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PureBytes Links
Trading Reference Links
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Hi - For anyone interested in getting info / papers / etc on technical
subjects applicable to trading, I have found these 2 search engines to be
very good. Their hits seem to be more on point and lots of the "fluff" is
eliminated.
http://scholar.google.com/
http://academic.live.com/
Steve
----- Original Message -----
From: "quanttrader714" <quanttrader714@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, November 08, 2006 7:54 PM
Subject: [amibroker] Re: Margin of Error
> If you google "block bootstrap" you'll find a bunch of interesting
> papers. I can also email you a more practical presentation on the
> bootstrap that was given at one of the Society of Actuaries' annual
> meetings. It's a decent primer and it includes a block bootstrap
> example. PM me if interested.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>>
>> Hello QT,
>>
>> I was hoping you would join the party.
>>
>> I have been speculating about this concept but so far I haven't cone
>> up with any references.
>> Any chance that you know a website or author who discusses this?
>>
>> BrianB2.
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
>> <quanttrader714@> wrote:
>> >
>> > One way to approach this is with a form of the block bootstrap, by
>> > resampling blocks of consecutive observations of random length
>> with
>> > replacement.
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
>> > <sebastiandanconia@> wrote:
>> > >
>> > > I only offer this as a consideration when using such testing,
>> not as a
>> > > criticism of Monte Carlo Simulations. A subtle but significant
>> point
>> > > (IMO) when using MCS: They may or may not be applicable to
>> > > trading/investing, because the markets don't always behave
>> randomly.
>> > >
>> > > An example of when a MCS would clearly be appropriate: Let's
>> say you're
>> > > a defense contractor manufacturing a part for the International
>> Space
>> > > Station. The part is critical, but because of limitations in
>> > > engineering technology it has a high failure rate, and there's
>> no way of
>> > > forecasting in advance if a part will fail. However, although
>> the
>> > > failure rate is high, it's also very consistent. Until
>> technology
>> > > advances sufficiently the only practical solution is to keep
>> plenty of
>> > > spares on-hand.
>> > >
>> > > A MCS could tell you what the optimal number of spares to keep
>> on-hand
>> > > would be. The part failures are random, but MC could tell you
>> the
>> > > likelihood of two, three, five, ten, etc., consecutive
>> failures. You
>> > > might determine that there would only be a 1/100,000 chance that
>> 6
>> > > spares in a row would fail, so you might advise NASA to stock at
>> least 6
>> > > spares at all times.
>> > >
>> > > Some trading systems, though, will be successful because they
>> take
>> > > advantage of repeating sequences of events, not random events.
>> Business
>> > > cycles go through a specific sequence, company growth follows a
>> certain
>> > > pattern from infancy to maturity, price trends/reversals follow a
>> > > sequence, etc. If trades based on reliable, repeating patterns
>> are
>> > > taken out of order by a MCS such that a massive drawdown or a
>> > > bankrupting series of losers occurs, that can distort the value
>> of the
>> > > trading method by putting the trades in an order that wouldn't
>> occur.
>> > >
>> > > Soapbox alert!:) Another reason that "Why does it work?" is
>> such an
>> > > important question with trading systems, since a good answer to
>> that
>> > > question can lead to a good answer for another important
>> question, "When
>> > > WON'T it work?"
>> > >
>> > >
>> > > S.
>> >
>>
>
>
>
>
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