Hi kk,
I didnt notice this interesting thread until you pm me. Reading from 1st page now...
I didnt notice this interesting thread until you pm me. Reading from 1st page now...
Price movement as a function of Supply and Demand 43 replies
Spot Fx Trades based on futures volume and price movement 22 replies
How to differentiate pro and amateur price movement? 6 replies
Random Price Movement 177 replies
GBP/USD daily pip movement vs. EUR/USD daily pip movement 3 replies
DislikedHi kk,
I didnt notice this interesting thread until you pm me. Reading from 1st page now...Ignored
DislikedIn almost every instance, something identified as "random" can more accurately be identified as "we don't (or can't) properly understand all of the factors that determine the outcome".
Probably the most common example of a "random" event is a coin flip....Ignored
Dislikedanyone know how to measure the randomness of a set of data? i think it's better to state the randomness with a number (like 90% random) than just saying "not completely random".Ignored
Disliked
Hanover, your comments on roulette are apropos. I once made a roulette simulator in excel and tried to find an edge using ranges and trends - there isn't one. It could be that the random charts posted here have a real difference from real price charts since some traders feel like they have found an edge. I certainly find inside bars to be a good trade. It could also be that they are benefiting from fundamental drift, carry interest, and increased ranges per Mikkom's chart.Ignored
DislikedIt doesnt matter whether the outcome is random or not random, the edge of a static system like roulette is skew towards the house during the design of the game, therefore IMHO there is no way to reverse the edge.Ignored
DislikedBut Microsoft told me that they no longer use the pseudo-random number generator in their 2007 version.
"It (2007 version) passes the same battery of standard tests. The battery of tests is named Diehard (see note 1). The algorithm that is implemented in Excel 2003 was developed by B.A. Wichman and I.D. Hill (see note 2 and note 3). This random number generator is also used in the RAT-STATS software package that is provided by the Office of the Inspector General, U.S. Department of Health and Human Services. It has been shown by Rotz et al...Ignored
DislikedIMHO there is no way to generate a 100% true randomness because the random number always guided by some hidden complex rules, if there are rules then it's not 100% true random.
But i believe that 99.9% of randomness is achivable. I think this is good enough for practical use.Ignored
DislikedThere is a way to reverse the edge: be the house
BTW, roulette is not "random" in the strict sense (since it's based on Newtonian mechanics): http://www.timesonline.co.uk/tol/new...icle399673.eceIgnored
DislikedThe excel formula NORMINV(RAND(),0,1) does not reflect the true market condition because it's 99% normally distributed but a real price change is not normally distributed. Therefore i dont think this is a proper way to simulate the market price.Ignored
DislikedThey are so many interesting points in this thread, here is my 1st opinion.
The excel formula NORMINV(RAND(),0,1) does not reflect the true market condition because it's 99% normally distributed but a real price change is not normally distributed. Therefore i dont think this is a proper way to simulate the market price.
Here is the example distribution chart & Q-Q Plot for a return generated by excel and real GBPUSD Hourly return. It is obviously that real market return has an extreme fat tails.Ignored
DislikedAlthough the GBPUSD chart indicated that the actual return is not normally distributed but that does not mean the price is random or not random. The extreme moves only tell us that Black Swan does exist more frequent than expected.Ignored
QuoteDislikedOn each of them, it seems to me there are clear support/resistance and Trendline. Why is that????
Quoting mikkomDislikedThere is your million dollar question, how does real data differ from random data.Ignored
DislikedI have used Hurst exponent to test Excel Rand(). Each sample has 10000 Rand() values and I tested 10 times. The results are:
0.51, 0.50, 0.52, 0.51, 0.52, 0.47, 0.50, 0.48, 0.45, 0.50. Sounds to suggested that it time-independently random?Ignored