some analogies with physics domain. I didn't even suspect them in fact before observing them. The same for QED (Quantum Electrodynamic) nobody including Feynman knows why Feyman's formula works: it isn't something you can deduce from theory it is observation. Travelling in the past should be completely crazy in physics and if Feynman method was accepted - he even received the Nobel Prize - it is because it is a fact that it is one of the best succes of precision calculation in physics but as for the causal explanation this is another story. Now my equations don't deal with physics it deals with econometrics: It isn't inspired from Quantum Mechanics at all at the origin and in truth there is no real causal link between the two. It is not because you have some analogy that the cause are the same. For example statisticians can make an analogy between the Koenig theorem in mechanics and the variance of points in statistics it doesn't mean that there is something really physics behind statistical datas. So there is nothing of atomistic behind my equations. This weird effect is in fact due to the interpretation of time: time, as for my equations is in fact an illusion or one can say that time is an artefact that comes from movement or activity. I won't extrapolate out of my equations to the entire Universe though - although if Universe is eternal and deterministic then time could be an illusion also .
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harry
i have to decide whether i will look at any of your posts ever again (sorry for sounding harsh). i like out of the box thinking, but it must make sense in the end. feynman himself, if i got him correctly, was very willing to think out of the box, but very unwilling to do so if there was no good reason. this is the point i try to make here. are your numerous research projects backed by performance or not. does the effect you describe in this thread hold in backtesting at least or not.
my experience in trading is that whatever sounds great usually does not work.
please shed some light on this issue. tell me the sharpe ratio of your trading or your tests. (and maybe avoid discussing the weaknesses of SR - you know normal distributions and so forth).
again sorry for being a little ... well ... agressive? but in principle i like so much what you are bringing up, and i am always frustrated since it seems to lead nowhere. finally i do not learn anything useful for trading. maybe i have to dig deeper, but for that i need stronger indication that you are not just promoting yourself or are just posting for the sake of it.
peace
i have to decide whether i will look at any of your posts ever again (sorry for sounding harsh). i like out of the box thinking, but it must make sense in the end. feynman himself, if i got him correctly, was very willing to think out of the box, but very unwilling to do so if there was no good reason. this is the point i try to make here. are your numerous research projects backed by performance or not. does the effect you describe in this thread hold in backtesting at least or not.
my experience in trading is that whatever sounds great usually does not work.
please shed some light on this issue. tell me the sharpe ratio of your trading or your tests. (and maybe avoid discussing the weaknesses of SR - you know normal distributions and so forth).
again sorry for being a little ... well ... agressive? but in principle i like so much what you are bringing up, and i am always frustrated since it seems to lead nowhere. finally i do not learn anything useful for trading. maybe i have to dig deeper, but for that i need stronger indication that you are not just promoting yourself or are just posting for the sake of it.
peace
Hi mind,
It seems useless to try to keep Harry to the most basic form of rigor you would expect from a person of sound mind.
Given the mountains of stuff that he is unloading at ET, we are entitled to some indication from his side what this all has to do with trading.
Some time ago, burried in mystical ramblings, he published a small sequel about properties of the number Pi which was totally erroneous. I would think that for a man like Harry, who quotes continuously out of mathematical textbooks, not publishing a correction is deeply disturbing.
Harry is a hopeless case.
Be good,
nononsense
"I have to decide ..." you're the King of Yourself I will accord you the right to decide what you want
"my experience in trading is that whatever sounds great usually does not work": you're right it is a conservative approach now to
pretend that your experience is universal is another thing. And why does it sounds great ?
Did I claim so ? Just look at the model's number yourself (I remind they are calculated 24h in advance so no curve fitting
even if you try to curve fit I wish you good luck
) : you should know that statistically with a stochastic model it is impossible to predict top and bottom within two points of precision so I let you conclude yourself if it sounds great or not. That's why my model can't be a stochastic model but a deterministic one. Moreover what my model pinpoints implicitly is that the BELIEF by many into a CHAOTIC STATE is a MYTH because it was in such state a deterministic model won't be able to make prediction. In fact the Lyapounov exponent has been demonstrated including by academic researchers to be too low for exhibiting chaos state so this confirm my claim above (a deterministic but non linear system is not obliged to be in a chaos state see the short tutorial on attractor in chaos theory http://www.elitetrader.com/vb/showthread.php?s=&postid=335367&highlight=attractor#post335367). But they have made the false conclusion or rather hypothesis, although reasonable at first since they don't know the true model, that this could mean that the market is not deterministic because they thing that such volatility can only come from chaos state but it doesn't come from chaos state it does come from the intrinsic deterministic equation itself. And so they continue with stochastic models with poor prediction power although they included long term memory effect in model like arima's model.
