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Chuck,
It could be any trading signal.
I used the Calender Mondays because it is coming up later in the
project.
Say, daily timeframe and my data returns 500 trades.
I think W/L etc will average but I am not sure how StDev would fare
and how it should be handled.
What I am interested in is if I broke the sample up into 5 X 100
tests, ran an MCS or other sampling distribution, would the outcome
have a lesser, greater or equal margin of error.
How do we combine statistics from more than one sample?
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>
> The mean profit or loss would be the same. I woudn't think it
would be
> possible to say ahead of time about the variance, but I'm not sure
about
> that. However, I do believe you have to determine what timeframe
you are
> interested in. Are you interested in asking whether you would
have been
> successful using the system over the 500 weeks that you have data
for? Or
> are you interested in determining what proportion of 100 week
periods would
> have been successful?
>
>
> ----- Original Message -----
> From: "brian.z123" <brian.z123@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, November 08, 2006 9:22 PM
> Subject: [amibroker] Re: Margin of Error
>
>
> > The question is:
> >
> > If I have 10 years of data and that provides 500 Monday samples
for
> > a Calender Effect study would the margin for error be less or
more
> > if I tested the sample in one segment (500 trades) or undertook 5
> > tests with 100 samples and then combined the results in some way?
> >
> > If so, what is the best way to use the 5 samples to get the
> > population outcomes.
> >
> > No offence taken if you are too busy to answer.
> >
> > 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.
> >>
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
>
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