Just wondering was there is such a theoretical vacuum on something that most trading practitioner use (.. may be not in option though)

There certainly isn't a theoretical vacuum, but perhaps a recent sparseness and nomenclature glorification. Much of the stuff on TA of any academic merit is related to the EMH and is somehow referrenced in A Non-Random Walk Down Wall Street, most of which is quite old and either pro/con on Fama's work. IMHO, much of the recent work on GARCH and time series can be considered glorified TA at worst, and at best methods for estimating bona fide persistent but not directly observable parameters.Even in practice, opinions on the validity of TA may vary as much as in academia...

I'm inclined to agree with Exotiq, a lot of financial econometrics is just glorified TA.Has anyone tried using STAR models?

By the way Dogon, take a look at "Advanced Trading Rules" if you get the chance

I use technical analysis as a supplement to convetional fundamental analysis. It helps make better trading decisions. We are up 20% cumulative YTD making directional market bets, and I credit TA for it. We apply TA to: FX, stock-indexes, and interest-rates. I have found TA an indispensable tool in taking short-term/medium-term directional bets.

There are some academics who have worked with TA 1 2 for example..QuoteOriginally posted by: JamesH83I'm inclined to agree with Exotiq, a lot of financial econometrics is just glorified TA.Has anyone tried using STAR models?STAR models??

Quantie,This paper might be helpful to give an idea for a STAR Model

QuoteOriginally posted by: JamesH83I'm inclined to agree with Exotiq, a lot of financial econometrics is just glorified TA.Has anyone tried using STAR models?Should I interpret this as meaning that STAR is just a technical trading rule that uses econometric theory to be validated ?I sense some disdain towards econometrics here....

QuoteOriginally posted by: JamesH83By the way Dogon, take a look at "Advanced Trading Rules" if you get the chanceThanks

QuoteOriginally posted by: quantumarQuantie,This paper might be helpful to give an idea for a STAR ModelWill you suggest any paper that apply STAR to trading ?

Would I be dead wrong, if I put behavioural finance in very close relationship of technical analysis? I know they appear different, but when you come to think about it, the results should be pretty similar, since you apply assumptions about the behaviour of the general market participants according to different stages of historical market movements, right?

I think its totally correct that there is a close relationship between the two.Tech analysis works to some extent because it produces "sunspot" phenomena.ie it is self-fufilling.

It is worrying when fund managers, who rely predominantly on technical analysis and/or econometrics, attach the following statement (or something similar) to their products: "Past performance is not indicative of future results".

QuoteOriginally posted by: rcohenIt is worrying when fund managers, who rely predominantly on technical analysis and/or econometrics, attach the following statement (or something similar) to their products: "Past performance is not indicative of future results".I would not read much into it: it is just legal lingo. But I guess if you observe some patterns in the past that you exploit to your advantage, you should also allow for the possibility that these patterns are regime-dependent. Threrefore, if the regime is bound to change, you should also allow for the possibility that the pattern will dissapear or at least not being as strong as before. So this is probably one way to understand that sentence. It should probably be a much longer statement like :" Since our performance is regime dependent, and regimes will change over time, then past performance is not completely indicative of future results".I think the single thing that people with physics background struggle with in finance is the idea of regime-dependent relationships.By the way how many non-econometric/ non-technical analysis based hedge funds have outperformed "Renaissance Tech." , "J.W. Henry" over the past 10 years ?

QuoteOriginally posted by: DogonMatrixI think the single thing that people with physics background struggle with in finance is the idea of regime-dependent relationships.And rightly so. If one has to keep adding special cases when the model doesn't work, then one needs a new model.