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hello,
> Instead of testing a system with out of sample data, I
> want to examine it against random trades--the system
> versus buying and selling randomly. Any one has
> ideas (or code) about how I get the random trades.
> thanks in advance
> nand
I don't know much afl and AB to provide a code. but if I knew I would
generate a family of random entry points plus randomly generated
direction of a trade, L or S. the consecutive entry points are valid
after previous trade is closed by the system. then I'd examine these
random entries against system strict exit rules (ie. cover+sell rules).
I would do it many times, write down drowdown or any important result.
then evaluate its mean value, standard deviation etc. to see how they
distribute.
cheers,
BM
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