LOL! You asked for his journal, but now as you got it, you don't seem to like it . You permanently claim that price curve properties can not be predicted. I'm looking forward to see any substantial research or results from your side supporting that claim. I would be really interested in it. As to the Randi price, I'm not sure if a trader can claim it, but your statement that you can make profit from trading random-walk curves is a classical Randi candidate. BTW, from what you told of your method, it is just as well based on prediction. You predict mean reversion. When it doesn't happen, your account blows sooner or later. Hedging will not improve that situation: The difference between a traded and a hedged asset is not necessarily mean reversing either.
"You are still eligible for the $1M cash price. For James Rand it's enough that you prove to be statistically significant. With your possibilities, why give away the 1M ? It's not rational. (Well of course in that case they would not allow you to do any selective reporting, but that should not be problem, right?)." I don't understand the point you are trying to make. As I have stated before, I update my journal each week, the main reason for doing so is to maintain discipline, a bit like having to publish a report to shareholders, but every Friday rather than twice a year. I also think other traders may find it interesting. I include all trades, winners & losers. Some weeks I post a loss. I quote results in basis points since this is best when comparing trades in high & low priced shares (RIO current trades at 3123, CNA at 312). Again, you would be aware of this if you had read the journal.
@jcl366 >LOL! You asked for his journal, but now as you got it, you don't seem to like it . LOL. I do like it. As it fully proves my point. >You permanently claim that price curve properties can not be predicted. I'm looking forward to see any substantial research or results from your side supporting that claim. I would be really interested in it. If you claim something exists against any scientific evidence, the proof it's up to you. Or else I should be proving that also unicorns and fairies or anything you can up with in your fantasy do not exists. http://rationalwiki.org/wiki/Extraordinary_claims_require_extraordinary_evidence >As to the Randi price, I'm not sure if a trader can claim it, but your statement that you can make profit from trading random-walk curves is a classical Randi candidate. Of course he can. James is just anxiously waiting for his application. If he can guess right with statistical significance he will receive $1M. (Well of course they will make sure he cannot cheat by reporting what he likes, and that the result is significant.) Never made statements about profitability, but merely about statistical dominance. You have again problem with reading. BTW, from what you told of your method, it is just as well based on prediction. You predict mean reversion. When it doesn't happen, bad things happen to your equity. Hedging will not improve that situation That clearly proves you have understood nothing about hedging. Ordinarily, I don't need any unilateral reversion, as (in absence of possible constraints placed by the fund manager) the hedging ("protecting") players would normally gradually reverse the positions if necessary, thus continuously dragging the avg price.
@Mo06 >Again, you would be aware of this if you had read the journal. Do you mean just like you bothered to read my journal ? Still waiting to know what is the capital being traded, the margin used and the margining method. Are you reluctant ?
But I have shown you a proof. I've posted a spectral analysis of S&P500 data where you can clearly see that the data has a predictive frequency distribution, very different to the spectral dilation of random data. Such a frequency distribution can be found in most assets and is the result of market inefficiencies, in this case specific trading patterns. Can you then explain to us mere mortals the difference between your "statistical dominance" and a more than random chance of profit?
This is the classical problem of any grid trader. You gradually reverse positions, which has the same effect as closing the runaway trades with a loss. Your equity goes down, but you hope that the price will some day revert to that level and you can recover the loss. Unfortunately, more often than not that just won't happen and your losses become permanent. Grid trading can work, but has some additional prerequisites that seem not be fulfilled in your system. Otherwise your equity curve should be noticeably better meanwhile.
@jcl366 >"predictable frequency distribution, very different to the spectral dilation of random data" ? Just out of curiosity where did you get your PhD ? I just want to make sure what school to avoid for my children. >But I have shown you a proof. I've posted a spectral analysis of S&P500 data where you can clearly see that the data has a predictable frequency distribution, very different to the spectral dilation of random data. Ah yes ? Could you point me on which peer reviewed journal that research has been published please ? (In case you don't know what peer reviewed means: http://en.wikipedia.org/wiki/Peer_review ) Also why do you bother using woo-woo http://sebpearce.com/blog/bullshit/ scientific sounding terminology: do you think you can impress me or the ET readers? If you can "guess" right in a statistically significant way (in such a way to have your equity curve to go up in practically any realization) you don't need that. Don't you realize the two things do not go together ? You must choose: you either are a scientist or a psychic. >Can you then explain to us mere mortals the difference between your "statistical dominance" and a more than random chance of profit? I am surprised (am I?) that an expert in "spectral dilation" does not know what dominance means. When we say that S* dominates S, it means that according to some performance metric, say M you have defined (assuming the metric increases with "performances"), and under some given assumptions, you will have: M(S*) >= M(S) (http://en.wikipedia.org/wiki/Stochastic_dominance)
You have really decided to make a display of your intellectual abilities. Have I ever mentioned any grid involved in the trading methodology? Again you have no clue on the hedging mechanisms. "Protective" players are closed (that's the point of preserving trading information) when price happens to either go to one of the sell or buy player average (and also new players are open to "overload" the move to the nearest average, whatever it might be). This, in the long term, has the practical effect to create a convergence and overlap of the buy / sell player averages, thus causing any DD to be reabsorbed (process which clearly can be slowed down by the presence of position constraints). I have explained this in the earlier posts, which you never read of course. Well why would you need to read when you are so smart that you can "guess" or when you come with a preconceived idea ? But the real question here is why I am trying to deal with an "invincible ignorance fallacy" ? I can't win. http://en.wikipedia.org/wiki/Invincible_ignorance_fallacy
I have no PhD and do not plan to publish price curve analyses in peer reviewed journals. But it is a very poor show that you always fall back to ad hominem attacks when you can't think of arguments that would support your belief. Which seems to happen quite often recently, judging from your discussion style. Also a piece of advice: Don't use buzzwords like "statistical dominance" when you don't get the word right at the first attempt. When you mean "stochastic dominance", then I'm still looking forward to your explanation in which way it is different to increased profitability, and how it can be caused by trading a random walk curve. You may use any mathematical formula that you want. In fact that would be far better than a torrent of buzzwords.
>trading a random walk curve causes stochastic dominance Sorry, that meaningless sentence was not my statement, but another strange product of your imagination. I can't give private lesson here in Statistics. Especially, to hostile people not minimally interested in learning, but only to systematically twist and purport what they don't understand, to fabricate more nonsense trolling arguments. http://www.jstor.org/discover/10.2307/3009694?uid=3738296&uid=2&uid=4&sid=21104388453123