Thread: who has series of random generated price data?

Originally Posted by ;

You invaded this thread together with all the daring claim that one could exchange a random walk.

Extraordinary claims like this demand extraordinary proof.

Rather you come up with all the volatility pumping example that has nothing to do with trading random walks at all, it is about investing in a portfolio of stocks that are not random walks at all, and a faulty excel sheet that doesn't implement a random walk since it is now clear after analyzing it.

All discussions were already given in this thread. Simply scroll back and attempt to know them....

I did not make that claim. It was created by Claude Shannon in the 1960s as I duly pointed out. Sufficient references are given.

Sorry to have to state this, but you may benefit from hearing it:

Your thinking is at the level of a half-edued person, and your ways are at the level of an unedued person.

Goodbye.

Originally Posted by ;

Goodbye.

Your constant insults (which prove that your manners are non-existent) will not help you prove your point or boost your credibility.

Goodbye

Originally Posted by ;

Your constant insults (which prove that your manners are non existent ) will not help you establish your point or increase your credibility.

Goodbye

Phew...

that I don't have any interest in proving points or building credibility, but to be of help in favorable circumstances.

Obtaining invited to conflicts of egos simply tires me. Not interested.

Plus it isn't an insult to let you know that your thinking, as expressed in this thread, leaves a lot to be asked - too much to be pointed out in detail. It is beside the point of this thread - which of helping bobwang.

Originally Posted by ;

And it's not an insult to allow you to know your thinking, as expressed in this thread, leaves a lot to be asked for

If you cannot stick to the subjective heights of my thinking then I can understand that, not many people can follow it, however, that doesn't give you the right to insult me by calling my thinking half-edued only because you can not (and do not even need to) know it.

Ending of discussion unsubscribe.

Originally Posted by ;

If you cannot stick to the abstract levels of my believing then I can know this, not many people can follow it, but this does not give you the right to insult me by calling my believing half-edued only since you can't (and don't even want to) know it.

End of discussion unsubscribe.

Sorry, but understanding abstract thinking isn't one of my flaws. I don't won't to divulge too much of my private particulars, but one instance in my days in academia are my answer to a very long open (decades) difficulty in theoretical quantum mechanics.

And I am quite used to, and tired of, having to put up with ramblings such as yours.

So don't insult my intellect. . .as if I cared...

,the end is correct, although your shine is incorrect.
The expected return of a random walk is zero. That means that there are volatilities from the procedure. As well as the volatility draining will earn cash .

Sowe can earn money in random walk.

Originally Posted by ;

What do you mean? See attached where this egy wins spreadsheet modelling flips of a coin.

I just did a fast test on your spreadsheet and I discovered a flaw. The formula in your asset column indied which if you drop, you make 100% if you win and lose 50 percent. By nature it is a profitable system because the profit factor is two. So this is not a random walk system. The reason the simulation on asset value is barely profitable because the bet size (50%) has exceed the max Kelly bet dimension (25%).

I made a minor modifiion on your spreadsheet. Now it make 50 percent if you lose but lose 50% only in the event that you win. Therefore the portfolio is no longer profitable following the rebalancing.

IMHO volatility pumping is just a kind of cash management egy. The general rule of thumb for money management: It wont turn into a system to profitable when the system doesn't have advantage.
https://forexintuitive.com/attachmen...1556161850.xls

Originally Posted by ;

,your shine is incorrect, but the end is correct.
The expected return of a random walk is zero. Sothat means there are only volatilities from the procedure. And the volatility money will be earned by draining with volatilities.

Sowe could make money in random walk.

Be that as it may. By now I'm a bit tired of the subject.

What do you consider the way of solving your issue suggested in the paper by Marshall et al?

Originally Posted by ;

I only did a quick test on your own spreadsheet and I discovered a flaw. The excel formula in your asset column indied which if you lose, 100% are made by you if you win and lose 50%. By nature it is a profitable system because the profit factor is two. So this isn't a walk system. The reason the simulation on asset value is barely profitable because the wager size (50%) has transcend the maximum Kelly bet dimension (25%).

I made a minor modifiion on your spreadsheet. Now 50% are made by it if you lose but lose 50% only in the event you win. Therefore the portfolio...

Hello FQ, and thank you for your first smart argument here. I see what you are saying but the point is the random walk modeled is log-Bernoulli, therefore no modifiion is needed by the spreadsheet.

Originally Posted by ;

Hi FQ, I see what you are saying but the point is the random walk mimicked is log-Bernoulli, so the first spreadsheet requires no modifiion.

Please enlighten me.