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QT,
Yes, I am very interested.
I sent you an email via this site but I don't think it got through.
I don't know how to find your email address within Yahoo.
Your personal details don't list it.
Could you mail me?
brian.z123@xxxxxxxxxxxx
Thanks for all your efforts in the *stats type posts*.
Where I have all the quants gone?
I thought they would be crawling out of the woodwork.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxx> wrote:
>
> 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@> 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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