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And as for MCS, it stands for Monte Carlo Simulation. MCS can give
you a distribution of potential future outcomes if the inputs are
representative of how the system will perform in the future. In broad
terms, if the basket of trades from your system test is representative
of the system's population of future trades, MCS can calculate a
distribution of drawdowns and profits based on 10,000 (or however many
you want) different equity curves simulated from that basket of trades
given your money management parameters. From that you can estimate
the probabilities of different profit/loss levels. You can also do
this for groups of stocks to make portfolio drawdown and profit/loss
distributions. This is more "forward-looking" and multidimensional
than portfolio backtesting and pyramiding on historical quotes.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> The AMA or AMA2 .vs. EMA will give you a simple view of the
> differences in potential.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> > Well, Mark, I have to admit I know nothing about adaptive
> indicators, so obviously I haven't ever tested them. In fact, I don't
> even know what an MCS is (I hate acronyms, and I've worked for the
> Government all my life!!)! I have tested various position sizing
> algorithms, as I'm a firm believer in position sizing as a means of
> controlling risk. All I know is that portfolio backtesting and
> pyramiding are tops on my wish list and have been ever since I bought
> AB back in Nov of 2001, and judging from many posts in the far and
> near past, I think there are lots of others who are anxiously
> awaiting this feature, too. Since the topic of adaptive indicators
> was only introduced for the first time yesterday, I believe, I was
> just thinking that perhaps it hasn't been a top priority on many
> people's wish lists. I will gladly concede to you and others if I'm
> wrong, since I still consider myself a rank beginner in AFL as well
> as trading in general. Tell me more about adaptive indicators and
> what their advantages are over static ones. Maybe give some examples?
> Thanks.
> >
> > Al Venosa
> > ----- Original Message -----
> > From: markf2
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, April 17, 2003 9:50 PM
> > Subject: [amibroker] Re: The request for "variable" period
> functions
> >
> >
> > Really? Have you done much testing with adaptive indicators?
> Have
> > you ever tried position sizing with MCS (which is much more
> powerful
> > and versatile)?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
> wrote:
> > > I wholeheartedly agree with Jerome. Portfolio backtesting and
> > pyramiding, in my opinion, are much more important that
> introducing
> > more indicators, dynamic or not. I sure hope this new task, if
> > adopted, does not distract or slow down Tomasz from developing
> what I
> > think lots more people wish to have as part of the AB engine. My
> > opinion, FWIW.
> > >
> > > Al Venosa
> > >
> > > ----- Original Message -----
> > > From: Silvarius
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Thursday, April 17, 2003 4:12 PM
> > > Subject: RE: [amibroker] The request for "variable" period
> functions
> > >
> > >
> > > I second Dimitris in his Opinion. Portfolio backtesting
> > enhancement is much more critical IMHO.
> > >
> > > Best regards, Jérôme ULRICH
> > > -----Message d'origine-----
> > > De : DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> > > Envoyé : jeudi 17 avril 2003 21:41
> > > À : amibroker@xxxxxxxxxxxxxxx
> > > Objet : [amibroker] The request for "variable" period
> functions
> > >
> > >
> > > Everybody asks for variable period possibilities, as if AFL
> is poor
> > > in this logic.
> > > Let us take a closer look :
> > > Variable Period smoothing functions:
> > > MA, DEMA, TEMA do accept variable period.
> > > The remaining EMA can accept through EMA(ARRAY,PER)==AMA
> (ARRAY,2/
> > > (PER+1))
> > > Is there any other type of smoothing used in your
> formulas ???
> > > RSI works through RSIA, CCI works through CCIA
> > > MACD through above described EMA.
> > > What is next?
> > > How about StochK and StochD with variable per ?
> > > Perhaps you do not know that you can do it NOW in pure
> AFL !!
> > > The HHV and LLV functions work fine with variable period.
> > > per=10+cum(1)%20;
> > > StochKa=MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3);
> > > StochDa=MA(MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV
> (L,per)),3),3);
> > > Is ther any other function you would like to see with
> variable
> > > period ?
> > > Search first the definition and then see if it already
> exists in
> > your
> > > AFL potential.
> > > It is better to know the definition of a Stochastic, before
> asking
> > > fast software upgrades-enhanchments.
> > > In my opinion, the lack of definition will always confuse
> the user,
> > > with fixed or variable period.
> > > Dimitris Tsokakis
> > >
> > >
> > >
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