Tag Archives: MTA

If you are into market technical analysis, you may be interested in joining the Canadian Society of Technical Analysts and MTA?

If you are into market technical analysis, you may be interested in joining the Canadian Society of Technical Analysts and Market Technicians Association

It is quite good and very affordable for technical traders. Check it out at:

http://www.csta.org/index.php?categoryid=1

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

MTA? Market technical analysis vs Human charting vs quant neural networks

MTA? Market technical analysis vs Human charting vs quant neural networks
The effects of Black Swan Theory on quant advanced neural networks
This was a discussion found on Linked In:
The technology has progressed since the 70’s. A follow-up would be have you recently used a NN to predict something about a financial market?

Either way is fine and there is nothing wrong with knowing other peoples opinions but sometimes there is no substitute for actual doing or even just trying.

I’ve read the Black Swan book. From the limited view of traditional statistics he’s academically correct: something unexpected can happen. However, overall I found his perspective totally irrelevant to what I do. One is not trying to predict very event, every moment in time. If you are then of course what do you do about that rare Black Swan moment?

In trading the only requirement is that on those specific moments when your model makes a prediction that it is accurate most of the time. As the model is developed from history and as Black Swans are so rare they are eliminated as outliers in preprocessing, the NN will not see them and so not act on them.

Is your perspective that the market is fractal so it can’t be predicted accurately?

If it can be predicted does that mean it is not fractal or that the NN is capable of prediction for fractal functions, strange attractors, etc.?

None of our models will pick up the Black Swan type events by definition. All we can do is try to hedge/insure our positions against these events when economically sensible, which is Taleb’s philosophy. Buying far out of the money puts on the stock market when you are highly leveraged long due to your model’s prediction is a perfect example.

Also there there are smaller day to day signals that our none of our models will pick up that we can call “noise”. For example if new information becomes available that we just haven’t captured in our inputs, it will affect prices.

So the best we can do is have more/bigger winners than losers.

It is proven that a neural network can approximate any functional mapping to any desired degree of accuracy. So if the information is in the inputs, I know that a properly constructed net or committee of nets can tease it out and make money.

My philosophy has been that the value of market information decays quickly and that predictions made more for more than the very short term are suspect. But I see in some of the comments that people are predicting much farther into the future. I am curious to hear about the effectiveness of these approaches.
Actually, a model which picks out the black swans is a rather dubious one, i guess. Even if news impact is moving towards higher and higher frequencies, you can still catch it, based on a (often nonlinear) reinforcment loop/feedback.
I agree human based charting (whether one uses colored pencils or not) has limited usefulness unless one is drawing 3, 4, 5, and n dimensional charts (kind of like the 3 dimensional chess Spock used to play on StarTrek).

On the other hand, have you taken a look at the subjects on the Market Technicians Association’s certification exam?

How does your profit factor translate into a compounded return on investment (from actual investment experience)? Which do you think (profit factor or ROI) is a better way to measure utility or success of a method or system?
I agree human based charting (whether one uses colored pencils or not) has limited usefulness unless one is drawing 3, 4, 5, and n dimensional charts (kind of like the 3 dimensional chess Spock used to play on StarTrek).

On the other hand, have you taken a look at the subjects on the Market Technicians Association’s certification exam?

How does your profit factor translate into a compounded return on investment (from actual investment experience)? Which do you think (profit factor or ROI) is a better way to measure utility or success of a method or system?
Spock is only in the movies….human beings are incapable of making an effective decision when using more than 7 to 9 variables. The brain has to break more than that into sub-problems to do any decision making. We just aren’t wired for more complexity than would have been encountered by a band of hunter gatherers trying to kill a mastodon for dinner. We only left that behind about 10,000 ago so perhaps in another 500,000 years of evolution we might be able to do the Spock thing.

I missed the topic index on the Market Technicians Association’s certification exam. Could you post it so we can all read it?

I think a Profit Factor > 10 is exceptional. What do you call exceptional?
There are lots of measures of system quality: Profit Factor, ROI, ROM, Sharpe, Serrintino, Trade Net in relation to MFE, MAE and 20 more. Which do you like
I wasn’t seriously suggesting we do n dimensional graphing. I was trying to (apparently poorly) make the point that I like to reduce graphical aids to mathematical measures precisely because reality is more complex the even 5-6 variables. That seems to be my limit.

MTA is into charting. Didn’t mean to make a big deal about them. They particularly like candlestick charting (which I also like if you have to chart).

I am a simple minded accountant who just likes to see maximum capital growth with minimum risk and maximum liquidity at the end of the day, week, month, whatever. As such, I like ROI as a final measure of capital growth and as the ultimate measure of success or failure for an activity. Risk is effectively linked to ROI in that high risk investments (low probability of success) which yield large returns may ultimately NOT produce maximum capital growth. Liquidity is also related to both risk and ROI in that if you can’t spend it when you need to who cares how much you have.

High Profit Factor is nice. I just prefer watching capital grow on a compounded basis however that is done. Obviously, the actual implementation of the system can dramatically affect results. A method with a great Profit Factor that is difficult (or practically impossible) to implement is academic. I’m more of a philosopher with a lazy streak than an academic.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!