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Hi Sam,
Sure it would be interesting, please go ahead.
Regards,
Marco
qweds_560 a écrit :
Hi Quentin,
Think it was called Crystal Ball (some sort of Excel add-in).
I can give you qualitative (as opposed to quantitative) reasons as
to why there is positive serial correlation between trade results.
Let me know if interested.
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "alonzo798" <qqquentin@xxxx> wrote:
Sam,
Your 3 cents are appreciated.
I think (but haven't done anything to verify it) that indeed the
returns of a trading system will most often show some degree of
serial
correlation. And this weakens somewhat the results of a Monte
Carlo
simulation.
The Big Question being : to what extent ?
It would be enlightening to play with the MC simulators you've
heard
of and see how the outcomes change as a function of the degree of
serial correlation.
Do you have a link or a name ?
TIA,
Quentin
--- In amibroker@xxxxxxxxxxxxxxx, "qweds_560" <qweds_560@xxxx>
wrote:
Sorry guys, I felt like interrupting your discussion with my 3
cents.
I think you are on the right track with your caveat "...Monte
Carlo
simulation supposes that the individual trade returns are
completely
independent from each other, which may not be the case..."
If correct, that there is serial correlation between individual
trade returns, then any stats calculated on the basis of
independency of events don't mean much. With regard to Monte
Carlo
simulation, I think you will tend to underestimate the risk of a
series of losing trades.
I for one believe in the serial correlation of returns,
especially
those generated from trading systems.
Regards
Sam
P.S. I have heard of some Monte Carlo generators where you can
add a
degree of serial correlation in.
--- In amibroker@xxxxxxxxxxxxxxx, "alonzo798" <qqquentin@xxxx>
wrote:
Marco,
First point :
What I meant is just that the info regarding how to format the
data
output from Amibroker in order to make it usable by Equity
Monaco
is
buried in the middle of the EM manual, not at the beginning of
it
as
one would have expected.
I wouldn't worry about the "black box" or reliability issues.
I am definitely not a programmer, but randomizing a list of
returns,
calculating an equity line from them and repeating this
process
many
times over doesn't look like rocket science programming.
It looks more like something a layman like me can do with a
spreadsheet. And this is probably the reason why TickQuest
gives
away
Equity Monaco for free.
Second point :
I don't know of a method that would estimate the "error rate"
of a
Monte Carlo simulation, but this certainly doesn't mean that
such
a method doesn't exist.
One approach that comes to mind : let's say you've come up
with a
system that has a 50 % success rate in Amibroker. You could
compare
its sequence of wins/losses with the one from a coin toss. If
for
instance the runs are much shorter with your system, this
would be
an
indication that your individual trade returns are correlated.
This
would weaken the conclusions derived from a subsequent Monte
Carlo
analysis, since MC would ignore the correlation of returns.
I recall reading something about this on the Web, and will get
back at
you if I manage to find it again.
Quentin
--- In amibroker@xxxxxxxxxxxxxxx, Khamsina11 <Khamsina11@xxxx>
wrote:
Hi Quentin,
A very instructive message !
At the end of your post, you dealt with 2 drawbacks :
1) The Equity Monaco software does not show how it "handles"
the
trade
data fueled by Amibroker.
Do you mean that it is a kind of "black box" (or worse it
performs
unreliable simulations) ?
2) "....Monte Carlo simulation supposes that the individual
trade
returns are completely independent from each other, which
may
not be
the
case..."
Is there any method to estimate the "error rate" of a MC
simulation
?
Tia for your help,
Regards,
Marco
alonzo798 a écrit :
Scott,
Let's say I have built with Amibroker a trading system that
shows
good stats.
These stats are a function of how the sequence of the trades
produced
by the system took place. For instance, perhaps my
drawdowns
were
low
because my worst losers were distant from each other. If
some
of
them
had taken place in a row, my worst drawdown could have been
devastating.
So, is it a good system or not ? Is it robust, or have I
just
been
lucky ?
This is where I use a Monte Carlo simulation. Basically,
it
puts
all
the returns of the system's individual trades in a jar and
then
plays
the innocent hand. When the jar is empty, I have another
equity
curve
based on the same trades, but arranged differently.
A simulator like Equity Monaco will do that 10 000 times in
less
than
a minute.
It will then allow me to answer questions such as : "What
is the
chance that the system can lose money in a one-year
period?", or
"What
is the largest drawdown I can expect with a 95 % confidence
level?"
not simply based on a single equity curve, but on 10 000
randomized
ones.
It gives me a better grasp on the robustness of the system
and
on
what to expect from it.
One caveat : such a simulation supposes that the individual
trade
returns are completely independent from each other, which
may
not
be
the case.
And one last point : the way to correctly "feed" EM with
trade data from Amibroker is hidden in the middle of the EM
doc
(page
19).
Hope this helps,
Quentin
--- In amibroker@xxxxxxxxxxxxxxx, "Scott Mariani"
<mariani@xxxx>
wrote:
Quentin,
Thanks for the link. I tried it with my AB output but I am
not
sure
how to best analyze the results. Would you share your
approach
to
using this tool.
Thanks, Scott
--- In amibroker@xxxxxxxxxxxxxxx, "alonzo798"
<qqquentin@xxxx>
wrote:
Hi Marco,
Do a Google search on "TickQuest Equity Monaco".
Download,
install
(it's free).
Export/import your Amibroker trade data into EM. It works
like a
charm.
Quentin
--- In amibroker@xxxxxxxxxxxxxxx, Khamsina11
<Khamsina11@xxxx>
wrote:
Hi,
Is there a Monte Carlo add-on for Amibroker ?
Thanks in advance for your help,
Marco
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