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If you had nothing better to do, recently, than follow my C++/MCS
posts and the XYZ example you might be interested to know that
Compuvision-TradeSim discusses their MCS method at their site.
They record the outcomes of a massive number of random walks through
all trades produced by the system under test (the ramped up version
of my xyz matrix?).
Incredible huh?
Interesting to note that, according to Central Limit Thereom, the
mean outcome of that exercise, when viewed as a matrix (if N is
sufficiently large ... > 30) will be an approx normal distribution).
Hard to envisage?
The only difference between XYZ and a FreqDist chart is a couple of
formulas and a yoga position.
Note that MSA (www.adaptrade.com) use an entirely different MCS model
for their off the shelve trade analyzer.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> To be more technically correct I should have said
>
> ATC(ROC(array,1)/ATC(number of stocks in watchlist)
>
> or something like that.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > Hello Growly,
> >
> > I did this sort of thing a few years back and posted on it.
> >
> > Didn't attract any comments.
> >
> > I thought it was a good idea.
> >
> > The headline indexes belong to the institions and serve their
> > purposes.
> > Knowing how they are constructed we (freelance traders) can use
> them
> > as we see fit but IMO the equal weighted index is the Traders
Index:
> >
> >
> > 1) - if we are system trading it is our real benchmark.... we
could
> > nominally split our capital and buy an equal $ value of each
stock
> in
> > the 'index' .... nominally we sell at the close of every bar ...
> > rebalance our capital and buy back in.
> >
> > This doesn't require any special trading skill so it is the
> dumbluck
> > return we can achieve and our equivalent of 'buy & hold'.
> >
> > Traders Benchmark == format as GrowthFactor and expressed as
equity
> > (GF1 * GF 2 ->GFn)
> >
> > There is no need to stipulate starting eq because Initial EQ == 1
> > standardises the Traders Indexes.
> >
> > Using the same number of bars (data sample window) standardises
the
> > TI in time.
> >
> > 2) we can construct our indexes for any universe of stocks and
are
> > not limited to, say the S&P list
> >
> > 3) we can move between markets and take our benchmarks with us
> (some
> > markets don't have the range of indexes available in the US)
> >
> >
> > Try averaging your index (divide the Sum(ROC per bar) by the
number
> > of stocks in the index) ... perhaps this could be seen as a
> standard
> > that holds even when stocks rotate out of your index watchlist.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "G_R_O_W_L_Y" <g_r_o_w_l_y@>
> > wrote:
> > >
> > > Hello
> > >
> > > I have created an Amibroker index creation script that uses
> > percentage
> > > change in each security added, rather than price movement to
> ensure
> > > equal weighting for each security.
> > >
> > > It still is not functioning correctly and if anyone would like
> to
> > > give it a try and maybe recommend any changes that would be
> greatly
> > > appreciated.
> > >
> > >
> > > Simply run it in Automatic Analysis on a group of securites and
> it
> > > will create an index name "~MyIndex"
> > >
> > >
> > > AddToComposite( ((Close - Open) / Open ) *
100, "~MyIndex", "X" );
> > > AddToComposite( 1, "~MyIndex", "I");
> > > Buy=0;
> > > Graph0=(Foreign("~MyIndex", "C" ) / Foreign("~MyIndex", "I" ));
> > >
> > >
> > > Thanks
> > >
> >
>
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