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No question about that, Howard. I was only responding to a query by John,
who wanted to know how to generate randomized data for testing trading systems.
I, too, would never try to develop a trading system based on random price data.
I could envision using random data, however, just to see how well the test
system identifies and responds to price inefficiencies (i.e., trends, either
short term or longer term). But you are rightl; it would be counterproductive to
use random data to actually develop a trading system.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Howard
Bandy
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, October 19, 2003 12:53
AM
Subject: RE: [amibroker] Random Data
Generator
<SPAN
>Hi John and Al
–
<SPAN
>
<SPAN
>I made one response
about the AmiBroker random number generator earlier. But this message
cries out for another.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>Howard
<SPAN
>
<DIV
>
<SPAN
>-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] <SPAN
>Sent: Friday, October 17, 2003 5:52
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Random Data
Generator
<SPAN
>
<SPAN
>John:
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>Al Venosa
<BLOCKQUOTE
>
<SPAN
>----- Original Message -----
<FONT face=Arial
size=2><SPAN
>From:<FONT
face=Arial size=2> <A
title=jea55129@xxxxxxxxx href="">John
<SPAN
>To:<FONT
face=Arial size=2> <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<SPAN
>Sent:<FONT
face=Arial size=2> Friday,
October 17, 2003 10:53 AM
<SPAN
>Subject:<FONT
face=Arial size=2>
[amibroker] Random Data Generator
<SPAN
>
<FONT face="Courier New"
size=2>Group,<FONT
face="Courier New" size=2><SPAN
><FONT
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 <FONT
face="Courier New">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
<FONT
face="Courier New">Thanks<FONT
face="Courier New">John
<SPAN
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