To paraphrase Churchill, "Capitalism is about the unequal distribution of the wealth, while Socialism is about the equal distribution of the misery."
Correlation is the wrong metric. Cointegration is the metric to use for pairs.
Ehlers is a bona fide DSP engineer. The material he presents is backed by solid science and engineering. As always, a caveat, anything from the...
MA's calculated and used in the traditional way don't work because of group delay, commonly called lag. If you are going to use MA's, learn to...
The problem is that there is every way under the sun to define a trend. How many of those can become a positive expectancy system? Who knows,...
However you choose to define a trend, when it starts and when it ends are randomly distributed through time. Thus the best model of market...
Have you ever been to Uranus?
One strategy he has talked about in the past was to buy T-bills, and use the interest income to purchase OTM options. That is an example of his...
Have a look at the attached file for example calculations. Of course they are wrong because it assumes a normal distribution and no skew or...
The type and period of the MA doesn't matter. MA's, as traditionally used, don't work, because of group delay, more commonly known as lag. If you...
What you are thinking about is the volatility surface, and if there are anomalies that you can take advantage of profitably. In theory, if a...
The true answer is that it doesn't matter. MAs, as traditionally used, do not work. The conventional wisdom is that a 200 day SMA has some value...
Exactly the reason you can't use the DTFT in finance. Look up Ehlers' implementation of the autocorrelation periodogram and MESA algorithms. From...
The upside to Ehlers' work is that he tries to apply well understood science and engineering principles to market analysis. The downside (as some...
I wasn't clear if you do this, but I would recommend that you takes trades based on maximizing payoff, which is: payoff = probability*(return/risk)
This is why I learned to stay the hell away from options, too many parameters to get right in order to make money. Of the five inputs in a BS...
To answer the OP more directly, the EMH is flawed because of the skew and kurtosis that shows up in essentially all price and return...
I wish markets were perfectly efficient, ie Gaussian. That way I could know exact odds on a particular outcome.
A couple of my humble observations about this post: - true odds can never be known in financial markets due to not knowing all the factors which...
The problem with EW is that it isn't based on any fundamental scientific or engineering principles, just the observation that prices seem to...
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