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Thanks, Mark.
Re XLSim and Resampling Stats, do they complement each other?
Also, I tried a couple of AI addins back when (Excel 5.0?) and thought
them slooow; can I expect a lot of xla overhead with these under
excel2k?
TIA,
Bob
-----Original Message-----
From: markf2 [mailto:feierstein@xxxxxxxxx]
Sent: Saturday, April 19, 2003 12:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Monte Carlo Simulation - MCS
Bob- Yes I did. Downloaded and used it for a while a few years ago
but dumped it for the others.
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> 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@x...]
> 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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