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If
anyone is interested in Monte Carlo Simulation, it is possible to take the
backtest output from AB into something called TradeSim which will give you 1,001
reports including a very high-powered MCS capability. I probably do
20 to 30 MCS runs a day using TradeSim with AB exported
data.
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<FONT face=Arial color=#0000ff
size=2>TradeSim is available from: <A
href="">http://www.compuvision.com.au
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<BLOCKQUOTE
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: markf2
[mailto:feierstein@xxxxxxxxx]Sent: Thursday, April 17, 2003 10:55
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
The request for "variable" period functionsAnd as for
MCS, it stands for Monte Carlo Simulation. MCS can giveyou a
distribution of potential future outcomes if the inputs arerepresentative
of how the system will perform in the future. In broadterms, if the
basket of trades from your system test is representativeof the system's
population of future trades, MCS can calculate adistribution of drawdowns
and profits based on 10,000 (or however manyyou want) different equity
curves simulated from that basket of tradesgiven your money management
parameters. From that you can estimatethe probabilities of different
profit/loss levels. You can also dothis for groups of stocks to make
portfolio drawdown and profit/lossdistributions. This is more
"forward-looking" and multidimensionalthan portfolio backtesting and
pyramiding on historical quotes.--- In amibroker@xxxxxxxxxxxxxxx,
"Fred" <fctonetti@xxxx> wrote:> The AMA or AMA2 .vs. EMA will
give you a simple view of the > differences in potential.>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:> > Well, Mark, I have to admit I know nothing about adaptive
> indicators, so obviously I haven't ever tested them. In fact, I don't
> even know what an MCS is (I hate acronyms, and I've worked for the
> Government all my life!!)! I have tested various position sizing
> algorithms, as I'm a firm believer in position sizing as a means of
> controlling risk. All I know is that portfolio backtesting and
> pyramiding are tops on my wish list and have been ever since I bought
> AB back in Nov of 2001, and judging from many posts in the far and
> near past, I think there are lots of others who are anxiously
> awaiting this feature, too. Since the topic of adaptive indicators
> was only introduced for the first time yesterday, I believe, I was
> just thinking that perhaps it hasn't been a top priority on many
> people's wish lists. I will gladly concede to you and others if I'm
> wrong, since I still consider myself a rank beginner in AFL as well
> as trading in general. Tell me more about adaptive indicators and
> what their advantages are over static ones. Maybe give some examples?
> Thanks. > > > > Al Venosa>
> ----- Original Message ----- > > From:
markf2 > > To: amibroker@xxxxxxxxxxxxxxx >
> Sent: Thursday, April 17, 2003 9:50 PM>
> Subject: [amibroker] Re: The request for "variable" period
> functions> > > > > >
Really? Have you done much testing with adaptive indicators?
> Have> > you ever tried position sizing with MCS
(which is much more > powerful> > and
versatile)? > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> >
wrote:> > > I wholeheartedly agree with Jerome.
Portfolio backtesting and> > pyramiding, in my opinion,
are much more important that > introducing> >
more indicators, dynamic or not. I sure hope this new task, if>
> adopted, does not distract or slow down Tomasz from
developing > what I> > think lots more people
wish to have as part of the AB engine. My> > opinion,
FWIW.> > > > > > Al
Venosa> > > > >
> ----- Original Message ----- > >
> From: Silvarius > > >
To: amibroker@xxxxxxxxxxxxxxx > > > Sent:
Thursday, April 17, 2003 4:12 PM> > >
Subject: RE: [amibroker] The request for "variable" period >
functions> > > > > >
> > > I second Dimitris in his Opinion.
Portfolio backtesting> > enhancement is much more
critical IMHO.> > > > >
> Best regards, Jérôme ULRICH> >
> -----Message d'origine----->
> > De : DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxx]> > >
Envoyé : jeudi 17 avril 2003 21:41> >
> À : amibroker@xxxxxxxxxxxxxxx>
> > Objet : [amibroker] The request
for "variable" period > functions> > >
> > > > >
> Everybody asks for variable period possibilities,
as if AFL > is poor > >
> in this logic.> >
> Let us take a closer look :>
> > Variable Period smoothing
functions:> > > MA, DEMA,
TEMA do accept variable period.> >
> The remaining EMA can accept through
EMA(ARRAY,PER)==AMA> (ARRAY,2/> >
> (PER+1))> >
> Is there any other type of smoothing used in your
> formulas ???> > >
RSI works through RSIA, CCI works through CCIA> >
> MACD through above described EMA.>
> > What is next?>
> > How about StochK and StochD with
variable per ?> > > Perhaps
you do not know that you can do it NOW in pure > AFL !!>
> > The HHV and LLV functions work
fine with variable period.> >
> per=10+cum(1)%20;> >
>
StochKa=MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3);>
> >
StochDa=MA(MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV>
(L,per)),3),3);> > > Is ther
any other function you would like to see with > variable >
> > period ?>
> > Search first the definition and
then see if it already > exists in> > your
> > > AFL potential.>
> > It is better to know the
definition of a Stochastic, before > asking > >
> fast software upgrades-enhanchments.>
> > In my opinion, the lack of
definition will always confuse > the user, > >
> with fixed or variable period.>
> > Dimitris Tsokakis >
> > > > > > >
> > > > Send BUG REPORTS
to bugs@xxxx> > > Send
SUGGESTIONS to suggest@xxxx> >
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