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I think you might want to look at Monte Carlo analysis. The idea is to
create hundreds of samples of size N out of the overall data. That gives
you a sampling distribution of the samples, and statistics can be calculated
on that distribution. You can see, for instance, the largest drawdown that
occurred in any of the samples.
----- Original Message -----
From: "brian.z123" <brian.z123@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, November 08, 2006 9:58 PM
Subject: [amibroker] Re: Margin of Error
> 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
>> >
>> >
>> >
>> >
>>
>
>
>
>
>
> 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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