Formal Studies in Technical Analysis

trader111 · #21 15th July 2008, 06:43 PM

again quoting part of the paper which sounded acceptable to me:

Quote:

A specific example of how confirmation bias is recognized as a potential source of inefficiency within the investment community is provided by Camerer and Loewenstein (2004, p.17). They report how an investment banker had described the way in which his firm combated the effects of traders’ “emotional attachment to their past trades” by periodically forcing traders to switch positions with each other.

Quote:

Goetzmann and Peles (1997) found that even well-informed investors had a tendency to favorably distort their perceptions of the past performance of funds that they held. This may explain the observed asymmetry between investment flows into winning funds and out of losing funds (Ippolito, 1992).

Quote:

The result is plotted in Figure 2 and shows a pattern of positive autocorrelations at short horizons followed by negative autocorrelations at longer horizons. It is therefore consistent with the empirical evidence documenting short-horizon momentum and long-horizon reversal.

SSRN Link: http://papers.ssrn.com/sol3/papers.c...ract_id=970852

the tape · #22 15th July 2008, 09:13 PM

hey !

very nice

thanks

trader111 · #23 19th July 2008, 07:19 PM

From “The Truth About Timing,” by Jacqueline Doherty, Barron’s (November 5, 2001), how the returns may differ by more than 10,000%

trader111 · #24 21st July 2008, 02:26 AM

biyasc · #25 21st July 2008, 11:11 AM

good effort trader111, keep it up.

trader111 · #26 21st July 2008, 12:35 PM

Quote:

Originally Posted by biyasc

good effort trader111, keep it up.

thnx Biyasc.

Papers look boring and extremely theoretical for a while, but still I find them far better than most books for idea generation. It is not about the advanced maths/computing used as proof in the papers. I just try to grasp the concept that author wants to say.

The other problem with the papers is the implementation of the concept it presents. Direct implementation may not sound possible but actually all traders use it in trading, in some part of the system.

CV reminded me of this quote yesterday:

"Without the stabilizing effect of a theoretical framework of how the markets function - whether intuitive or logical built upon the trader's fascination with the inner workings and price movement - research, trading-plan development and trade execution will remain volatile." - Joseph Hart

All the while I had a feeling was posting for myself

trader111 · #27 22nd July 2008, 02:45 AM

Much related to post #22 above

Quote:

The existence of mean reversion does not by itself preclude short-term momentum. Instead, we find short-term momentum in fact interacts with long-term mean reversion. A two-component model for stock price provides a parsimonious characterization of these two effects and their interactions. A strategy based on the rolling-regression parameter estimates from the model generates positive excess returns in all cases, most of which are statistically significant. This combined strategy in general outperforms both the pure momentum strategy and the pure contrarian strategy.

SSRN Link: http://papers.ssrn.com/sol3/papers.c...act_id=1009054

PS: somebody is pissed on me to give the thread a 'terrible' vote. He actually made me feel gud abt it

deb99891 · #28 22nd July 2008, 09:34 AM

Quote:

Originally Posted by trader111

again quoting part of the paper which sounded acceptable to me:

SSRN Link: http://papers.ssrn.com/sol3/papers.c...ract_id=970852

fantastic t111
carry on good work

sikandar · #29 22nd July 2008, 10:15 AM

Very informative

trader111 · #30 23rd July 2008, 02:46 PM

Friends,

There is absolutely nothing hi-fi about research papers, or anything that you learn formally.

Remember when you first learned algebra in school? perceiving x,y,z as numbers must have looked strange.

I just talked about market's tendency to revert to mean related to its momentum. See any stock, trending or range bound, has a tendency to revert to mean just when the momentum is greatest for that interval!

Quoting one of my previous posts:

Quote:

Originally Posted by trader111

Fast stochastics gives impressionable signals for NF on EOD time frame. Alternative: The mathematical construction of stochastics makes it go to extreme region if there is a one-sided move for 5 consecutive bars. In short term it is very often that a ticker makes a one sided move for seemingly extended period. This makes fast stochastics unworthy on 5 min. time frame, more so for stocks. For stocks even on EOD time frame it requires a lot of combining with other methods, if used for swing trading. However index futures show a more mature behavior, a one sided move is atleast met by healthy retracement or a top/bottom reversal for range bound market on next larger time frame.

Got the difference! One simple statement versus a seemingly difficult full pahragraph.

Good trading is'nt about finding a 'good' system. It is about understanding market behavior.

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