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Hello PS,
Thanks for your help; much appreciated.
I was searching the wrong terms.
You are correct; there is a mile of stuff available and some of it
will definitely do the job.
MCS is probably the answer in the long run but this is an area that
I want to drill down into and get to the theory anyway.
So, I'm moving into the Quants territory?
That's a bit scary!
Oh well, a mans gotta do what a mans gotta do!
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <ecbu@xxx> wrote:
>
> 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@> 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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