who has series of random generated price data?

Exactly! Very well put. Thanks for sharing your understanding and experience

http://www.financialwebring.org/gumm...ty-pumping.htm

Great discussions going on this thread, and I see some of the posters I like to follow tend to gather around the same topics. There are other ways to approach the random cat-- keep an open mind.

http://www.nuclearphynance.com/Show%...ostIDKey=67428

Thanks for this link. Just took a quick look, and it looks like some pretty savvy dudes posting there. Looks like a strong equity leaning, but even those stock guys have some good ideas now and again.

No, the calculations in the link are totally wrong.
you can't use fixed percentage to lose or win in each step. if you use fixed pips to lose or win in each step, definitely you will get a profitable result.

I can't modify this post, so i need to renew it here:
We definitely can't earn money in random walk market!
just simply use the binomial tree to verify it. it's easy.
but, in this money management strategy. most of the possible outcomes turn to be profitable result. Only one possible outcome is negative result! When the market continues going down without any retracement, we will lose money. it won't happen in the market,especially for the index.
so, in some sense, we can earn money in this MM strategy, but very small.it depends on the volatility.

By the way, I think I still need the series of random generated price data. If you look at this kind of data, you will find all the familar patterns mentioned by others, it's easy to tell if it works or not.
here it is http://www.forexfactory.com/showthread.php?t=7612, but to be surprised, most of them in that thread discussed the wrong things. I think it's very helpful to learn some basic knowledges from math finance courses.