Well, you don't have to worry about me stealing your system, since
I didn't understand it...but then I had the same problem with the "Jack
Hershey" system...anyway...
jonathan <maatschj@[EMAIL PROTECTED]
> wrote in message
news:IClEj.7560$Q52.1384@[EMAIL PROTECTED]
> "Bill Reid" <hormelfree@[EMAIL PROTECTED]
> wrote in message
> news:1L9Ej.45512$cQ1.39493@[EMAIL PROTECTED]
> >
> > So you're day-trading a single "rocket ****p", probably a low-priced
> > issue. You've already got a ton of volatility inherent in the stock,
which
> > tends to negate any market out-performance of your short-term results
> > statistically...
> It's a short term system.
Yes, and as such requires even MORE data to prove statistically...but
I guess that's better than a less-volatile long-term system that requires
more than a human lifetime of trading to prove worthless...
> The idea is to start with a system at equilibrium
> that's been suddenly disturbed.
Hmmmm, seemed somebody just brought up something similar
in another thread, but they were going to electrical oscillation constants
to trade...and there are always people who just buy anything at the
top of the daily losers list, hoping it will "oscillate" up (happens a
lot,
also doesn't happen many times)...
> It's the /reaction/ to the disturbance
> that's being studied for emergent patterns, in complexity science.
> And it's the edge behavior that's interesting, and where universal
> patterns are found.
OK. Not "OK, I understand", but just...OK...
> >
> > Maybe you should study just a little bit of physics, look up
> > the name "Heisenberg", or any type of game theory dealing
> > with pari-mutuel payoffs, or poker (your chaotic boundary is
> > the result of what in poker is called players "going on tilt").
>
> Here though we're dealing only with far from equilibrium states, and
> properties of collective behavior where history matters.
OK. OK, as in "OK, poker players 'going on tilt' is the result
of people getting bored with a game that nobody can win unless
somebody plays badly, so just about everybody suddenly decides
to play badly spontaneously just to keep things 'interesting'...I
just see that as a fascinating and relevant 'state transition' in
crowd psychology, but maybe it's not the 'edge behavior' you
are talking about (remember, I'm most interested in 'unpredictable'
increases in volatility for options trading)"...
> In stock charts an edge state takes the form of a panic sell
> or panic buy.
How do you detect the "panic" in the buy or sell? Just by the
size of the move in relation to previous trading?
> Where a small perturbation over time cascades
> and begins accelerating and converging on one or the other limits
> in possible behavior. As with a genetic algorithm searching
> for function limits. It's only a matter of time before the system
> slams into its own practical boundaries when the disturbance
> is of the proper character. Giving a very reliable bottom or top.
Well, if you can call "bottoms" and "tops" with great reliability
you're gonna be a very wealthy individual...
> This presents situations where pretty much everyone that
> will sell has, or might buy has. The future then is pretty easy
> to predict.
Well, if "news" gets even better or worse, that might motivate
some more buying or selling (or more accurately, always buying
AND selling, since both are needed to establish a price).
> When either limit is found, the near future is always obvious
> to everyone.
A surprising number of people don't think that "bottom-fi****ng"
on sharp sell-offs (AKA "catching falling knives") is a great idea...
> System behavior then becomes detached from
> system specifics.
Well, stock trading is always kinda detached from reality, but
that's because people can't agree on "reality"...that's the FIRST
thing that drives the stock market to "chaos"...
> So the buyers and sellers, at the edge, suddenly agree and
> flock together in a very predictable way.
And sing "Kumbayah"?
> At least until the
> energy gathered in the drive from equilibrium is gone.
Maybe until the "resonant frequency" is fully disappated?
> This is an attempt to use the general properties of self-organized
> complex adaptive systems as a guide to determine the
> chart variable values which cause /any/ system to seek out and
> converge upon it's own limits in possible behavior.
I like the use of the word "attempt" here...
