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Howard
Thanks for your response.
I had noted references to a "PBT v2.5" for use with excel and a
similar "MCS calculations for Amibroker". I've also seen posts
including the code "run=Optimize("run",1,1,100,1);PositionScore =
Random();" so I was trying to make sense of it all.
I look forward to your book.
Bernard
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> 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@xxx> 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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