Examples: Fallacies, Part 2. Statistics Is a Pseudo-Science, or a Chronicle of Nosediving Bread And Butter
frito:
Broken link in this section
...It is especially vivid with geometric MM (the reasons were explained in the article).
Sorry, this is the correct link. Thank you, frito.
2 Rosh: спасибо, я вижу. Одной строчки не хватает, но в принципе уже достаточно, чтобы понять то, что нужно.
frito:
Fixed, thank you.
Broken link in this section
I do not know how to use this attachment.tell me please.
mjmljqmjmljq: I do not know how to use this attachment.tell me please.
Please read "Criterion of Corresponence of a Trading System to the Bernoulli Scheme. Description of Script Operation" section here.
good!
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New article Fallacies, Part 2. Statistics Is a Pseudo-Science, or a Chronicle of Nosediving Bread And Butter has been published:
Numerous attempts to apply statistical methods to the objective reality, i.e. to financial series, crash when met with the nonstationarity of processes, "fat tails" of accompanying probability distributions, and insufficient volume of financial data. In this publication I will try to refer not to the financial series as such, but to their subjective presentation - in this case, to the way a trader tries to halter the series, i.e. to the trading system. The eduction of statistical regularities of the trading results process is a rather enthralling task. In some cases quite true conclusions about the model of this process can be made, and these can be applied to the trading system.
In this publication I will try to refer not to the financial series as such, but to their subjective presentation - in this case, to the way a trader tries to halter the series, i.e. to the trading system. The eduction of statistical regularities of the trading results process is a rather enthralling task. In some cases quite true conclusions about the model of this process can be made, and these can be applied to the trading system.
I apologize to the readers far from mathematics for the complicacy of exposition, but obviously it is an inevitable sequence of the article contents. It seems that the promise stated at the end of my previous article, is not fulfilled. So, let's start our search.
In the article we managed to build an artificial example that vividly shows us a profitable strategy with money management (MM)rule "lot=0.1" that turns into a losing one at a geometric MM. A very regular sequence of profitable and loss trades was used there that can hardly be met in reality: P L P L P L P L P L P L ... The first question is: Why do I analyze exactly such "regular" sequences?
Author: Sceptic Philozoff