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Re: [amibroker] Monte Carlo Permutation Evaluation of Trading Systems



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Hi,

I don't understand exactly how Monte Carlo works. I thought it would give me more samples by resampling the data, but I get only 6 different % profit/losses over 1000 times.  Is it normal?

Thanks,

Louis

2008/3/18, Louis Préfontaine <rockprog80@xxxxxxxxx>:
Hi again,

I know why Excel was not working; I simply had to replace all the points by commas and not it works.  I am still wondering if it is normal that the Monte Carlo made only three trades out of the same three trades I had at the beginning, but I have something new to chew on.  Thanks,

Louis

p.s. Still wondering why only 6 different % of profit...

2008/3/18, Louis Préfontaine <rockprog80@xxxxxxxxx>:
Hi,

Wow I didn't know about the files section.  It really rocks!

I did exactly as the help file said.  However,

Is it normal than:

1) When I click on "Generate Histograms" in Excel I have a Microsoft Visual Basic window that opens with a hell lot of code;
2) Over 1000 runs, I get only 6 different profit %
I still am not sure if what I see in Excel is what I need to see and/or what it means. 
Thanks for your help!

Louis

2008/3/18, Steve <divtrader@xxxxxxxxx>:


Louis Préfontaine wrote:

> Where do I find this file?

The MCS file is in the files section of this
mailing list.
I believe detailed usage instructions are with the
file.

Regards
Steve

>
> Do I need to have a separate .afl for the optimization or I can put the
> code at the same place? (I have the same problem with custom
> backtesting... do I need a separate afl or all in the same? I am a
> beginner with those features...)
>
> Thanks,
>
> Louis
>
> 2008/3/16, pointsmax@xxxxxxxx <mailto:pointsmax@xxxxxxxx>
> <pointsmax@xxxxxxxx <mailto:pointsmax@xxxxxxxx>>:
>
> 1) download this:
> files - Monte Carlo Portfolio Backtester - MCS calculations for
> Amibroker.zip
>
> 2) set in your afl:
> positionscore = random();
> run=optimize("run",1,1,1000,1);
>
> (if you have enough time you can do more than 1000 iterations)
>
> 3) copy the results in the excelsheet from zip
> 4) start monte carlo simultation
>
> it worked fine
>
> ----- Ursprüngliche Mail ----
> Von: Louis Préfontaine <rockprog80@xxxxxxxxx
> <mailto:rockprog80@xxxxxxxxx>>
> An: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> Gesendet: Sonntag, den 16. März 2008, 03:12:05 Uhr
> Betreff: [amibroker] Monte Carlo Permutation Evaluation of Trading
> Systems
>
>
> Hi,
>
> I was wondering if anyone was using the Monte Carlo Permutation
> Evaluation of Trading Systems and if yes, how do you set it?
>
> Thanks,
>
> Louis
>
>
>
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>




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