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PS
For the record.
Is there any info around that you know about that explains how to do
MCS in AB now?
I haven't rushed at it as I can do it externally if necessary via
Compuvision, RiskAmp (Xcel based) or MSA Analyser.
I am actually not a true believer in MCS although not a disbeliever
either.
It is the best that I am capable of at the moment but I can't quell
the desire to do better.
One of the things I am trying to prove or disprove is whether the
general population profile generated by MCS will in fact only be a
duplicate *image* of the sample data with it's profiling statistics.
My hypothesis is that I should be able to calculate all of the stats
I need for the greater population of unknown trades, without the
need to run MCS.
This would be a timesaver.
Also no matter how many times we run simulations we can *never*
predict the future.
We are only looking to acquire the probalities for the future
datasets.
Can't we derive them from the sample stats without MCS?
I realise that this is an intuitive and naive view of sample
distribution but I am looking to the published academics to confirm
or deny the theory.
I would love to hear your stories about Capra without boring
everyone else.
An email is on the way.
Thanks kindly.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <ecbu@xxx> wrote:
>
> quanttrader714,
>
> Q for you:
>
> Not knowing the other settings, let's assume the system shows
> promising results over the IS-period (otherwise why bother testing
> further). Let's further assume that the risk/return profile(s) of
the
> underlying series is fairly stable over time. Is there not already
a
> natural bias in the fact that the number of trades, regardless of
IS
> or OOS, is inticately linked to the aforementioned profile, i.e.
the
> expected return, simply because we assume "1 history"? Therefore,
> having buy-signals drawn "randomly" but benchmarked to the number
of
> trades in the OOS-period doesn't give you an unbiased view of the
> system versus chance?
>
> FAC, I'm not criticising you. I realize your suggestion is meant
as a
> quick test, but I would suggest to extend it via MCS: generate
> simulated price-series (stress-tested or not), thus generating
> hundreds of "alternative histories" and apply one's system to
these.
> All this can already be achieved in AB now, although TJ is
planning a
> native MCS-functionality.
>
> PS
>
> (For Brian: unfortunately Capra hates the markets [see his
> book "Hidden Connections"]. Tried to explain things to him. He
didn't
> want to listen. Suggest private e-mail if you want to know more).
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@> wrote:
> >
> > This is OT on psychology but a while back I believe you were
asking
> > about statistics and trading? Here's a very simple statistical
test
> > that can be run using AB alone. This simplified example will
> estimate
> > the strength of a "long only" system's entries. Long and short
> > systems and exits are a bit trickier but the principle is the
same.
> >
> > Run an *out of sample* (OOS) system backtest. Save the results.
> Note:
> > OOS only!
> >
> > Add the following line of code to specify the number of
iterations.
> > I'd run 1000 or more but as few as 100 will still give a crude
> > estimate.
> >
> > Iterations = Optimize("Iteration",1,1,1000,1);
> >
> > Replace the system's buy condition with the following code but
leave
> > the original settings, sell condition and stops in place. Tweak
the
> > value in the Buy line (0.975 in this case) so the number of
trades
> is
> > approx. the same number as in the original OOS backtest. BTW, I
> > personally wouldn't be comfortable with this procedure unless
the
> OOS
> > backtest has at least several hundred trades.
> >
> > Buy= Random()>0.975;
> >
> > Optimize over the OOS period. Sort results by the metric you
want to
> > analyze. The fraction of optimized results that is greater than
or
> > equal to the OOS backtest metric is an estimate of the
probability
> > that one can do as well as or better than the original system
entry
> by
> > chance alone. Of course no matter how good the results, there's
no
> > guarantee of future profitability. But this is an easy way to
get a
> > decent estimate of how much better than chance your OOS metrics
are.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@>
wrote:
> > >
> > > Thanks to the silent majority for your patience with me on the
> > > Psychology included in this topic.
> > > Right at the moment I can't see myself raising the subject
again,
> > > not in this forum anyway.
> > >
> > > My next series of posts is all hardcore trades and code; I
> promise.
> > > I have started testing the bearMonday Calender Affect and I
will
> > > post the results as a training project.
> > > If there is a valid trade in there I am likely to publish it,
but
> > > don't hold your breath.
> > > While, as a project it has some interesting features, I don't
see
> > > anything to get excited about so far.
> > > The results will be posted in a new topic: *Calender Effect*;
> maybe
> > > next week.
> > >
> > >
>
********************************************************************
> > >
> > > Trading Psychology follows.
> > > Includes material suitable for advanced students only.
> > >
> > > I need to redress the omission of an important point and I
will
> also
> > > offer a short explanation to help with practical application.
> > >
> > > Referring to the visual mnemonic.
> > >
> > > The universal energy (white space)is the same within and
without
> > > except that which is within the area bounded by the mnemonic
is
> that
> > > portion commanded by the individual.
> > > Great men perform great acts in the world by way of the amount
of
> > > energy at their disposal.
> > >
> > > The visual image implies that this is brought about by an act
of
> > > dedicated focus based on supreme will power.
> > >
> > > Energy is a matter related to the heart.
> > > If you don't have enough that is where to start looking.
> > >
> > > The symbology contained in many popular books is often
incorrect
> or
> > > of academic interest only.
> > > The true symbology for Erebus is the circular *Snake that
> swallows
> > > its own tail*; an ancient Cosmological symbol.
> > > Symbols can have several meanings, depending on their use,
rather
> > > like signs in some Asian languages.
> > > In this case it refers to perpetual circular motion.
> > >
> > >
> > > Practical examples:
> > >
> > > 1. Should the goals set be achievable goals?
> > >
> > > Your goals should match your dreams and beyond.
> > > Hitch your wagon to a star.
> > > If you reach for the stars and fall short you may still grab
hold
> of
> > > the moon on the way down.
> > >
> > > 2. How can we ever expect to reach *pie in the sky* goals?
> > >
> > > Assess with total honesty where you are now in comparison to
> where
> > > you intend to be.
> > > What resources do you command? mentally list the pluses and
> minuses.
> > > Then start with a step by step plan to reach the first
attainable
> > > stage that you can see up ahead in the distance.
> > > Work to build on your strengths and eliminate your weaknesses.
> > > Don't look beyond the first stage; the gulf between you and
your
> > > goals will act to deter you if you do.
> > > Only look (plan) one stage ahead at a time.
> > >
> > > Hold on to your dream (goal) the way a drowning man or woman
> > > clutches at a lifebuoy.
> > > Don't let go no matter how rough the weather.
> > >
> > > 3. Won't it be psychologically damaging if I set an impossible
> dream
> > > and then fail?
> > >
> > > Not at all.
> > > Not if you gave it your best shot.
> > > I have never meet one single person who isn't happy with that.
> > >
> > > It is common for people to hitch their wagon to the wrong star.
> > > Once this becomes apparent it is better to accept this and
change
> > > stars.
> > >
> > > Life also changes; relationships, health, family, work and
many
> > > other issues can force us to abandon or postpone a dream.
> > > If this is the case accept your destiny with humility, not
> rancour.
> > >
> > > Trading itself has no more or less intrinsic value than
thousands
> of
> > > other things we could do with our lives.
> > > The true value lies in the character it builds and the habits
of
> > > success that it engenders.
> > > They are portable and will serve us well anywhere.
> > >
> > > *Great Honour* to the venerable Confucius, LaoTze; *The Way of
> the
> > > Tao*.
> > >
> > > Fritjof Capra?
> > >
> > > BrianB2.
> >
>
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