url Great discussions going on this thread, and I see some of the posters I like to follow tend to gather around the same topics. There are other ways to approach the random cat-- keep an open mind. ...

who has series of random generated price data?

This is a typical 'binary' regression problem; aside from logistic regression, there are dozens of machine learning type of regressions you could apply. It's common to transform the input data using some type of normalization constraint (val->stdev ...

Relation between binary and continuous variables? (In MatLaB)

Thanks for sharing the links, unfortunately, they only serve to highlight part of the reason I found the common usage of the tool practically useless. The first link shows a picture perfect example; the second shows all sorts of failed indications. ...

Systematic trading

If you just made a foray into Hurst, Mandelbrot has some excellent laymen books on the topic and its relation to finance. In addition, you may find this paper of interest: url I know a few traders that swear by hurst as a useful tool, but I ...

Systematic trading

should be right up your alley... url

Trading Discussion on Advanced Topics

I happened to be perusing the book, 'diary of a professional commodities trader.' According to the book, he's been successful for the last 15 years trading commodities and forex. Although I have for the most part been in the random camp and prefer ...

Trend Lines Don't Work

Nope. Yes, I wiped the trail to avoid muddying my original intention. I haven't seen it expressed as equivalent volatility (or at least that I recall), I thought it was 'objectively' derived as an approximation to an exponential rolloff ...

How to calculate EWMA?

OldQuant, It's been a while since I've performed this calculation, but yes, that is the standard. I think it approximates an exponential weighted rolloff for a given equivalent simple average period? I haven't done the calculations for some time as ...

How to calculate EWMA?

edit: url

How to calculate EWMA?

I'll bite. How about a 100% theoretical win rate system. Buy and Hold the Dow for 50 years. Feel free to run monte carlo, bootstrap, or any other test to validate that proposition. Now how am I going to get rich very quick beyond my wildest dream? ...

Chance of Consecutive Losses

FWIW, a book titled, 'Trading Realities' is on my current reading list. It's a bit more options/equity oriented, but he covers some of these conditional studies and how they evolved over different eras in the chapter on 'a new era'. You might have a ...

Calling all Quants and Statistical Analysts

Not today. Regarding Gambler's fallacy, a random computer algorithm can easily generate a billion high states in a row (and I've seen it done) by chance, but have you ever seen an unbiased coin come up heads a billion times in a row? The basic ...

The difference between a MA and a non lag MA?

A perfectly gaussian generated walk with zero bias meets the above criterion, only the magnitudes are not binary (although the states can be made equivalent). And I know it goes against conventional wisdom, but once you see your conclusion is not ...

The difference between a MA and a non lag MA?

Disagree with this. The nearer price approximates a completely random walk (in the gaussian, IID sense) the better chance you have at a non-zero expectancy. In moving averages and actual market behavior, it's the fat tails and non IID (serial ...

The difference between a MA and a non lag MA?

Right. Take a look at the code (he kindly shared). You'll see that right off the bat, the data was already partitioned into up and down weeks, and then statistics were applied on the partitioned data. As you said, among other problems, "Of course, ...

Calling all Quants and Statistical Analysts

Hi EZ, I applaud you for your work, however, there is something that doesn't seem quite right about the assumptions. I've seen a similar approach in the book long/short market dynamics. However, like the author's approach, what you quantified here ...

Calling all Quants and Statistical Analysts

As a small side note, I assume you realize Newton actually lost a small fortune in the stock market. “I can calculate the motions of heavenly bodies, but not the madness of people” Isaac Newton As for Einstein, "You cannot beat a roulette table ...

Are you Issac Newton or Albert Einstein?

Have a look at 'Quantitative Trading Strategies,' by Lars Kestner. Doesn't go into too much detail about differing time-frames, but otherwise a good book that delivers what you are looking for. A few complaints from pure quants on amazon, as it ...

Systematic trading

I visit the bookstore(s) at least once or twice a week, so it's pretty easy for me to flip through most of these types of magazines and see if anything interests me; If so, I pick it up. I don't see enough stuff that would merit a subscription for ...

Systematic trading

I read it in its entirety, that was a pretty good article. Interesting ideas similar to what I've been doing (modeling volatility states for instance), but not on micro/milli second scale! Thanks again for posting, I would've never seen it, as it ...

Systematic trading