[R-SIG-Finance] Burns on Cramer

[BBands]

On 10/9/07, Patrick Burns <patrick at burns-stat.com> wrote:

> I think goals are of secondary rather than primary importance.
> Reading my horoscope in the newspaper may satisfy my goal
> of knowing how to run my life, but I think a more important
> question is whether that is the action of a rational person or not.

Ah, so we come to a divide. I suspect that in general we'll find
practitioners on one side and analysts on the other. In any case, I
got a lot out of a day spent thinking about it. Thanks for your
papers, always interesting.

As for your poker analogy, since the game most often comes down to a
few, or less, key hands, I'd guess that overall results have better
information than how the player performs on an average hand.

By-the-by, we've been using bootstrap distributions to evaluate the
probability of success for certain trades for a long time. Although we
are happy with this approach, the issue to me is getting enough
different kinds of environments in to the bootstrap sample. To wit, a
sample composed of daily US stock market data from 2002 and 2003,
yields rather different results than a sample composed of data from
2005 and 2006. We are currently using trailing two years, but there
must be a better method of sampling.

All the best,

    jab
-- 
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.