|
PureBytes Links
Trading Reference Links
|
Hi John and Al –
I made one response about the AmiBroker
random number generator earlier. But this message cries out for
another.
In my opinion, it is a valuable technique
to add a small random perturbation to historical O, H, L, C data. This
will test the sensitivity of a system to small changes in data. If you
use this technique, plan to make a lot of runs and do a lot of statistical
analysis.
In my opinion, use of completely artificial
or random data is Not a valuable technique. In order to generate a
meaningful series of data (in terms of training a system to be profitable in
the future), we would have to completely understand the complexities of
it. If we understood that, we could just write a trading system that took
advantage of that knowledge. If you use artificial or random data to
develop your system, be very careful to test on truly out of sample Real
historical data.
Howard
-----Original Message-----
From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Friday, October 17, 2003
5:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Random
Data Generator
John:
Back in June of 2002, Leo Timmermans wrote a small program for AB
called scrambler.exe. It was based on Tuchar Chande's work. It works by taking
the last x bars of data from any stock or watchlist of your choosing (x = any
number you choose), scrambling them, and then generating random OHLC data x
bars into the future. You can then apply your system to the new data to see if
it can spot any price inefficiencies even though the data are random. It's a
very slick program. I no longer have it on my hard drive, but if you do a
search around May or June of 2002, you might find references to it. I
remember I posted a trial test of it. Maybe Leo is monitoring this list and if
he is, he can chime in. Good luck. Let me know how it turns out.
Al Venosa
----- Original Message -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="jea55129@xxxxxxxxx">John
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Friday, October
17, 2003 10:53 AM
Subject:<font size=2
face=Arial> [amibroker] Random
Data Generator
<font size=2
face="Courier New">Group,<font
size=2 face="Courier New">
I am looking for a random data generator. I have
looked at Ami
function and in excel. But neither produce
o/h/l/c. I want to be able
to import the data into Ami and backtest on the
same data. My
thinking is to backtest over several sets of data
and if the results
are close maybe I have something.
Any thoughts
Thanks
John
Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<font size=2
face="Courier New">
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of
Yahoo! Groups is subject to the Yahoo!
Terms of Service.
---
Outgoing mail is certified Virus Free.
Checked by AVG anti-virus system (http://www.grisoft.com).
Version: 6.0.525 / Virus Database: 322 - Release Date: 10/9/2003
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of
Yahoo! Groups is subject to the Yahoo!
Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|