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Re: [amibroker] Re: A Monte Carlo add-on for Amibroker ?



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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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To get support from AmiBroker please send an e-mail directly to
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