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RE: [amibroker] Re: Monte Carlo Simulation - MCS



PureBytes Links

Trading Reference Links

Mark,
Did you happen to look at simtools?
http://home.uchicago.edu/~rmyerson/addins.htm
I'm not an Excel whiz so just squirreled it away for the future.

Bob


-----Original Message-----
From: markf2 [mailto:feierstein@xxxxxxxxx]
Sent: Friday, April 18, 2003 9:45 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Monte Carlo Simulation - MCS


Phsst- I use XLSim and Resampling Stats.  Both are inexpensive and
extremely flexible since they're Excel-based.

http://www.analycorp.com/software.htm#details2

http://www.resample.com/cgi-bin/DCshop/dcshop.cgi?action=view_category&d
ata= base=resamp&category=0

Mark

--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> Chuck,
>
> I looked at the TradeSim Slide Show. The interface seems to require
> Metastock for data and indicator plug-in. So how is the AB backtest
> export 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 to
> take
> > the backtest output from AB into something called TradeSim which
> will give
> > you 1,001 reports including a very high-powered MCS capability.   I
> probably
> > do 20 to 30 MCS runs a day using TradeSim with AB exported data.
> >
> > TradeSim is available from:  http://www.compuvision.com.au
> >
> >
> >   -----Original Message-----
> >   From: markf2 [mailto:feierstein@x...]
> >   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, 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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