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Great news!!
stephane
> AmiBroker will natively feature MCS in not too distant future....
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "tchan95014" <tchan95014@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, November 04, 2003 6:08 AM
> Subject: [amibroker] Re: On Robustness, Criteria # 4 & 5
>
>
> > 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.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
> >
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