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Hello ~rhelfer,
What is the first one or two things that you look at in MCSimulations?
Can you recommend anyone/anywhere as the best training source for MCS
applications to trading?
Brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "rhelfer123" <rhelfer99@xxx> wrote:
>
> Use Monte Carlo Simulation (MCS) first, above all else. If you
don't
> get worthwhile results with that, don't even waste your time with
> other stats. I'm speaking from a pure statistics point of view. If
> you don't do MCS testing, it will be like building a hot rod from
> scratch, but never actually looking under the hood to make sure it
> goes fast.
>
> Beyond that, good stats include K Ratio. That's my fav.
>
> From my notes...
>
> a. COMPLETE SINGLE BULL-BEAR CYCLES
> i. In Sample = 4/1/2002 - 2/1/2004
> ii. In Sample = 11/1/1998 - 10/1/2001
> b. ULTRA-BEAR CYCLES
> i. In Sample = 10/1/2000 - 10/1/2002
> c. ULTRA-BULL CYCLES
> i. In Sample = 1/1/1996 - 4/1/2000
> ii. In Sample = 4/1/2003 - 2/1/2006
>
> and also...
>
> d. ROI ratio = ( net profit / maximum trade drawdown )
> i. If comparing ROI ratio between systems, must use same
> historical data for each system test. Look for highest ROI ratio.
> e. Sharpe Ratio = measure of risk adjusted ROI.
> i. Above 1.0 is good, above 2.0 is very good, 3.0 is excellent
> ii. Decreasing ratio means system losses hurt more than gains
> help
> f. K-Ratio = Detects inconsistency in returns. Measures both
> profitability and consistency of returns and then returns them in
> one single number.
> i. Should be 1.0 or more.
> ii. Ratio dependent on length of historical data used.
> g. Pessimistic Return to Risk Ratio (PRRR) = Large positive
> returns are not penalized like with the Sharpe Ratio.
> i. ADD = avg daily drawdown, AWT = avg winning trade, ALT = avg
> losing trade, Wins = number of winning trades, Losers = number of
> losing trades
> ii. PessimisticNet = AWT*(Wins-sqrt(Wins))-ALT*(Losers+sqrt
> (Losers)
> iii. PRRR = PessimisticNet/ADD
>
> Have fun,
>
> ~rhelfer
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Michael.S.G." <OzFalconAB@>
> wrote:
> >
> > Hi Fred,
> > As per previous posts, The common stats are realy just a
start
> > point. The ability to test said formula/system in a controlled
> > environment for more detailed analysis is what the rest of the
> framework
> > is designed for.
> >
> > Thanks for your list too.
> >
> > ATB
> > Michael.
>
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