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RE: [amibroker] Out of Sample (yes), Forward (Yes, but), Monte Carlo (coming)
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d
Out of sample testing:
This is already possible. For
example, do optimizations on
a reduced date range such as Jan 1, 1995 to
Dec 31, 2001.
That will leave Jan 1, 2003 to the present as "out
of
sample" data.
Forward testing:
This is already possible to do
in Amibroker - just rerun
the same strategy each day. BUT, and this is a
very big
but, your database must be from CSI or another provider
that
includes delisted stocks. Without delisted stocks,
re-running a strategy
today may give different "past"
results because a stock what would have
been bought in the
past may no longer be in the database.
MCS:
Monte Carlo Simulation
I understand this is planned for a future upgrade,
but I
have not hear any date.
b
--- lanbor
<lanbor@xxxxxxx> wrote:
> londonpopart wrote:
>
>
> Is Monte Carlo Simulation planned in Future development
> of AB ?
Is
> > that feature a plus in terms of getting confidence in
>
the reliability
> > of a System ? I understood that the main
advantage of
> the MCS is to
> > give a good estimate of the
maximum drawdown but are
> there any other
> > true added value
of MCS ?
> >
> > Also is planned in Future development
out-of-sample and
> forward
> > testing facility in
Amibroker?
>
>
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