funny! i see you never read mandelbrot completely. another evidence of the true believer only reading the scriptures that match beliefs and ignoring the ones that do not.
Are you maintaining that it is impossible to use any means to predict a future event in market behaviour?
http://www.amazon.com/Mis-behavior-Markets-Benoit-Mandelbrot/dp/0465043550 http://www.amazon.com/Fractals-Scaling-Finance-Benoit-Mandelbrot/dp/0387983635/ref=pd_sim_b_title_1 I do not advocate blindly following the writings of anyone, just to let you know. I do advocate taking the information they provide and formulating an environment where you personally can verify and confirm either the usefullness or uselessness of that information. If you personally can not find value in ANY informtion, it is worthless to YOU and that is all that counts in the end. Some of the structural information Mandelbrot talks about is quite useful in creating trading charts. Other information he discusses is marginal. You won't know until you apply it or research it.
You are absolutely correct. That is why I state that the structure of the fractals is what's important. Mandelbrot's grasp on fractals is marvelous (I mean, he is the father) but his grasp of consistent application uses in charting applications is weak.
Read my response to Corey. Someone like yourself that does blindly follow what he reads instead of doing your own research and testing can't fathom what can be gained by applying a variety of problem solving techniques. These aren't actions of a "blind true believer" that is the action of someone that believes absolutely NOTHING until he can prove it to himself (me). Unlike you, I ignore almost nothing, I likewise believe nothing till I can prove it, without a shadow of a doubt, to myself.
All I can say is that the greatest minds and money have come up with systems to do just that (RAND corp for example). And over and over again they are wrong (very wrong). There was the modern prediction corp, that created a neural net to predict markets. Although they were bought out and their results went private, if you read their book (the predictors) it shows that they had huge problems with very small scale errors in the data. This is the same as chaotic systems extreme sensitivity to initial conditions and divergence. The upshot is I doubt their system was even close to 100% predictable. That being said, what you did was useful. You attacked it the way we should attack random data, you compared a mechanical system to one which is random. I showed you how to continue to test this to show it's validity. Far too many books out there that come up with great systems, only run them for 5 yrs or so (which is another form of cherry picking or curve fitting). Ultimately if your results are much greater than a monte carlo of random data (outside 95% confidence interval), then it is a worthy system to pursue and over time it could win. The most important part IMO is bet sizing, because as gaussian modelers know, the markets are not strictly gaussian and fat tail shocks do happen. Now do I believe all participants have the same access to information and thus their edge is random? No Way. Take a look at medallion. While they smile and tell all the cameras that they are studying moon cycles (TA disciples immediately see this as gospel), the reality (according to Belopolsky and Volfbeyn uncovered in a nasty lawsuit) is they are amongst other methods, reverse engineering POSIT order books, which violates security laws (as they are designed to keep institutions intentions invisible). I've made it a habit over the years to scratch beneath the surface, and try to find how winners really did it. However, you can take someone like zanger, who really did use pure TA and fundamentals, even massive leveraging and made a mint. I haven't seen anything that says he had an information edge. He happened to be in the right place at the right time and fortunately for him, didn't have any major fat tail events in the overall markets during that period. I haven't heard that much about his methods recently. Lastly there are other variables to look at besides price that put the odds in your favor IMO.
http://www.bloomberg.com/apps/news?pid=20601109&sid=aHfkhe8.C._8&refer=home ``No self-respecting statistician in finance is using Gaussian statistics,'' interjects Lord John Eatwell, an economist and president of Queens' College at Cambridge University, who's sitting in the back. ``All models are Bayesian,'' he says, referring to the theory derived from 18th- century British mathematician Thomas Bayes that allows for data to be constantly added to calculate probabilities. Taleb shoots back: ``Bayesian is necessary but not sufficient.''
