I agree with so much of what you say here. But the thing is, (*I* think,) that B1S2 does (to a degree) too. "Risk Mgt" is an edge only when the other side is sloppy. "How often does that occur?!?!" Well, maybe often enough, IF WE DO IT. "Any monkey can look up Kelly..." TRUE TRUE TRUE -- but with enough beer in you, you'll admit that almost NOBODY YOU KNOW actually knows the expectancy of their trades, unless they're trading OPM and have reporting requirements. Right? RIGHT?!? (That last part? That was the arm twist right there. Tell me you felt that. Tell me. LIE to me.) I crack me up. TIME TO GO OUT! https://trapindy.com/musician-directory/a-i/hyryder/
Yes I agree that long term expected value is very hard to measure. But as a trader you have to try and measure it and trade based on your assumption Manage your risk accordingly. I have nothing more to say on this topic. Its pretty straight forward. 1) Find a trade that you believe will have a positive expectancy 2) Don't listen to what @Buy1Sell2 is saying 3) Manage your risk based on already documented and public theories. Ps. Arbitrageurs/Index holders/Debt holders and many more all have a good idea of what their expectancy will be.
People often refer to ML systems as opaque black boxes. I’d be curious to see a successful ML application whereby one could not possibly understand why it is successful, or how it is processing the data, given all of the information it utilizes as well as the underlying architecture. Any examples?
Sure, lots of them, RSI, pattern recognition, ADI, etc. Digital filters come from the physical world of digital signals processing (DSP), and are based on solid scientific and engineering principals. None of the other indicators are based on anything but pseudo-science at best. Of course using DSP to model the market as a signal plus noise is wrong, but then so are all other finance models to one degree or another, even the ones that get guys Nobel Prizes. Pick your poison, right? Interpretation of what negative group delay means can be a bit subtle, but I don't think it means that it has any predictive power, if that's what you are going for by the term "leading indicator." I believe it just means that it does not lag.
You have many questions here. If your strategy is developed by yourself (without ML) then I would say that in some circumstances you need to know why it is working so you know when it has stopped (or when to apply it or not). In ML if you are a big house and can dump money in then you need only understand when the parameters such as volatility have changed and turn off the algo. (They are, to my understanding only taking tiny pieces very rapidly)
You get stuck on Candlesticks...when you should read my post...high low close is the point. How we look at it bars...candles....does not matter. but you just gave me an idea...VOLUME Bars or candles... Thanks Tom. Also Thanks for taking me seriouisly so I did not have to put you on ignore and blocking like some idiots in this thread. Es
Time is a useful illusion. As for price, of course it lags, it’s the dependent variable of volume. Volume leads price. If one hasn’t done their DD of the truth and usefulness of this foundational concept then you have the thoughts and experiences that you are attached to and will continue to defend them no matter the cost. And for that price you get to be right in the limitations of your own mind and will seek out evidence as proof for the ‘righteousness’ of your world view. When decoupled from time, the market operates in a sequence of events. Just as you say, it’s the math.