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[Metastockusers] Opinions about Tradesim



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Hi,

A friend told me about this product "Tradesim Enterprise Edition" ( with 
Monte Carlo simulations) http://www.compuvision.com.au/index.htm . It 
seems to be interesting but I am not an expert.

So, is Monte Carlo simulation really useful to backtest a trading system ?

What are its disadvantages and advantages ?

Regards,

Karile




Kevin wrote:

>Hello Martin,
>
>What about:
>
>10VolInd:
>Ref ( (( HHV(H,10 ) - LLV(L,10))/C) * 100 ,-2)
>
>10VolIndLow:
>Ref ( LLV( Fml("10VolInd"),253) ,-2)
>
>Exploration remains the same.
>
>?
>
>Regards,
>Kevin
>
>At 19:11 01/11/2004 -0500, you wrote:
>  
>
>>Kevin
>>If I do it your way and so far it looks good then I would have to populate a
>>portfolio weekly with this exploration since I want low volatility two days
>>ago and not including yesterday or the day before.
>>Martin Blain
>>Burlington Ontario
>>----- Original Message -----
>>From: "Kevin" <kevin_barry@xxxxxxxxxxxxxx>
>>To: <Metastockusers@xxxxxxxxxxxxxxx>
>>Sent: Monday, November 01, 2004 4:38 AM
>>Subject: Re: [Metastockusers] Re: Low volatility
>>
>>
>>    
>>
>>>Hello Martin,
>>>
>>>I would suggest that you consider using a slightly different approach in
>>>order to meet your requirements.
>>>
>>>Scanning for a volatility level in isolation won't tell you much at all
>>>because different stocks have got their own unique 'normal' level of
>>>volatility, i.e. a tech stock will almost certainly have a far higher
>>>normal volatility level than, say, a boring old S&P100 stock.
>>>
>>>Therefore, what you need to look for is a low RELATIVE volatility, i.e. is
>>>the stock near it's own yearly low volatility level ignoring the actual
>>>level itself?
>>>
>>>So, let's plot volatility over the last, say, ten periods:
>>>
>>>(P.S. There are many different methods of measuring volatility.)
>>>
>>>10VolInd:
>>>(( HHV(H,10 ) - LLV(L,10))/C) * 100
>>>
>>>Now, let's plot the annual volatility low:
>>>
>>>10VolIndLow:
>>>LLV( Fml("10VolInd"),253)
>>>
>>>Now, explore your stocks:
>>>
>>>ColA: Fml("10VolInd")
>>>ColB: Fml("10VolIndLow")
>>>Filter: ColA < (ColB*1.05)
>>>
>>>This will give you stocks where the ten-period volatility is within 5% of
>>>the lowest volatility level of the year.
>>>
>>>I hope that helps.
>>>
>>>Regards,
>>>Kevin
>>>
>>>
>>>
>>>At 19:38 31/10/2004 -0500, you wrote:
>>>      
>>>
>>>>Wabbit
>>>>This is what I ended up using although it is not quite right.
>>>>
>>>>Signal:=Vol(10,10)<2;
>>>>
>>>>BarsSince(Signal)<4
>>>>
>>>>Added the barssince to avoid spikes at the end of the chart.
>>>>I really am just looking for an exploration to find stocks that are flat
>>>>lining for a month or two.
>>>>
>>>>Martin Blain
>>>>Burlington Ontario
>>>>----- Original Message -----
>>>>From: "bellamy_29m" <bellamy_29m@xxxxxxxxx>
>>>>To: <Metastockusers@xxxxxxxxxxxxxxx>
>>>>Sent: Sunday, October 31, 2004 7:16 PM
>>>>Subject: [Metastockusers] Re: Low volatility
>>>>
>>>>
>>>>        
>>>>
>>>>>Have you tried something along the lines of :
>>>>>
>>>>>prd:=input("Lookback periods...",1,252,30);
>>>>>x:=input("Price data: 1-O, 2-H, 3-L, 4-C",1,4,3);
>>>>>x:=if(x=1,O,if(x=2,H,if(x=3,L,C)));
>>>>>
>>>>>myVol:=(hhv(x,prd)-llv(x,prd)) / llv(x,prd);
>>>>>
>>>>>myVol;
>>>>>
>>>>>This will return low values during periods of low price movement, and
>>>>>larger numbers when the price is changing.  Find a threshold
>>>>>(programmatic / automatic calculation is possible)
>>>>>
>>>>>If it isn't quite what you are looking for, then let me know.
>>>>>
>>>>>Hope this helps.
>>>>>
>>>>>wabbit :D
>>>>>
>>>>>P.S. - you should really have posted your work-in-progress code so
>>>>>that those people who you are asking for help can see what you have
>>>>>already tried.
>>>>>
>>>>>
>>>>>          
>>>>>
>>>>>>I have been struggling to develope an indictor for low price
>>>>>>volatility over say a 30 day period. The problem seems to be that
>>>>>>I want the price to also remain the same as well as end the period
>>>>>>at the same price.  Any help would be appreceiated. I have tossed
>>>>>>out about 10 formulas!
>>>>>>            
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>Yahoo! Groups Links
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>          
>>>>>
>>>>
>>>>
>>>>
>>>>Yahoo! Groups Links
>>>>
>>>>
>>>>
>>>>
>>>>        
>>>>
>>>
>>>
>>>
>>>
>>>Yahoo! Groups Links
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>      
>>>
>>
>>
>>
>>Yahoo! Groups Links
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>>
>>
>>
>>    
>>
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