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I did the simulations for the example with XLSim ($125). I also have
and recommend resampling stats ($179). Well worth the $ if you want to
explore this stuff. BTW I have *no* connection with either of these.
--- In amibroker@xxxxxxxxxxxxxxx, "tchan95014" <tchan95014@xxxx>
wrote:
> Hello,
>
> MCS is a powerful tools indeed.
>
> It might be easy for some to DIY but it might be difficult for
others.
>
> Go to www.tickquest.com to get a free EquityMonarco program to do
some
> of these sometime confusion tasks.
>
> Search for XLSim, it used to be a free spreadsheet program, but I
am
> afraid www.analycorp.com does not offer it for free any more, but
> there are many floating around in the Internet somewhere. It is
> limited to 100 rounds though. But some interesting tutorial should
be
> still available for free.
>
> Also, www.unicorn.us.com/trading, Alex offers a low cost
spreadsheet
> program as well as pointers and info to other similar programs and
> tutorials.
>
> Hope this helps...
>
>
> Thomas
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > Mark, thanks a huge amount for moving this forward so quickly,
> yeoman work.
> >
> > that said, uh, sorry I'm thick, but I'm pretty lost here. are we
> supposed to
> > be able to do something like this ourselves without your
forthcoming
> > example, which I assume would be a spreadsheet? this is where we
use
> > simulations to estimate the probability of profit and estimate
> future
> > drawdowns, right? that I got from your earlier really-quick
summary,
> but how
> > that translates into stuff to do I don't get yet.
> >
> > some specific things I don't understand:
> >
> > - "simply set up a structure in the worksheet that corresponds to
> the
> > criterion and run the simulation"
> >
> > - "randomly select 10 trades with replacement"
> >
> > - "set up a spreadsheet structure that will calculate max dd from
a
> string
> > of x trades, run 1000 simulations and graph the output"
> >
> > what criterion? run what simulation? what's "replacement"? run
1000
> > simulations how?
> >
> > I assume this will all get clearer with example in hand, which
> you've said
> > is coming soon. so really, I'm just checking to make sure I'm not
> missing
> > the boat completely. am I?
> >
> > dave
> >
> >
> > > Here's where it starts to get labor intensive. We need to go
back
> and
> > > find the best behaved issues with good PFs, with best behaved
here
> > > meaning fairly actively traded *and* consistent on *both* %
profit
> per
> > > trade and % profit per bar graphs. So run the system on a
group
> of
> > > stocks, sort by # trades and go down the list. There are
> obviously
> > > many mathematical ways to rank order the consistency but it's
> better
> > > to eyeball each and every one if you intend to perform the
> criteria 4
> > > and 5 simulations.
> > >
> > > We'll be using something called the nonparametric bootstrap
which
> is a
> > > name for resampling with replacement. Although it's an old
idea,
> it
> > > hasn't been very well researched until fairly recently and even
> today,
> > > it's still fertile ground for much additional research.
There's
> not
> > > surprisingly then a lot of controversy over when it is and isn't
> > > appropriate to apply it. There are also very few diagnostics
for
> it
> > > unlike most other statistical procedures but these, frankly, are
> > > advantages because it's an incredibly powerful procedure if you
> apply
> > > it properly and sometimes that means doing your own research.
> > >
> > > We'll use an Excel based simulation package (with its own random
> > > number generator). Copy and paste the % profit/trade column
(from
> to
> > > a well behaved issue traded with a robust system) into a
> worksheet.
> > > To perform the simulations for criteria 4 & 5, simply set up a
> > > structure in the worksheet that corresponds to the criterion
and
> run
> > > the simulation. To *estimate* the probability of profit after
10
> > > trades for criterion 4, randomly select 10 trades with
> replacement,
> > > sum them and note the answer (the software will do this
> > > automatically). Then repeat 999 or 4999 or however many more
more
> > > times. Usually a total of 1000 is sufficient. Take the output
> and
> > > display as a histogram and a cumulative distribution. To
> *estimate*
> > > future max dd for criterion 5, set up a spreadsheet structure
that
> > > will calculate max dd from a string of x trades, run 1000
> simulations
> > > and graph the output. Standards for robustness on criteria # 4
> and 5
> > > -- whatever you feel comfortable with. Mine are based on my
> > > benchmark system and are proprietary.
> > >
> > > Cautions: Your past data must be representative of how the
system
> > > will perform in the future, however, simulating with output from
> > > robust systems traded on well behaved issues is a bet worth
> taking.
> > > But even if your data *are* representative, this still treats
> trades
> > > as if they're independent and they're not necessarily. This
also
> > > cannot account for single extreme events that haven't happened
yet
> > > (like price shocks). There are a few more esoteric concerns
but
> all
> > > except price shocks are reasonably well mitigated by applying my
> > > proprietary adjustment. Actually, I have several and am
willing
> to
> > > share two that work well *but offline*, just for the asking, to
> those
> > > interested enough to actually buy simulation software to
explore
> this.
> > > Or to the core members of the team that pursues the robustness
> > > challenge if there ever is one.
> > >
> > > I consider this to be keeping my promise but will still try to
> post an
> > > example tonight, tomorrow morning at the latest.
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