> /Uncertainty/ drives systems to the edge and generates
> universal behavior. To predict real world systems we must
> learn to /quantify/ ...uncertainty. This is what I'm attempting
> and will try to show below.
OK, I actually have my own way to quantify "uncertainty" specifically
for market analysis, but it's not that different than traditional
"variance"
(uncertainty over outcome, or deviations from the mean), just a way
of evaluating the psychological impact of all this "uncertainty"...
> It turns out that when the primary driving variables of
> any system are in the range where they give the very /least/
> amount of predictability, and all at the same time, the system
> begins hill-climbing, evolving and converging towards the edge.
So what are the variables you use for the market? So far all
you've talked about are price and volume (actually, I don't think
you've mentioned volume, I read ahead). I use MUCH more than
that, though they tend to generalize down to about less than a
dozen general market/economic characteristics...
> When a variable is within this miminum, it is said to be in the
> complex realm. As far from either simple endpoints as
> possible, so that one can't tell which extreme dominates.
Middle of the "trading range"?
> So that one can't gain any predictive value at all due
> to the equal distance from either certain endpoint.
So, middle of the "trading range"...or not?
> So, the mathematical task to define under what conditions any
> system will display universal behavior, is simply to define the
> primary system variables, then define the complex range for each.
OK, like I say, I have about less than a dozen or so general "inputs"
to the"system", but I have to re-orient my thinking somewhat because
I deal with a large-scale market/economic model where the "inputs"
are time- and effect-weighted with massive amounts of feedback
and feedforward in the "system"...
> Then draw the chart from that.
Would you overlay fundamental charts on technical charts?
Or are you talking about some specific representational techniques
from chaos theory? Are you looking at anything more than price
and volume?
> The three primary variables of a chart pattern are of course
> price, volume and the transient length.
OK, we're up to three inputs...I guarantee you there are more
for stock analysis in general, but for your purposes these MIGHT
suffice (this is now starting to look a little like what technical
analysts call "stochastics" or "oscillators")...
> Which is the length
> the disturbance driving the system from equilibrium lasts.
"Jack Hershey" used to say that you could detect LACK
of "equilibrium" when trading volume went DOWN (buyers and
sellers could not "agree"); this would signal a turning point in
the trading, and you'd wait for the next move on higher
volume to determine the direction and trade that way...
> Defining the complex realm is highly subjective, as is
> complexity science in general.
Oh, I don't like the sound of that, don't like it at all...
> But that isn't an obstacle
> to reliability.
It is an obstacle to testability, though...and I personally can't
"rely" on something I can't test (mind you, of course, that my
own personal "guessing" is always 100% accurate and requires
no testing whatsoever and I'd be insulted that anybody would
question it).
> All complex dynamic systems can be defined in terms
> of their static, dynamic and chaotic attractor behavior.
Yes, "systems" in general can be DESCRIBED in certain
rigorous ways, and chaos theory does give us some tools
to detect linear and chaotic states, the boundary conditions
that transition linear states to chaos, and the "attractors"
within the chaos, which are useful additions to mere
probability distributions and whatnot...
> Pattern/transient length.
> The complex realm is simply the time period that's as far from
> either extreme as possible as observed in practice.
OK, OK as in "I'm listening"...
> One extreme as observed in time frames is the day-traders
> which operate loosely speaking in /minutes or hours/.
> The opposite extreme or limit in time frame is of course
> the longs, which operate again loosely in periods of
> /months and years/. So a complex time period would
> be neither and both, in between.../days or weeks/.
> More than a day, less than a month.
I personally tend to trade stocks in roughly about 3-9 month
time frames, so I can appreciate the idea of a "sweet spot" of
trading effectiveness, but I suspect I derived that time period
from a lot more blood and sweat (and practicality!) than
you did...
It's interesting that you are now skirting around the idea of
some specific cl***** of traders, based in this case on their
preferred trade duration...just saying it's "interesting" for now,
no further editorial comment at this time...
