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Hello Steve,
Thanks kindly.
They look like they will be handy for me.
I seem to be spending more time with the academics than I used to.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> 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@xxx>
> 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@>
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.
> >> >
> >>
> >
> >
> >
> >
> > 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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