"tell me the sharpe ratio": first the sharpe ratio is just the basic CV in quality control - since I've been statistical process control engineer (or SPC). CV = standard deviation of measure/mean of measure. This ratio can be calculated without restriction since it's just a formula. But it doesn't mean than you can make statistical inference upon it and it is not used as for the real purpose of risk control in quality field where it is not the CV that allows to control the process but the limit controls of mean and variance so I don't attribute much utility to the CV and so to the sharpe ratio. Also I'm sorry to tell you that if there is something that is important in spc is the normality assumption because it is statistical nonsense or at least it is dangerous to make inference when it is not the case.
As said here the method requires that the candidate process fulfills some requirements:
http://www.1stnclass.com/spc_tutorial.htm
"Tutorial Statistical Process Control for the Non-Statistician:
CANDIDATE PROCESSES
This method will only be useful for high-volume (>60 pcs / hr) manufacturing processes. The process must be automatic, or at least semi-automatic, such that the human component has little or no effect on the outcome we are going to address. In other words, machinery/tooling needs to produce the actual characteristics we wish to control, not the way an operator loads a fixture, for example."
So that's what I am aiming to do now: fully automate the trading process because without that it is not reliable to claim any high statistics based on personal choice. So when it will be done I would make claim about sharpe ratio (although I won't be willing to trumpet it to too much people, today I can claim I know you don't believe it so it's not a problem
) if you want although as I said it is useless for controlling a process especially high skewed one. My interest is rather to predict and garantee statistically speaking a performance and a risk in the future and not in the past: who is interested by the past ? And to garantee future means that you must be able to make prediction or you are not able to prove rigourously if it is by chance that you make such or such performance. Let's take Larry William who made 10000% you would pretend that it is due to chance then it is funny that for 1000% and of course much lower people just don't apply the same doubt. So if I claim high performance like xxx% it will be in the case of a fully automated system where there is no human interaction. The automation has now been engaged under the form of decision tree tool it is not finished yet but it is partioned in modules so statistics should be collected by module.
How true - harry throws a lot of (mostly interesting) stuff around but leaves when it comes to conclusions.
Found on the web (http://www.neurosemantics.com/Articles/Brains_101.htm):
"Did I mention that brains are stupid? At least in one sense they are very stupid, in the aspect of quality. In that area, they are less intelligent than stomachs. Really. After all, if we feed our stomach garbage, it at least knows how to vomit. Not so the brain. Feed it garbage and it doesn't think twice, it just processes the garbage."
Too sad, there's no garbage indicator on ET
And what exactly ? About stochastic, cv, lyaponov, chaotic state, long term memory effect, arima, ... WHAT EXACTLY ? Are you capable of speaking precisely or you aren't just capable to even understand because you lack these notions ?
Do you try to hide your own ignorance ?
It's very funny that all you are capable is not to discuss technical points but only engage in easy, lazy and nasty personal attacks. Do you want me to be after you and use the same tactics ? I can be as nasty as you don't worry...
I will now use the ignore button for some people. And I hope that you aren't masochist enough not to do the same.
Do you try to hide your own ignorance ?
It's very funny that all you are capable is not to discuss technical points but only engage in easy, lazy and nasty personal attacks. Do you want me to be after you and use the same tactics ? I can be as nasty as you don't worry...
I will now use the ignore button for some people. And I hope that you aren't masochist enough not to do the same.
Quote from agrau:
How true - harry throws a lot of (mostly interesting) stuff around but leaves when it comes to conclusions.
Found on the web (http://www.neurosemantics.com/Articles/Brains_101.htm):
"Did I mention that brains are stupid? At least in one sense they are very stupid, in the aspect of quality. In that area, they are less intelligent than stomachs. Really. After all, if we feed our stomach garbage, it at least knows how to vomit. Not so the brain. Feed it garbage and it doesn't think twice, it just processes the garbage."
Too sad, there's no garbage indicator on ET
nononsense in my ignore list now with others.