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Re: monte carlo simulations



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<DIV><FONT color=#000000 size=2>I don't know of any published work of this 
nature. One thing you might want to consider is getting a copy of Resampling 
Stats. This is a package specifically designed for doing statistical analysis 
with Monte Carlo techniques. The URL is</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT>&nbsp;</DIV>
<DIV><FONT size=2><A 
href="http://www.resample.com/";>http://www.resample.com/</A></FONT></DIV>
<DIV><FONT size=2></FONT>&nbsp;</DIV>
<DIV><FONT color=#000000 size=2>I am currently engaged in research in this and 
closely related areas, specifically the performance analysis of trading systems. 
I've certainly considered writing software to do the sort of thing you describe, 
but the market is pretty limited. If you can come up with a clear and coherent 
set of technical requirements for such a package, I might be willing to take it 
on as a contract job. One thing that would be necessary is a complete 
description of the trading system involved, suitable for simulation. This 
specification must include how to deal with rollovers and limit days in the case 
of futures; profit/loss values obtained from, say, Tradestation run against 
continuously linked contracts patched together from the front months are 
worthless, as are simulations that assume you could get out of a position when 
the market was locked limit against you.</FONT></DIV>
<DIV><FONT color=#000000 size=2>--<BR>M. Edward Borasky&nbsp; <A 
href="mailto:znmeb@xxxxxxxxxxxx";>znmeb@xxxxxxxxxxxx</A>&nbsp; <A 
href="http://www.teleport.com/~znmeb";>http://www.teleport.com/~znmeb</A></FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT>&nbsp;</DIV>
<DIV><FONT color=#000000 size=2>If God had meant carrots to be eaten cooked, He 
would have given rabbits fire.<BR></FONT></DIV>
<BLOCKQUOTE 
style="BORDER-LEFT: #000000 solid 2px; MARGIN-LEFT: 5px; PADDING-LEFT: 5px">
    <DIV><FONT face=Arial size=2><B>-----Original Message-----</B><BR><B>From: 
    </B>Marc Hara Lawrence &lt;<A 
    href="mailto:ml1@xxxxxxxxxxxxxxxxxxx";>ml1@xxxxxxxxxxxxxxxxxxx</A>&gt;<BR><B>To: 
    </B>RealTraders Discussion Group &lt;<A 
    href="mailto:realtraders@xxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxx</A>&gt;<BR><B>Date: 
    </B>Sunday, January 24, 1999 17:21<BR><B>Subject: </B>monte carlo 
    simulations<BR><BR></DIV></FONT>
    <DIV><FONT size=2>Does anybody know of monte carlo simulation software (how 
    to program) for excel where you can program the distribution of winners and 
    losers and their R multiples?&nbsp; In addition can it handle different 
    schemes for betting a certain percentage with core equity as oppossed to 
    being more aggressive with market's money( ie. betting closer to kelly 
    formula)?&nbsp; Is there a good book on this subject?</FONT></DIV>
    <DIV><FONT size=2></FONT>&nbsp;</DIV>
    <DIV><FONT size=2>Thanks in advance</FONT></DIV>
    <DIV><FONT size=2></FONT>&nbsp;</DIV>
    <DIV><FONT size=2>Marc Lawrence</FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Sun Jan 24 19:14:22 1999
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Hint/Solve:
If you are good at role playing, it will help, making it a little cheaper.
Not theoretical evaluation of how you'd feel or hindsight of what you
gonna do.
AD&D the pit.

At 03:28 AM 1/25/99 , you wrote:
>When I was trading on the floor and a new market maker would enter the
>pit and ask, how long does it take to learn to trade?  My answer, at
>that time, was between $8000 and $10000.  The price may have gone up due
>to inflation.  Ira.
>
>Tom Stein wrote:
>
>> Ira wrote...."That is what education is all about"
>>
>> Walt wrote...."We all make mistakes. Question is, do we learn from
>> them? :)"
>>
>> Yes....Yes....
>>
>> My question is........ In regards to trading, does one have to
>> experience the most valuable of lessons or can one read about them?
>> Can you learn the lesson without first experiencing?
>>
>> Funny....I just received Eddie Toppel's free e-mail update..........
>> http://www.samuraitrader.com
>>
>> In it he says....."The problem with learning from your mistakes is
>> that you get the experience first and the lesson afterwards."
>>
>> Tom Stein
>> comfut@xxxxxxx
>