> Ten to twenty day pattern/transient lengths define the complex
> range or pattern length with the least ability to inform the
> future.
"Jack Hershey" liked to trade in roughly 8-10 day periods for
stocks...and I have my own ideas about the relative ability of
market participants to predict the "future" for varying values
of "future"...
> Initial Price
>
> One extreme is the penny stocks, the other is the blue chips.
> Defining where blue chips begin is rather subjective.
For Bear Stearns, they went from "blue chip" to "penny stock"
in the space of days...
> But the price which typically reflects stability is sufficient.
Yeah, but I gotta say, stocks are supposed to grow in price,
to da moon if dreams come true, and Enron/Bear Stearns et. al.
shows the contrary nightmare...but again, for YOUR purposes,
I guess we can establish a "trading range"...we ARE talking
about a "trading range" when we talk about "stability", aren't
we?
> Defining the penney stocks is easier of course, let the
> lower extreme be the point at which stocks are booted
> off the exchange, say $2.
Actually, it depends on the exchange, but they'll kick you
off NASDAQ "national market" if you trade below $1 for a
certain period of time...which has led to some of the most
popular stocks in this newsgroup to perform 1:27 reverse
splits to evade this rule...have you considered the "wrinkle"
of "reverse splits" on price? Personally, I look more at
"market cap", particularly versus trading volume, with price
just being a fractional value of the "market cap", and
price*volume being the trading fractional value of "market
cap" (or "tradeable float")...but that's just me...
> And the opposite extreme to
> be over $10 or $20 is good enough. These boundaries
> are defined much like ****, you know 'em when you
> see 'em.
You get a little crossover if you just look at "price",
is alls I'm sayin', like Tracy Lords and Paris Hilton...
> So the disturbance should take place on a stock that is
> at the upper range of the complex realm, say $10
> or $20. And the distirbance should end near the
> lower range of the complex realm, say $5 or $10.
OK, I'm still wondering if this has anything to do
with "trading range"...
> Initial Volume
>
> Again, the high and low extremes are subjective and arbitrary.
Oh, I don't like the words "subjective" and "arbitrary"...
> Doesn't matter. Complex volume would not be, oh, 20 million
> shares a day, or a hundred thousand. But somewhere
> in between such obvious extremes.
Would this be something like "average volume"?
> Those are the necesary initial conditions.
>
> Then comes the disturbance.
>
> It must ...also...be a complex disturbance.
> Neither so weak or so strong that it's future
> effect is obvious.
You're really losing me when you say any kind of price
move will have an OBVIOUS future effect...if we can have
OBVIOUS future moves, why not trade those instead?
> But it must also be of such
> a magnitude so that one can't tell if it will quickly
> die off or totally destroy.
I think you're looking at this strictly through the
blinders of your selected variables, just price, volume,
and "transient length", and assuming that people
have some amazing ability to detect when a price (only)
move will "totally destroy", when in fact, for EVERY
price, there is both a seller AND a buyer, and for
prices moves down that "result" in eventual bankruptcy
of the company, the buyers are clearly WRONG, and
THEY ARE IN EQUAL NUMBERS TO THE "RIGHT"
SELLERS.
> The opposite extremes in effect on price of any
> disturbance would be of course a price that
> changes little over time, or changes all at once
> in a single spike down. So, of course, a complex
> rate of change of price would be again...in between.
>
OK, so you're not just trading big down/up days...
> A scale independent 45% degree angle or slope of
> minus 1.
>
Oh yeah, absolutely...what? Actually, I THINK I may
know what you're talking about...maybe...
> Final volume
>
> Again, between little change and too much like
> an order of magnitdue. The final volume, when
> arriving at the edge, should be roughly double
> initial.
>
OK, not too high a volume either, gotcha...
> Final price.
>
> Again, a complex change in price would be between
> no change and zero.
That's not much wiggle room there!
> While not falling out of the complex
> range.
