August 6th, 2012

A Changing Game

My latest paper: A Changing Game is out. It summarizes some of my latest articles on random trading over randomly generated stock prices made to mimic real stock prices including rare events or infrequent price gaps. An Excel file is provided for the more venturous. It contains a lot of lessons for those that want to look beyond what is there.

The conclusions of this new paper state that if there are trading procedures that can generate alpha in a trading environment where prices are randomly generated and trading procedures are the outcome of random functions, then real life trading unknown future prices might not be overly difficult. Real life future prices are also unknowns.

All my simulations, (see the simulation menu for a dozen or so worthwhile strategies), have a common background: they have for main mission to accumulate shares over time and trade over this accumulation process. Some follow a trend, some follow technical indicators, some use some random entries and some totally ignore technicals or fundamentals. In each of those 6 year simulations, it was possible to exceed, and by far, what could be achieved using the Buy & Hold strategy.

I have spent the last 18 months exploring the limits of my trading methodology.   Presently, I am in the process of selecting which of the various methods outlined in those simulations I would like to execute in the future. I think I will probably select a mix of the best features of each in the group.

I feel as if an equation is pulling me out of retirement. One thing is sure, I can't leave this equation unexploited.


Created... August 6, 2012 © Guy R. Fleury. All rights reserved

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