[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Re: Monte Carlo Simulation - MCS



PureBytes Links

Trading Reference Links

Thanks, Mark.
Re XLSim and Resampling Stats, do they complement each other?
Also, I tried a couple of AI addins back when (Excel 5.0?) and thought
them slooow; can I expect a lot of xla overhead with these under
excel2k?

TIA,
Bob



-----Original Message-----
From: markf2 [mailto:feierstein@xxxxxxxxx]
Sent: Saturday, April 19, 2003 12:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Monte Carlo Simulation - MCS


Bob- Yes I did.  Downloaded and used it for a while a few years ago
but dumped it for the others.

Mark

--- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> Mark,
> Did you happen to look at simtools?
> http://home.uchicago.edu/~rmyerson/addins.htm
> I'm not an Excel whiz so just squirreled it away for the future.
>
> Bob
>
>
> -----Original Message-----
> From: markf2 [mailto:feierstein@x...]
> Sent: Friday, April 18, 2003 9:45 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Monte Carlo Simulation - MCS
>
>
> Phsst- I use XLSim and Resampling Stats.  Both are inexpensive and
> extremely flexible since they're Excel-based.
>
> http://www.analycorp.com/software.htm#details2
>
>
http://www.resample.com/cgi-bin/DCshop/dcshop.cgi?action=view_category&d
> ata= base=resamp&category=0
>
> Mark
>
> --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > Chuck,
> >
> > I looked at the TradeSim Slide Show. The interface seems to require
> > Metastock for data and indicator plug-in. So how is the AB backtest
> > export file interfaced into TradeSim? And does it work without
> Metastock?
> >
> > Regards,
> >
> > Phsst
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > 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.
> > >
> > > TradeSim is available from:  http://www.compuvision.com.au
> > >
> > >
> > >   -----Original Message-----
> > >   From: markf2 [mailto:feierstein@x...]
> > >   Sent: Thursday, April 17, 2003 10:55 PM
> > >   To: amibroker@xxxxxxxxxxxxxxx
> > >   Subject: [amibroker] Re: The request for "variable" period
> functions
> > >
> > >
> > >   And as for MCS, it stands for Monte Carlo Simulation.  MCS can
> give
> > >   you a distribution of potential future outcomes if the inputs
are
> > >   representative of how the system will perform in the future.  In
> broad
> > >   terms, if the basket of trades from your system test is
> representative
> > >   of the system's population of future trades, MCS can calculate a
> > >   distribution of drawdowns and profits based on 10,000 (or
> however many
> > >   you want) different equity curves simulated from that basket of
> trades
> > >   given your money management parameters.  From that you can
> estimate
> > >   the probabilities of different profit/loss levels.  You can also
> do
> > >   this for groups of stocks to make portfolio drawdown and
> profit/loss
> > >   distributions.  This is more "forward-looking" and
> multidimensional
> > >   than 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@x...]
> > >   > >   >     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
> > >   > >   >     -----------------------------------------
> > >   > >   >     Post AmiQuote-related messages ONLY to:
> > >   > amiquote@xxxxxxxxxxxxxxx
> > >   > >   >     (Web page:
> > http://groups.yahoo.com/group/amiquote/messages/)
> > >   > >   >     --------------------------------------------
> > >   > >   >     Check group FAQ at:
> > >   > >
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >   > >   >
> > >   > >   >     Your use of Yahoo! Groups is subject to the Yahoo!
> > Terms of
> > >   > >   Service.
> > >   > >   >
> > >   > >   >
> > >   > >   >         Yahoo! Groups Sponsor
> > >   > >   >
> > >   > >   >
> > >   > >   >
> > >   > >   >   Send BUG REPORTS to bugs@xxxx
> > >   > >   >   Send SUGGESTIONS to suggest@xxxx
> > >   > >   >   -----------------------------------------
> > >   > >   >   Post AmiQuote-related messages ONLY to:
> > >   > amiquote@xxxxxxxxxxxxxxx
> > >   > >   >   (Web page:
> http://groups.yahoo.com/group/amiquote/messages/)
> > >   > >   >   --------------------------------------------
> > >   > >   >   Check group FAQ at:
> > >   > >
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >   > >   >
> > >   > >   >   Your use of Yahoo! Groups is subject to the Yahoo!
> Terms of
> > >   > Service.
> > >   > >
> > >   > >
> > >   > >         Yahoo! Groups Sponsor
> > >   > >               ADVERTISEMENT
> > >   > >
> > >   > >
> > >   > >
> > >   > >
> > >   > >   Send BUG REPORTS to bugs@xxxx
> > >   > >   Send SUGGESTIONS to suggest@xxxx
> > >   > >   -----------------------------------------
> > >   > >   Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > >   > >   (Web page:
http://groups.yahoo.com/group/amiquote/messages/)
> > >   > >   --------------------------------------------
> > >   > >   Check group FAQ at:
> > >   > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >   > >
> > >   > >   Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> > >   > Service.
> > >
> > >
> > >         Yahoo! Groups Sponsor
> > >
> > >
> > >
> > >   Send BUG REPORTS to bugs@xxxx
> > >   Send SUGGESTIONS to suggest@xxxx
> > >   -----------------------------------------
> > >   Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > >   (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >   --------------------------------------------
> > >   Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >   Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/



Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html

Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/



------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->

Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html 

Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/