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 Forums ›› Technically Speaking ›› Strategy (System) Design ›› ACD--Is it the Method to The Madness?

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 eraci   Registered: May 2007 Posts: 18 05-02-07 04:46 AM Quote from ElatedMaverick: Do you believe it's a random walk? I don't believe it is a random walk. I just thought that the motivating rationale Mark put in his book is false. Essentially, knowing that the first 15 minutes can see the overall top over 1/26 of the time does not disprove the random walk hypothesis. That's the entire point I was making. -eraci- Edit/Delete • Quote • Complain
 ElatedMaverick   Registered: Nov 2005 Posts: 186 05-02-07 05:23 AM Quote from eraci: I don't believe it is a random walk. I just thought that the motivating rationale Mark put in his book is false. Essentially, knowing that the first 15 minutes can see the overall top over 1/26 of the time does not disprove the random walk hypothesis. That's the entire point I was making. -eraci- Ok I got your point and can't argue with it. That particular logic seems flawed, but I don't think that alone would invalidate the system (not that you were saying that it did). Edit/Delete • Quote • Complain
 Equalizer   Registered: Jan 2005 Posts: 1528 05-02-07 05:59 AM Quote from eraci: In chapter 1 which is freely available, Mark fisher claims that if market is following a random walk, then the morning 15 minutes has 1/26 likelihood to have seen the top (or bottom) of the day. And then he went on to claim that it is actually much larger a proportion, thus the opening range is a much more important piece of the puzzle. I can't help but laugh at this stupid claim. Only people who are poorly trained mathematically would believe this claim and take it at face value. -eraci- Ahem..., perhaps you'd like to cast your eyes over this then (see attachment) ... Although MF's logic is flawed, the result is correct. This is known as the arcsine law and is as old as the woods. What the paper shows is that empirical evidence (at least at the LIFFE) suggest that there is an even higher probability of the H/L occurring at the beginning of the trading session than expected by the arcsine law on lognormally distributed intraday returns following a GBM (big assumptions). From theory and practice we infer a "U" shaped curve. hl.pdf This has been downloaded 829 time(s). Edit/Delete • Quote • Complain
 Avalanche Moderator Registered: Apr 2002 Posts: 1042 05-02-07 07:45 AM There have been multiple threads on this subject here. Some, including myself have tested these methods and found that if they may have worked well in the past but don't work so well today. That's not to say they won't work again though but the low volatility environment has rendered lots of previously useful strategies worthless. Edit/Delete • Quote • Complain
 Spectra   Registered: Jan 2007 Posts: 2220 05-02-07 03:49 PM Quote from Avalanche: There have been multiple threads on this subject here. Some, including myself have tested these methods and found that if they may have worked well in the past but don't work so well today. That's not to say they won't work again though but the low volatility environment has rendered lots of previously useful strategies worthless. We're using his methods and they are working VERY well in real time. Of course they have been amended a tad with our rules. Edit/Delete • Quote • Complain
 jasonbraswell   Registered: Nov 2004 Posts: 300 05-02-07 03:58 PM Nobody on the floor uses that system. Edit/Delete • Quote • Complain
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