"Predictions about the future based upon similarities to the past are worthless" Edward Allen Toppel Zen in the markets
Famous and infamous people make uninformed quotes all of the time. 640K ought to be enough for anybody⦠-- Bill Gates, 1981 A low voter turnout is an indication of fewer people going to the polls⦠-- Dan Quayle Airplanes are interesting toys, but they have no military value⦠-- Marshal Ferdinand Foch in 1911 And there's no doubt in my mind, not one doubt in my mind, that we will fail⦠-- George W Bush And what do you do?⦠-- Queen Elizabeth II, to four British guitar greats Are you a guitarist, too?⦠-- Queen Elizabeth II, to Led Zeppelin's Jimmy Page Are you Indian or Pakistani? I can never tell the difference between you chaps... -- Prince Philip British women can't cook⦠-- Prince Philip China is a big country, inhabited by many Chinese⦠-- Charles De Gaulle Computers in the future may weigh no more than 1.5 tons⦠-- Popular Mechanics Do not bother to sell your gas shares. The electric light has no chance⦠-- Professor John Henry Pepper Do you have blacks, too?... -- George W Bush, to Brazilian President Fernando Cardoso Do you still throw spears at each other⦠-- Prince Philip, to Australian Aborigines Dontopedalogy is the science of opening your mouth and putting your foot in it... -- Prince Philip Every prime minister needs a Willie⦠-- Margaret Thatcher, referring to Lord William Whitelaw Everyone is at peace and happy and they all hop around from cloud⦠-- Britney Spears, on heaven Everything that can be invented has been invented⦠-- Charles H Duell Families is where our nation finds hope, where wings take dream⦠-- George W Bush For every fatal shooting, there were roughly three non-fatal shootings⦠-- George W Bush For NASA, space is still a high priority... -- Dan Quayle Gaiety is the most outstanding feature of the Soviet Union⦠-- Josef Stalin Have you been playing a long time?⦠-- Queen Elizabeth II, to rock legend Eric Clapton How do you keep the natives off the booze long enough to pass the test⦠-- Prince Philip Hurray, boys! We've got them. We'll finish them⦠-- General George Custer, before Little Big Horn I admit it, I am not one of the great linguists⦠-- George W Bush I am a person who recognizes the fallacy of humans⦠-- George W Bush I believe there would be many people alive today if there were a death penalty⦠-- Nancy Reagan I can do anything you want me to do as long as I don't have to speak⦠-- Linda Evangelista I catnap now and then...but I think while I nap, so it's not a waste of time⦠-- Martha Stewart I did not have sexual relations with that woman, Miss Lewinsky⦠-- Bill Clinton I don't believe in black majority rule in Rhodesiaâ¦not in a thousand years⦠-- Ian Smith I don't feel we did wrong in taking this great country away from them⦠-- John Wayne I don't wake up for less than $10,000 a day⦠-- Linda Evangelista I don't diet. I just don't eat as much as I'd like to⦠-- Linda Evangalista I don't think about anything too much. -- Pamela Anderson I feel my best when I'm happy⦠-- Winona Ryder I get to go to lots of overseas places, like Canada⦠-- Britney Spears I have determined that there is no market for talking pictures⦠-- Thomas Edison I have opinions of my own, strong opinions, but I don't always agree with them⦠-- George W Bush I know how hard it is to put food on your family⦠-- George W Bush I know the human being and fish can coexist peacefully⦠-- George W Bush I know what I believe. I will continue to articulate what I believe⦠-- George W Bush I like most of the places I've been to, but I've never really wanted to go to Japan⦠-- Britney Spears I loved Jordan. He was one of the greatest athletes⦠-- Mariah Carey, on death of King of Jordan I never knew a guitar player worth a damn⦠-- Vernon Presley, to his young son Elvis I promise you I will listen to what has been said here, even though I wasn't here⦠-- George W Bush I recently met with the finance minister of the Palestinian Authority⦠-- George W Bush I think anybody who doesn't think I'm smart enough to handle the job⦠-- George W Bush I stand by all the misstatements that I've made... -- Dan Quayle I think God is a giant vibrator in the sky...a pulsating force of incredible energy⦠-- David Arquette I think that the film Clueless was very deep... -- Alicia Silverstone I think there is a Trojan horse lurking in the weeds trying to pull a fast one⦠-- George W Bush I think there is a world market for maybe five computers⦠-- Thomas J. Watson I think war is a dangerous place⦠-- George W Bush I think we agree, the past is over⦠-- George W Bush I understand small business growth. I was one⦠-- George W Bush I was asked to come to Chicago because Chicago is one of our 52 states⦠-- Raquel Welch I wish I wasn't the war president. Who in the heck wants to be a war president⦠-- George W Bush I'm not a very good novelist. But it'd make a pretty interesting novel⦠-- George W Bush I've learned not to put things in my mouth that are bad for me⦠-- Monica Lewinsky If a cricketer, for example, suddenly decided to go into a school and batter⦠-- Price Philip If it has got four legs and it is not a chair, if it has two wings and it flies⦠-- Prince Philip If the terriers and bariffs are torn down, this economy will grow⦠-- George W Bush If this were a dictatorship, it would be a heck of a lot easier⦠-- George W Bush If we do not succeed, we run the risk of failure⦠-- Dan Quayle If you have intercourse you run the risk of dying⦠-- Cyndi Lauper If you stay here much longer you'll all be slitty-eyed⦠-- Prince Philip I'm also not very analytical. You know I don't spend a lot of time thinking⦠-- George W Bush I'm much more than a pair of breasts⦠-- Pamela Anderson I'm not going to have some reporters pawing through our papers⦠-- Hillary Clinton I'm the commander - see, I don't need to explain⦠-- George W Bush I'm the master of low expectations⦠-- George W Bush In 1939 The New York Times said the problem of TV was that people had to glue their eyes... It doesn't matter what he does, he will never amount to anything⦠-- Albert Einstein's teacher It is clear our nation is reliant upon big foreign oil⦠-- George W Bush