Anyone thinking about doing doing some technical analysis may well become less enthusiastic about the idea if they first played around with generating some random time-series with statistics similar to the real thing and then dwelling on the fact that they look pretty close to the real thing. GARCH(1,1) isn't a bad place to start (although it's not perfect). I just put up some R code on github for this here: https://github.com/mhowlett/garch11 which I was experimenting with in the past. I can't remember the state of it exactly, but I think it works.
A free, complete guide to Technical Analysis
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Re: A free, complete guide to Technical Analysis
#12Technical analysis doesn't have any science backing it up. However, as most pop books are some form of swing, candlestick, Bollinger bands, mean reversion, it creates a self-fulfilling prophecy.
If you're going to play the markets, it's quantitative analysis or go broke. And that is a literal go broke!
Re: A free, complete guide to Technical Analysis
#13Funny, I read this is as a free and complete guide to the effects of confirmation bias. A free and complete guide to bullshit is just bullshit. Technical analysis is a farce.
Oh wait we're economists - free markets are sacrosanct and they are efficient - if there is an arbitrage opportunity to short surely the rational investors will price it correctly. Not.
https://news.ycombinator.com/item?id=4589264#up_4589651
Glad to see you've changed your opinion and now believe that the (weak form) Efficient Markets Hypothesis holds.
Re: A free, complete guide to Technical Analysis
#14Earlier quoted context omitted.
Like most things in life, it isn't quite that simple. There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. A simple example: There are many traders out there using TA, if sufficient numbers of them start following the same signals then real market impact occurs. You can use TA to establish what signals they are using and…
> Like most things in life, it isn't quite that simple. Like most things in life, technical analysis is bullshit. > There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. Stat arb is not what is commonly known as technical analysis. They are distinct. > A simple example: There are many traders out there using TA, if suffici…
I have been a trader for 15 years, I have seen TA absolutely working and I have seen it failing. You can take the opinion of someone that has walked the walk, or not. I have given you a specific example where TA does work, so it can't all be bullshit right?
Re: A free, complete guide to Technical Analysis
#15Earlier quoted context omitted.
Like most things in life, it isn't quite that simple. There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. A simple example: There are many traders out there using TA, if sufficient numbers of them start following the same signals then real market impact occurs. You can use TA to establish what signals they are using and…
> Like most things in life, it isn't quite that simple. Like most things in life, technical analysis is bullshit. > There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. Stat arb is not what is commonly known as technical analysis. They are distinct. > A simple example: There are many traders out there using TA, if suffici…
Stat arb is not what is commonly known as technical analysis. They are distinct.
No. Technical analysis is forecasting prices based on past data. Stat arb is a particular form of technical analysis, based mainly on looking for mean reversion in sets of securities.
Strictly speaking, statarb \subset technical analysis.
Re: A free, complete guide to Technical Analysis
#16Funny, I read this is as a free and complete guide to the effects of confirmation bias. A free and complete guide to bullshit is just bullshit. Technical analysis is a farce.
Oh wait we're economists - free markets are sacrosanct and they are efficient - if there is an arbitrage opportunity to short surely the rational investors will price it correctly. Not. https://news.ycombinator.com/item?id=4589264#up_4589651 Glad to see you've changed your opinion and now believe that the (weak form) Efficient Markets Hypothesis holds.
Just because I said that technical analysis is bullshit does not mean that I think EMT holds.
I can also say that using the times bulls shit in Colorado to predict stock prices is bullshit. That once again does not mean that I think EMT holds. It just means that the technique I called out has no predictive value.
Re: A free, complete guide to Technical Analysis
#17Earlier quoted context omitted.
> Like most things in life, it isn't quite that simple. Like most things in life, technical analysis is bullshit. > There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. Stat arb is not what is commonly known as technical analysis. They are distinct. > A simple example: There are many traders out there using TA, if suffici…
I have been a trader for 15 years, I have seen TA absolutely working and I have seen it failing. You can take the opinion of someone that has walked the walk, or not. I have given you a specific example where TA does work, so it can't all be bullshit right?
> You can take the opinion of someone that has walked the walk, or not.
In opinions we trust? What kind of a trader are you?
> I have been a trader for 15 years, I have seen "go all in on a bunch of calls" absolutely working and I have seen it failing.
That sentence is basically void of content.
> I have given you a specific example where TA does work, so it can't all be bullshit right?
No. You could give me an example of homeopathic medicines used shortly before someone goes into remission.
That doesn't mean that cures cancer.
Re: A free, complete guide to Technical Analysis
#18Earlier quoted context omitted.
Oh wait we're economists - free markets are sacrosanct and they are efficient - if there is an arbitrage opportunity to short surely the rational investors will price it correctly. Not. https://news.ycombinator.com/item?id=4589264#up_4589651 Glad to see you've changed your opinion and now believe that the (weak form) Efficient Markets Hypothesis holds.
Just because I said that technical analysis is bullshit does not mean that I think EMT holds. I can also say that using the times bulls shit in Colorado to predict stock prices is bullshit. That once again does not mean that I think EMT holds. It just means that the technique I called out has no predictive value.
The claim "technical analysis doesn't work" is the weak form EMH.
So yes, you are being inconsistent, unless I've mistakenly interpreted "technical analysis is bullshit" as "technical analysis doesn't work". Is it your belief that technical analysis does work, but is still bullshit?
Re: A free, complete guide to Technical Analysis
#19Earlier quoted context omitted.
> Like most things in life, it isn't quite that simple. Like most things in life, technical analysis is bullshit. > There are real inefficiencies in the market which can be highlighted by TA. TA can also be considered a form of Statistical Arbitrage and vice versa. Stat arb is not what is commonly known as technical analysis. They are distinct. > A simple example: There are many traders out there using TA, if suffici…
Stat arb is not what is commonly known as technical analysis. They are distinct. No. Technical analysis is forecasting prices based on past data. Stat arb is a particular form of technical analysis, based mainly on looking for mean reversion in sets of securities. Strictly speaking, statarb \subset technical analysis.
> forecasting prices based on past data
By your definition everything is technical analysis.
Which makes your definition useless.
Re: A free, complete guide to Technical Analysis
#20Earlier quoted context omitted.
Just because I said that technical analysis is bullshit does not mean that I think EMT holds. I can also say that using the times bulls shit in Colorado to predict stock prices is bullshit. That once again does not mean that I think EMT holds. It just means that the technique I called out has no predictive value.
The claim "technical analysis doesn't work" is the weak form EMH. So yes, you are being inconsistent, unless I've mistakenly interpreted "technical analysis is bullshit" as "technical analysis doesn't work". Is it your belief that technical analysis does work, but is still bullshit?
Sorry, I read your statement too quickly. Missed the "weak". I thought you meant EMH holds (as I stated above).