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Hi Bernard --
I think you are not getting clear answers to your questions on the board for several reasons. One, Monte Carlo analysis is not well understood. Two, AmiBroker has limited native Monte Carlo analysis tools. Three, correct use of Monte Carlo analysis requires quite a lot of work beyond writing the code for a simple trading system, and the computational requirements and run times expand many-fold -- 100 times the computation is not unusual. Four, interpretation of the results requires knowledge of statistical analysis and its application to output from multiple runs. Five, the resulting trading system no long gives a single answer about the profitability of its use, but rather a probability distribution.
After performing Monte Carlo analysis, the systems designer is in the position of the man who just bought a second watch -- he used to know what time it was, but now he is not sure.
I have talked with Tomasz at length about several features that will enhance AmiBroker's capabilities in areas related to validation of trading systems, including Monte Carlo analysis. I believe he has plans to extend AmiBroker in this area.
In the mean time, there are a few things you can do yourself. Your copy of the book -- Quantitative Trading Systems -- is on its way to you. It went out on April 30 using Global Priority Mail. There is a discussion of Monte Carlo analysis in the book, along with a couple of examples. One is done completely within AmiBroker, the other requires analysis using a spreadsheet after several AmiBroker runs.
Thanks,
Howard
On 5/3/07, bernardedmond01 <bernardedmond01@xxxxxxxxxxx> wrote:
Hi All
I want to get the basics for starting my own Monte Carlo testing.
There are 346 messages on here relating to MC. Can anyone point me in
the direction of the starting line please? What should I look at/use
first?
Thanks
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