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I have a question because you all here have long experience to the markets.

I often hear the phrase “market conditions change over time” and was wondering how this would be in real terms.

So as concepts (for example trading some form of SR, mean reversion trading ) will work, the parameters ( indicators / indicator inputs / rules ) will change over time since the character of the market changes due to different market participants which on their behalf use different market approaches.

Or more important for example take your trade-management. Within your method you want to maximize total profits attainable in your method, so you do some form of optimalization in curve fitting the behavior of your instrument over the past month(s) ( "the rhythm of your instrument" ) [taken into account your psychological profile]

How often do you revise and take a look at you parameters / rules? Do you just notice real time ( and your P/L) and then start looking for changes /new analyzing, or do you standard perform such studies every end of the month to see if adjustments are feasible? And how often did the market change slightly over the past 10 years, and you adapted by adjusting your parameters / rules?

I understand there is offcourse no hard one answer to this and ask this more out of curiosity, and would be interested to hear your approaches and experiences.

One of my worst enemies are my own false assumptions

Last edited by Zwaen; March 28th, 2012 at 03:48 AM.
Reason: typos..

The following user says Thank You to Zwaen for this post:

Markets both change and stay the same. Things like HFT and decimalisation changes the structure of the flow, of course, but longer-term trading does not change as much. I will say that even that has changed quite a bit, though. It seems that since everything is much more efficient, or arbitraged, if you will, it gets more volatile when something unexpected happens that is hard to model for.

Personally, I manage my targets and stops by my own (very simple) volatility formula.

The following user says Thank You to Lornz for this post:

I'm terribly sorry, i know im resurrecting an ancient thread. But i somehow came over this and my brain tried dividing by zero and promptly imploded. I havent read the rest of the thread yet in fear of spoilers. So 60 minutes and a Red Bull after initially reading this, i came to the following conclusion;

Baseline probability is 1/4 = 25% chance my answer will be correct.

So the "correct answer" is 25%. (options A. or D.)

However, since the "correct answer" equals 2/4 of the possible outcomes, the actual probability of getting the correct answer(25%, or "answer A. or D.") equals 50%

Changing C. to 0% wouldnt change anything in my head. However i did flunk high school so i likely have a 60% chance of being wrong here. But i still wish Lornz was with us so i could torture his OCD by ensuring uneven number of "Thanks" for this..

I would be correct if the probability of selecting an answer is the answer itself.

Probability of selecting answer "25%" is 50%. I am not correct.
Probability of selecting answer "50%" is 25%. I am not correct.
Probability of selecting answer "60%" is 25%. I am not correct.

Problem here is that the content of the answer is not independent from the way it is obtained, we observe a a paradox of self-reference.

The first known problem of this kind is the (assumed) paradox of Epimenides from Knossos, who made the statement that all Cretans are liars. Being himself a Cretan, he is a liar, and therefore the statement cannot be true. Therefore the statement that all Cretans are liars is false and they must be truthful.

This statement was assumed to be a paradox, but in fact it can be solved. The correct negation of "all Cretans are liars" is the statement "there exists one Cretan who is honest". Epimenides being a liar, his statement is false, and there is no contradiction, if the correct negation is used.

The simplest statement containing a paradox caused by self-reference is the statement known as the liar paradox:

"This sentence is false."

If it is false it must be true, and if it is true it must be false. No way out of this.

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