If this was futures trading, does it look like I have a (+) expectancy?

Discussion in 'Trading' started by Fonzy66, Oct 31, 2012.

  1. yes, I have no integrity whatsoever. Go back and get an education and read the original post. First of all, even the coin tosses can't be discussed intelligently since one put up the idea of a rigged coin that flipped heads 60% of the time. And everyone who has no reading comprehension just started spewing forth everything they know about coin tosses. And then small minded posters couldn't understand if we were talking about Black Jack or trading, even though that is what opie asked about. So it is a convulted mess which attracts many to state the long known mathmatical truth that they think is so new, even though it has been known since the invention of the game (until they invented card counting) that you can't beat the dealer. Even if you adjust bet size. But that hardly addresses the question of how that relates to futures trading, which if you had read the OP was the original question.
    #31     Nov 2, 2012
  2. asap


    blackjack or any other game of that sort or trading is pretty much the same, as far as expectation is concerned, that is, negative expectation.

    betting strategies don't alter the expectation of the game. the only way to make money in the long run, is by reverting the built in negative expectancy, which in blackjack is only possible, when counting cards is a viable option.

    in trading, reverting negative expectation is hard but has been done many times through i.e. inside information, arbitrage, or systematic trading. again, betting strategies in trading don't alter the expectancy, but can change the smoothness of the equity curve.
    #32     Nov 2, 2012
  3. CT10Gov


    You are just rambling now... you are the one who stated that you don't believe mathematicians because they disagree with your common sense.

    A biased toss coin is the simplest device of testing simple statistical hypothesis. You failed to understand even that.

    Now you are posting barely comprehensible blobs trying to save yourself from looking foolish.

    You have failed, oldtime.

    #33     Nov 2, 2012
  4. CT10Gov


    Careful... this is only true if the game exhibits indepdence between plays. If it doesn't (like the market), then betting strategies will change the expectation.

    #34     Nov 2, 2012
  5. asap


    in trading, market occurrences are fully independent from each other, which, i know, is quite the opposite the common perception.

    the only visible, sustainable, non-random pattern is the autoregressive nature of volatility, which cannot be used in a betting system to maximize positive expectancy, because it tells us nothing about the next event either.
    #35     Nov 2, 2012
  6. yeah, I think we already covered that about 200 years ago
    #36     Nov 2, 2012
  7. CT10Gov


    Are you... joking? Almost all market prices exhibit autocorrelation at multiple time frames, especially as you decrease the time frame.

    Are you seriously suggesting this the SPX's price at 9:05 is generated from a process such that it's independent from the 9:10 price?

    Again, seriously?

    #37     Nov 2, 2012
  8. first of all, if you had ever learned to read, you would know I never said I don't believe them (why do I even waste my time on you) I said I don't understand it.

    and secondly, for the last time, if you haven't kept up because it is too hard to read simple ET internet posts, we are not talking about a fair coin toss like in the Superbowl, we are talking about a rigged coin which flips heads about 60% of the time.

    Might I suggest the Sylvan Learniing Centers, since it seems public education has failed you when it comes to reading comprehension.
    #38     Nov 2, 2012
  9. asap


    no autocorrelation whatsoever, especially in shorter time frames.

    in wider time frames, i.e. multi year, you can see autoregression due to known externalities, such as inflation, quantitative easing, survivorship bias, etc.

    looks like you still have a lot to learn.
    #39     Nov 2, 2012
  10. CT10Gov


    Um.... hence, I said multiple horizons. Shorter time-frame == tick level - go ahead and run the autocorrelation between last traded price for IBM in the last 3 days... tell me what it is, because I see around ~70%.

    And, as you say, on the longer time frame as well.

    And no, survivorship bias doesn't induce autocorrelation in the time series of price.....

    You don't appear to know what you are talking about.

    #40     Nov 2, 2012