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Hi Alex,
excuse me if I don't know well the theory behind MC but I'd like to ask You
if it's necessary the parameter "volatility" (and initial stop) in MC
simulaton (and in Your _System history); without it isn't possibile run a MC
sim. well done?
I don't use those parameters (and so I've eliminated them in Your _system
hystory code) in my ts...
Mario
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: "John Lynch" <kiwi_trader@xxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Thursday, July 18, 2002 8:17 AM
Subject: Re: Tools for Monte Carlo Analysis
> John Lynch wrote:
> >Can you please share your preferences for tools to perform the analysis
(I
> >was thinking of something to run in Excel at low to zero cost)?
>
> Funny you should ask. Check this out:
>
> http://unicorn.us.com/trading/prosizer.html
>
> This is an Excel tool I developed myself. I just put some finishing
> touches on it yesterday. I may sell it; I see others for sale that
> don't seem nearly as good. :-) It does Monte Carlo simulations
> of combinations of position sizing strategies. I use it to find
> parameters that give me the maximum expected return for my maximum
> acceptable drawdown.
>
> Dennis wrote in the thread "Re: Limited life span of mechanical
> systems?":
> >As an aside, Optimal_F usually gives you a higher than 90%
> >probability of wiping out the account when you run the system
> >through the MC. So, Optimal_F is decent at defining where the edge
> >of the cliff is. What it doesn't do is tell you how far back from
> >the cliff edge you need to walk to feel "safe." The MC does that.
>
> Yes, Monte Carlo certainly does do those things! With my tool you
> can find the "optimal F" for any position sizing model and verify
> for yourself that the drawdowns are immense at the optimum point.
> But with this tool you can also find the combination of parameters
> that gives you the best return and best return/drawdown ratio for a
> given maximum drawdown.
>
> I see other applications like this selling for $95 and up. I think
> that's too high, personally. Any suggestions are appreciated. $40?
> $25? A name less lame than "Prosizer"?
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> // __) Unicorn Research Corporation -- http://unicorn.us.com
>
>
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