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BrianB2,
Since you mention MCS, I assume you've read Nassim Taleb's
excellent "Fooled by randomness"? TJ is planning, in due time, to add
MCS-functionality, and you may look at the comments/requests re MCS
in the feedback centre. Should "true MCS" be added to AB's CBT, you
can do any stats on any trading strategy, and they will no longer be
limited to a bootstrap/deterministic draw.
There are also zillions of stats/quant books on this matter. For
example, if you look at trading in a portfolio setting, take a look
at Grinold & Kahn's "Active Portfolio Management". Alternatively,
just google "amazon statistics trading". You also may like to take a
look at the "Journal of Trading", a new publication by Institutional
Investor (www.iijot.com).
PS
--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> Hello Jerry and Mr Davis,
>
> Thanks for your posts.
>
> Statistical indicators may be something else again.
> I haven't studied that subject.
> I'll make a note of your points and investigate one day.
> "Never waste a good lead", I always say.
> If people want to spin out some info on statistical indicators that
> is fine by me.
>
> What I am working on is a different way to evaluate system
> performance.
> As a result of back-testing we obtain a range of metrics on our
> *system* e.g wins/losses, drawdown etc.
> There are so many of them used in *trading culture*, some with
> questionable value.
> Basically we are evaluating a data sample comprised of individual
> trades and making inferences about a larger group of trades based
on
> that sample i.e the larger population of future trades.
> How can we do that in the most accurate possible way?
> This type of problem is what statistics is based on except it is
> generally orientated to solving *academic* problems.
> Statistics often uses coin flipping, card games and roulette as
> examples when applying statistical techniques but stockmarket
> trading seldom gets a mention.
> I am looking for a writer who has applied statistical methods to
the
> problem of evaluating trading systems.
> Monte Carlo simulation is one example of this type of application.
> I am looking for others.
>
> Hopefully there is an author around who can take me further on the
> subject.
>
> BrianB2.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jerry Laster" <laster@> wrote:
> >
> > Not really. My guess is that brian is trying to find a book on
the
> use of
> > statistics applied to stock trading.
> > Haven't read any books that deal with probability of trades and
> measuring
> > them. The most advanced use of statistics I know is the afore
> mentioned
> > Van Tharp book and other books that deal with money management
> (but not
> > with probabilistic outcomes for set-ups or patterns (if that's
> what brian
> > is looking for)).
> > Some indicators like sigmas and linear regressions are
> statistical
> > indicators. David Elliott uses a particular formula for Bollinger
> bands
> > and transforms them into statistical indicators (stocks that
break
> certain
> > levels are more likely to continue up or down trends, etc.)
> because they
> > fall outside the bell curve of non trending stocks.
> > Check David Elliott stuff, I think he is trying to apply
> statistics to
> > trading, but the only book he wrote is his 1998 guide to make a
> million in
> > the crash of 2000.
> >
> > jerry
> >
> >
> > On Wed, 25 Oct 2006 19:36:58 -0400, mrdavis9 <mrdavis9@> wrote:
> >
> > > Please correct me if I am wrong, but aren't most of TJ's AFL's
> such as
> > > the
> > > CCI, RSI, and STOCHASTICS, statistical indicators? Ron D
> > >
> > >
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: "brian.z123" <brian.z123@>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Wednesday, October 25, 2006 8:05 AM
> > > Subject: [amibroker] OT: Statistics
> > >
> > >
> > >> Statistics for traders.
> > >> Can anyone recommend a book on statistics written specifically
> for
> > >> traders or that applies statistical methods to trading
examples?
> > >> I am looking for an author who has done a good job on the
> subject.
> > >> Even if it is only a section of a book that would do provided
it
> > >> goes beyond a superficial treatment of the subject.
> > >>
> > >> For anyone interested here is a link to a very good
> introduction or
> > >> refresher for statistics.
> > >> The HTML *book* takes your from 0-50kph in approx 100 pages.
> > >> Please note; the site does contain a lot of advertisements but
> it is
> > >> also a mini portal for stats and it does have links to free
> > >> statistical stuff and free tools.
> > >>
> > >> Outside of writing indicators I find statistics to be one of
> the few
> > >> maths disciplines that has a high degree of relevance to
> trading.
> > >>
> > >> http://davidmlane.com/hyperstat/index.html
> > >>
> > >> BrianB2.
> > >>
> > >>
> > >>
> > >>
> > >> Please note that this group is for discussion between users
> only.
> > >>
> > >> To get support from AmiBroker please send an e-mail directly to
> > >> SUPPORT {at} amibroker.com
> > >>
> > >> For NEW RELEASE ANNOUNCEMENTS and other news always check
> DEVLOG:
> > >> http://www.amibroker.com/devlog/
> > >>
> > >> For other support material please check also:
> > >> http://www.amibroker.com/support.html
> > >>
> > >> Yahoo! Groups Links
> > >>
> > >>
> > >>
> > >>
> > >
> >
> >
> >
> > --
> > Kind regards,
> > Jerry
> >
>
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