Ta Libra,
Ik heb enkele van je berichten met uitleg en toelichting gelezen. Interessant is je opmerking dat TaL. vooral afgestemd is op het vinden van het dieptepunt. Dat blijkt ook uit de onderste regels met koopaanbevelingen.
Ik vond een behartenswaardige opmerking over 'systemen' in het algemeen. Een deel van de tekst volgt hieronder.
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Mark Finn of Vantage Consulting has spent years analyzing trading systems.
He is a consultant to large pension funds and Fortune 500 companies. He is
one of the more astute analysts of trading systems, managers and funds that I know.
...
He has a team of certifiable mathematical geniuses working for him. They
have access to the best pattern recognition software available. They have
run price data through every conceivable program and come away with this
conclusion:
Past performance is not indicative of future results.
Actually, Mark says it more bluntly: Past performance is pretty much
worthless when it comes to trying to figure out the future. The best use of past performance is to determine how a manager behaved in a particular set of prior circumstances.
...
What do Finn and his team tell us does work? Fundamentals, fundamentals,
fundamentals. As they look at scores of managers each year, the common
thread for success is how they incorporate some set of fundamental analysis into their systems.
This is consistent with work done by Dr. Gary Hirst, one of my favorite
analysts and fund managers. In 1991, he began to look at technical
analysis. He spent huge sums on computers and programming, analyzing a
variety of technical analysis systems. Let me quote him as to the results
of his research:
"I had heard about technical analysis and chart patterns and, looking at
this stuff I would say, what kind of voodoo is this? I was very, very
skeptical that technical analysis had value. So I used the computers to
check it out and what I learned was that there was, in fact, no useful
reality there. Statistically and mathematically all these tools-
stochastics, RSI, chart patterns, Elliot Wave, and so on-just don't work.
If you code any of these rigorously into a computer and test them they
produce no statistical basis for making money; they're just wishful
thinking. But I did find one thing that worked. In fact almost all
technical analysis can be reduced to this one thing, though most people
don't realize it: the distributions of returns are not normal; they are
skewed and have "fat tails." In other words, markets do produce profitable
trends. Sure I found things that work over the short term, systems that
work for five or ten years, but then fail miserably. Everything you made,
you gave back. Over the long term, trends are where the money is."
<<<
Eenvoudig samengevat:
- historische gegevens zijn waardeloos voor toekomstverwachtingen (Finn).
- fundamentele analyse is de basis van een succesvol systeem (volgens Mark Finn).
- Ta-systemen werken niet, hooguit voor korte tijd (Gary Hirst).
Je hoeft niet iedereen te geloven, maar als er een kern van waarheid zit in bovenstaande tekst, dan betekent dat dat je de input van je systeem regelmatig moet updaten.
Anders gezegd, hoe ouder de gegevens en marktomstandigheden, hoe minder betrouwbaar de empirische resultaten voor de toekomstverwachting zijn.
vrgr
marique