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russ: However, even though I may have a lot of experience working with and using statistical methods, I still don't claim to be an expert. You simply don't need to be an expert here, though, to see that there are problems with the fundamental basis for the work being done.

Of course your premise that the market is a non-stationary process is well taken. I'm assuming you have been working in signal processing, which should make you very well versed in handling non-stationary stochastic processes. I would agree with short time span non-stationary.

That the market is non-stationary is the equivalent of Ann's saying that "Value stocks are out of style right now." Yes, the market seems to have a mind (or loss thereof) of its own. I submit, however that when one has fifty years of data with which to work, that the process would look stationary to an analyst. Any process can look non-stationary with a small enough sample, but there have been hundreds of brilliant folks poking at the market for many years, and their collective pronouncement seems to be that the market is random, and at least mostly efficient. I suspect that the micro caps may offer a window of non-efficiency, but that's hard to tell.

Assumming that you are absolutely correct that the non-stationarity of the market makes the FF somehow more viable, how can one exploit this? If value stocks are out of style right now, one would lose money buying the FF. If value stocks become "in style" then one could make money. How will you know in advance which kind of market you have? Will your non-stationary statistics help? Will back testing predict the future? Every gimmick proposed, from chart patterns to the RP4, has been tried in the furnace of experience and found wanting. (There was a time when I really wanted to believe in charting, but I got over it after a few drubbings.)

I still don't see your point of saying that the work Snoop, Soui, Jimmei, and others here is invalid, but TMF's datamining (oops, I mean multi-back testing) somehow has validity. I just don't get it. Maybe you could explain.

cliff
... don't be afraid of a technical explanation. Acoustic noise manages to be a bit random, and non-stationary, too.
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