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I did the posted simulations with XLSim ($125).
http://www.analycorp.com/xlsimindex.htm
I also have and would recommend Resampling Stats ($179).
http://www.resample.com/content/software/excel/index.shtm
I have *no* connection with either. Each has functionality the other
doesn't but either one will perform the simulations I've given
examples of.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Great stuff. Mark. A year ago someone on this forum mentioned using
> bootstrap resampling to good advantage but I could never understand
how
> to use it. Your example seems much more understandable.
>
> Could you please tell us the exact software you use for the
> bootstrapping. A search of google produces too many hits to know
which
> is the easiest to use/most value for the buck choice.
>
> Thanks for your work and sharing,
>
> Ken
>
> -----Original Message-----
> From: quanttrader714 [mailto:quanttrader714@x...]
> Sent: Tuesday, November 04, 2003 8:00 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Robustness Example With Pictures
>
> In this case initial equity but it could be anything. To clarify
the
> mechanics of this particular simulation for anyone interested, it
> started with a basket of trades from AB output (% profit/trade). It
> randomly drew trades from the basket w/replacement and made a
sequence
> of 100 (100 was arbitrary) trades, an artificial equity line if you
> will. Then it calculated max % dd *for that sequence* by taking the
> largest percentage distance between peak equity value and following
> trough values. It did this 999 more times then made the histogram
and
> cumulative distribution graph based on the 1000 max % dd results.
> What you're in effect doing is coaxing all you can out of your data.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > So the estimated MaxDD is based on what ? an indivdiual trade ?
> > initial equity ? the account balance at any given point in time ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > <quanttrader714@xxxx> wrote:
> > > It's late and I've had too much scotch, so one very quick
example
> > > which I'll explain the basics of but would like to have someone
> else
> > > please take a stab at interpreting.
> > >
> > > To recap the Robustness Criteria, Condensed Version 1-5:
> > >
> > > 1. Test on small, mid & large cap stocks in bull, bear &
sideways
> > > markets.
> > > 2. Evaluate performance on top 20% most actively traded small,
> mid &
> > > large cap stocks.
> > > 3. Graph and evaluate system performance consistency
> (%profit/trade
> > > and % profit/bar) on select stocks.
> > > 4. Perform simulation to estimate probability of profit in 10
> trades
> > > (for select stocks).
> > > 5. Perform simulation to estimate future drawdown (for select
> > stocks).
> > >
> > > For this example I picked a stock, any stock. I think everyone
> gets
> > > what I mean by criteria 1 and 2 (whether they agree or not),
> correct
> > > me if I'm wrong. I've posted the output of criteria 3-5 in the
> > > example folder in the photos section. Criterion 3 output is
> photos
> > 1
> > > and 2, criterion 4 output is photos 3 and 4, and criterion 5
> output
> > is
> > > photos 5 and 6. I think the criterion 3 graphs are self
> > explanatory.
> > > On criterion 4, forget how it's calculated for now. It
> estimates
> > the
> > > probability of profit (and how much) at the end of 10 trades.
> Unit
> > of
> > > measure is % of starting equity. Looking at the histogram, the
> > > highest bin (the mode of the distribution) is 19.16 -- 29.63
which
> > > means approx 15.5% of the time (y axis) the profit at the end of
> 10
> > > trades fell in this bin, between 19.16% and 29.63% of initial
> > equity.
> > > The cumulative distribution graph is the histogram in
cumulative
> > > form and shows the likelihood that a result falls below the
value
> on
> > > the x axis. For example, 20% of the simulations (of the sum of
10
> > > trades) lost money so you can *estimate* there's an 80% chance
> > you'll
> > > be profitable after 10 trades with this. Same unit of measure
> for
> > max
> > > dd and those graphs are read the same way. P.S. Each simulation
> was
> > > 1000 runs, so the graphs of criterion 3 show one actual pass
> through
> > > the data by AB, while the others depict the collective results
of
> > 1000
> > > simulated runs (and include my adjustment factor).
>
>
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