>
> A fall of minus one half, 50%, that stops somewhere in the
> lower ****tion of the complex range.
>
OK, as in "I'm STILL listening"...
>
> ALL variables, initial, final and total change must
> display the maximum amount of ...uncertainty.
> They must all be complex. Then and only then
> the system behavior becomes universal.
>
IBID
> Of course all parameters are loosely defined.
> They draw a very recognizable pattern that doesn't
> really need much accuracy.
>
I don't like the sound of that, I don't like it at all..
> If you've read this far, thanks.
Hey, no problem, I'm gonna make $billions stealing your system!
> If you have chart options
> for ...20 days, as with Quote Tracker, then look at the
> chart patterns of these four tickers from the last few days.
> As you can see, they all meet the parameters rather well.
> There are plenty of them every week as you can see below.
> Too many I couldn't decide which to play as usual.
>
Me personally, I would let my computer look for tens of
thousands of them historically, and see what the results
are...
> Look at bxxx, smbl, rso, novn. (20 day charts)
I looked.
> A child could make ten percent a week.
I'd say most people in this group have the emotional maturity
of an 8-year-old, but that would be an insult to 8-year-olds...
>
> And they all do the same thing. Independent of company
> details, problems or whatever.
>
> Like any nice thunderstorm, the phase change or reversal
> is announced when the system finally converges on the edge
> with a nice loud clap of thunder (volume spike), followed
> by a brief rain-shower. Then the pattern is over. There
> is no real predictability beyond that point.
>
As long as we have thousands of candidates, giving us
lots of trading op****tunities at all time, not a problem...
>
> > Nature shows us how to wreck the friggin' SuperDome, after
> > the weatherman "predicts" the storm will not hit New Orleans...but
> > Lorenz told us 50 years ago why we couldn't predict nature with
> > anywhere near 100% accuracy...riiiiiight?!??!!
>
> The weathermen predicted Katrina well enough.
> No one listened.
>
Actually, talk to anybody in hurricane country, they'll tell you
about how they get sick and tired of evacuating due to hurricane
predictions that never pan out, only to have the ride of their
lives, or to have their lives end...chaos (human behavior) on top
of chaos (the weather)...
The most im****tant parallel of weather forecasting to stock
market "forecasting" is the greater accuracy of weather forecasts
these days due to satellites and computer modelling, since I
use parallel methods for my own stock market "forecasting"...
> Who needs 100% accuracy.
Not me!!! I just try to as well as I can...
The most im****tant parallel of weather forecasting to stock
market "forecasting" is the greater accuracy of weather forecasts
these days due to satellites and computer modelling, since I
use parallel methods for my own stock market "forecasting"...
> We need to know how to design
> systems with the properties of naturally evolving systems.
> And let the system find its own way to the ideal.
I detect a rant coming on...
> Science needs to get off the obsesssion on how to
> predict based on part properties, on deriving fundamental
> law from the simplest the universe has to offer.
> And begin writing new fundamental laws based on the
> most /complex/ the universe has to offer....life.
>
Rant on!!!
> The Great Mistake of modern science is to think we can
> unravel reality by starting with the simplest, the physical
> universe, in order to later understand the most complex
> such as life.
>
Go rant go!!!
> It's the other way 'round. Life....Darwin...the abstract properties
> of biological evolution show us the fundamental laws of order
> governing the entire universe. We can only truly understand
> the physical universe through Darwin.
Don't mention that to "comical" here, he's a "creationist" (and
so am I, sort of, but for much different reasons)...
OK, I think I've got something to go on here, even if you don't
answer my questions...it shouldn't be that hard to create a filter
to find the stocks that exhibit the "complex" criteria you talk
about, then test for the results after they hit that "edge" (you
didn't really say WHAT they would do, but that won't necessarily
stop me, because they do SOMETHING that I can measure and
describe statistically...including NOTHING of any interest, perhaps).
---
William Ernest Reid
Post count: 982
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