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G'day,
Phst...
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I'm
happy to see that someone saw my email regarding Monte Carlo Simulation and
TradeSim.
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Your
question is a good one, perhaps because the importing functionality of
TradeSim isn't mentioned on their web site. I haven't looked at the
site in a long time and don't know if it is mentioned or
not.
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To
finally get to the answer to your question...
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<FONT face=Arial color=#0000ff
size=2>1. You do not need to have MetaStock in order to use
TradeSim. In fact, using MetaStock becomes more compicated if you do
try to use TradeSim with MetaStock.
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<FONT face=Arial color=#0000ff
size=2>2. You can use the output from AB's backtest function.
However, the data needs a bit of rework. The format of the input to
TradeSim is clearly defined and very specific. I wrote a program in
Delphi, that I'm happy to give away, that will read the output from AB and
prepare a new file for importing to
TradeSim.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: phsst
[mailto:phsst@xxxxxxxxx]Sent: Friday, April 18, 2003 11:51
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Monte Carlo Simulation - MCSChuck,I looked at
the TradeSim Slide Show. The interface seems to requireMetastock for data
and indicator plug-in. So how is the AB backtestexport file interfaced
into TradeSim? And does it work without
Metastock?Regards,Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"<chuck_rademacher@x>
wrote:> If anyone is interested in Monte Carlo Simulation, it is
possible totake> the backtest output from AB into something called
TradeSim whichwill give> you 1,001 reports including a very
high-powered MCS capability. Iprobably> do 20 to 30 MCS
runs a day using TradeSim with AB exported data.> > TradeSim is
available from: <A
href="">http://www.compuvision.com.au>
> > -----Original Message----->
From: markf2 [mailto:feierstein@xxxx]> Sent: Thursday,
April 17, 2003 10:55 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] Re: The
request for "variable" period functions> > >
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, Idon'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 Ibought>
> 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
someexamples?> > 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@xxxx]> > >
> Envoyé : jeudi 17 avril 2003
21:41> > > > À
: amibroker@xxxxxxxxxxxxxxx> > >
> Objet : [amibroker] The request for "variable"
period> > functions> >
> >> > >
>> > > >
Everybody asks for variable period possibilities, asif
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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