Experiments in Technical Analysis

Do you think the Theory of Relativity is an easy one to conceive & establish?
But yes, it did make the rules of the Universe simpler.

Don't confuse the method with the rules.

Be circumspect of easy money - it's more likely fortuitous.

Hi Kalyan

It is IFT of stochastics only....

"RSI".... it happens we one tries to cookup quick afls.. with pieces of codes form other afls..

Why not "K"? never really thought about it... just wanted to show a quick example... no particular reason...

regards

Karthik

Hi,
Revolutionary thinker Mr Naseem Taleib has HIT us like Mail Train & all our beliefs
are under serious introspection.

1st CV's post := Is Data Sationary ?

My understanding till now YES it is Stationary in Broader Relativity.{Proved by my
analogy of "Photo Finish" in Horse Racing}

Next Are we Overemphasizing RANDOMNESS ?

The out come of my Trade may be predominantly "LUCKY STREAK" ,YES it may be so or
it IS so.This belief will make me SKEPTICAL & relentlessly drive me towards garnering
the 'O D D S' in favour of the Trade. More Money Mgmt(Position Size etc) ,more Risk Mgmt.
(% Risk model,Optimal "F" etc etc ) OK so far so good.

Now acceptance & acknowlegment of this Randomness is 100 % OK ,which means the
Chance of tommorrow's close > open is Random or a little extension today's Close
being Highest or Lowest in coming 10 days is Random,absolutely OK till now.
But the event which has happened ,that is today's close after 3.31pm is a CERTAINITY.
yesterday's Close is also a certainity.Plz accept & acknowlege this.The TIME in
"Y" axis of a chart is not ,can not be ever ,now or never in FUTURE WILL EVER BE
R A N D O M.
We know if now is 10.52 am(before posting this) than at the time of posting this
it NEVER EVER will have a Time stamp < 10.52.

ONLY THE RIGHT SIDE OF THE CHART'S "X" AXIS CAN BE R A N D O M. I repeat only
the extreme Right side.

The eliptical path Earth traverses around Sun is FINITE ,measurable but it can
BOOM & disintregate is possible ,like the Black Swan.That possibility that i may
die just now is there but the moment i lived from 10.53 to now 11.04 is Certain.
Acknowlegment of Draw Down / Loss is TRUE event,it is not FALSE that I was Lucky
or Unlucky only in all my trades in last 280 days for 9 yrs.( Basically unlucky
is certainity in my case)

Now coming to data ,sample data (whether true representative of whole).
We may have to take recourse of

" The Axiomatic Theory of Probability " In simple words a Theory to MEASURE :=

SS:= Sample Space ;{Means Set of all possible/concievable outcomes }
Sigma:= Sigma Field; { Means set of all combination outcomes }
PF := Probability Function { Means Any damn set function ,whose domain/ boundary is SS}

SS * Sigma * PF

Here we also have few FIXED Mathematical RULE as following;

PF[SS]=1;

if "A" is an event in Sigma then,

PF [A] >= 0


I am seriously considering this presently,only to tackle future uncertanities.All my TA tools
till date is absolutely OK,to guide me in taking positions.


By the by the mathameticks in constructing a "Linear Regression Line " is itself a satistical
tool to predict future values from past datas & all statical tools are 100% applicable on
past data ,simply because it is representing a "Certain event".

Very interesting excersise going on & good to find All members i Respect in this forum has
participated ,waiting for all your guidance.


Asish

Hi Winston,

Yes, it does not matter what is the means with which you achieve the end. "End justifies the Means". Here I quote an example of one of my friends. He does not do any TA for trading. He just observes the price for a few days. If it is going up buys the stock. When it starts going down or after a certain amount of gain he sells. If he finds a second stock rising faster, he simply sells the first one and buys the second. He almost always wins. ('almost' because there are a few occasions where the trades go into loss but he quickly gets out). You may call this MM. But it is not based firmly on MM rules. His entry-exit are not based on any set principles. When he 'feels' that the time is right for entry or exit he just does it. It is a just a thumb rule he uses. So his technique is simpler than the simple ones we are searching. But if we base our 'simple system' on some rules then we get better results, even better than the 'simpler' system. We are trying to find such a system based on some simple rules. Unfortunately, in searching for simple rules and systems we are complicating the things. This happens because we try to force the data to 'FIT OUR RULES' instead of finding the rules which fit or explain the data. There are many other issues I want to discuss. I would do it one by one. Till then let us think about making the simple simpler.

regards

-Anant

Hi Anant,

really happy for your clear clever and positive response.
hope i learn from you a lot!!!!!

Regards,
Winston

There was a time when computers that weren't half as powerful as today's desktops/laptops used to fill an entire room and could be handled only by highly trained professionals. Today not only has the size reduced but the user interface has become simple enough for handling by even school kids. But can the same thing be said of the underlying technology? Searching at Google is easy but is the search engine as simple? In fact, for every level of simplicity at the 'front-end' there's an added level of complexity at the 'back-end'.

As far as making money is concerned, even my 50yr old aunt who has never seen a chart or a balance-sheet in her life (& the only MM she knows is managing her household expenses) is making money in this bull mkt. Her strategy is as KISS as it gets. She has these nice round-number targets for the Sensex - 12k, 13k, 14k etc. Sells when the index reaches this target. Gets restless thereafter & scurries back to buy once there's a correction. How about that for a 'system' and what are we doing wasting our time on this thread??

Regards,
Kalyan.

Dear Karthik,
Can you tell us how to code this Fisher Transform as an indicator in Metastock? That way, we can substantiate your theory.

Mozillan

Here is the metastock code for Fisher Transform


pr:=(H+L)/2;
len:=10;
maxh:=HHV(pr,len);
minl:=LLV(pr,len);
val1:=.33*2*((pr-minl)/(maxh-minl)-.5)+.67*PREV;
value1:=If(val1>.99,.999,If(val1<-.99,-.999,val1));
fish:=.5*Log((1+value1)/(1-value1))+.5*PREV;
fish;
Ref(fish,-1);

regards

Karthik

Thanks, Karthik. Will keep you posted on the results, as soon as I analyse them.

While sifting through the various kind of non-linear filters, i found the Fractal Adaptive Moving Average (FRAMA) to be an interesting one. It is conceptually elegant, relatively simple to implement and is based on the premise of price-time data being fractal in nature.

I attach herewith the fol :-

1) A document on the concept & coding principles of FRAMA. (Comments in red added by me)
2) A pic of FRAMA on the price chart.
3) An AFL of FRAMA.

Also, here is a link for Metastock code & graph for FRAMA http://trader.online.pl/MSZ/e-w-Frac...g_Average.html

Your views & opinions welcome.

Regards,
Kalyan.

Attached Images

FRAMA - graph.PNG (22.2 KB, 131 views)

Attached Files

	FRAMA - Concept &code.doc (38.5 KB, 93 views)
	FRAMA -AFL.txt (935 Bytes, 90 views)