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I use it for all my stock system testing.
- Means you can avoid the Metastock system tester altogether (which is so
buggy its unusable)
- Allows real portfolio analysis, including variables such as position size
methods
- good support
But
- expensive
- does not generate typical industry stats (e.g. Sharpe ratio)
- most of the system coding is still in MS, so suffers from MS limitations
(like not being able to reference price or bar of trade entry)
Overall, I found it transformed my ability to create and test systems. And
most importantly, it raised my level of confidence in the results I'm
getting, which makes any system psychologically easier to trade. But you
have to be reasonably familiar with coding in MS to get the most out of it.
-----Original Message-----
From: Karile [mailto:karile@xxxxxxxxxx]
Sent: Wednesday, November 03, 2004 4:24 AM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Opinions about Tradesim
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
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>>>>
>>>>
>>>>
>>>>
>>>>
>>>
>>>
>>>
>>>
>>>Yahoo! Groups Links
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>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>
>>
>>
>>Yahoo! Groups Links
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