Hello PS, Thanks for your help; much appreciated.
I was searching the wrong terms. You are correct; there is a mile of stuff available and some of it will definitely do the job. MCS is probably the answer in the long run but this is an area that I want to drill down into and get to the theory anyway. So, I'm moving into the Quants territory? That's a bit scary! Oh well, a mans gotta do what a mans gotta do! BrianB2. --- In [email protected], "vlanschot" <[EMAIL PROTECTED]> wrote: > > BrianB2, > > Since you mention MCS, I assume you've read Nassim Taleb's > excellent "Fooled by randomness"? TJ is planning, in due time, to add > MCS-functionality, and you may look at the comments/requests re MCS > in the feedback centre. Should "true MCS" be added to AB's CBT, you > can do any stats on any trading strategy, and they will no longer be > limited to a bootstrap/deterministic draw. > > There are also zillions of stats/quant books on this matter. For > example, if you look at trading in a portfolio setting, take a look > at Grinold & Kahn's "Active Portfolio Management". Alternatively, > just google "amazon statistics trading". You also may like to take a > look at the "Journal of Trading", a new publication by Institutional > Investor (www.iijot.com). > > PS > > --- In [email protected], "brian.z123" <brian.z123@> wrote: > > > > Hello Jerry and Mr Davis, > > > > Thanks for your posts. > > > > Statistical indicators may be something else again. > > I haven't studied that subject. > > I'll make a note of your points and investigate one day. > > "Never waste a good lead", I always say. > > If people want to spin out some info on statistical indicators that > > is fine by me. > > > > What I am working on is a different way to evaluate system > > performance. > > As a result of back-testing we obtain a range of metrics on our > > *system* e.g wins/losses, drawdown etc. > > There are so many of them used in *trading culture*, some with > > questionable value. > > Basically we are evaluating a data sample comprised of individual > > trades and making inferences about a larger group of trades based > on > > that sample i.e the larger population of future trades. > > How can we do that in the most accurate possible way? > > This type of problem is what statistics is based on except it is > > generally orientated to solving *academic* problems. > > Statistics often uses coin flipping, card games and roulette as > > examples when applying statistical techniques but stockmarket > > trading seldom gets a mention. > > I am looking for a writer who has applied statistical methods to > the > > problem of evaluating trading systems. > > Monte Carlo simulation is one example of this type of application. > > I am looking for others. > > > > Hopefully there is an author around who can take me further on the > > subject. > > > > BrianB2. > > > > > > --- In [email protected], "Jerry Laster" <laster@> wrote: > > > > > > Not really. My guess is that brian is trying to find a book on > the > > use of > > > statistics applied to stock trading. > > > Haven't read any books that deal with probability of trades and > > measuring > > > them. The most advanced use of statistics I know is the afore > > mentioned > > > Van Tharp book and other books that deal with money management > > (but not > > > with probabilistic outcomes for set-ups or patterns (if that's > > what brian > > > is looking for)). > > > Some indicators like sigmas and linear regressions are > > statistical > > > indicators. David Elliott uses a particular formula for Bollinger > > bands > > > and transforms them into statistical indicators (stocks that > break > > certain > > > levels are more likely to continue up or down trends, etc.) > > because they > > > fall outside the bell curve of non trending stocks. > > > Check David Elliott stuff, I think he is trying to apply > > statistics to > > > trading, but the only book he wrote is his 1998 guide to make a > > million in > > > the crash of 2000. > > > > > > jerry > > > > > > > > > On Wed, 25 Oct 2006 19:36:58 -0400, mrdavis9 <mrdavis9@> wrote: > > > > > > > Please correct me if I am wrong, but aren't most of TJ's AFL's > > such as > > > > the > > > > CCI, RSI, and STOCHASTICS, statistical indicators? Ron D > > > > > > > > > > > > > > > > > > > > > > > > ----- Original Message ----- > > > > From: "brian.z123" <brian.z123@> > > > > To: <[email protected]> > > > > Sent: Wednesday, October 25, 2006 8:05 AM > > > > Subject: [amibroker] OT: Statistics > > > > > > > > > > > >> Statistics for traders. > > > >> Can anyone recommend a book on statistics written specifically > > for > > > >> traders or that applies statistical methods to trading > examples? > > > >> I am looking for an author who has done a good job on the > > subject. > > > >> Even if it is only a section of a book that would do provided > it > > > >> goes beyond a superficial treatment of the subject. > > > >> > > > >> For anyone interested here is a link to a very good > > introduction or > > > >> refresher for statistics. > > > >> The HTML *book* takes your from 0-50kph in approx 100 pages. > > > >> Please note; the site does contain a lot of advertisements but > > it is > > > >> also a mini portal for stats and it does have links to free > > > >> statistical stuff and free tools. > > > >> > > > >> Outside of writing indicators I find statistics to be one of > > the few > > > >> maths disciplines that has a high degree of relevance to > > trading. > > > >> > > > >> http://davidmlane.com/hyperstat/index.html > > > >> > > > >> BrianB2. > > > >> > > > >> > > > >> > > > >> > > > >> Please note that this group is for discussion between users > > only. > > > >> > > > >> To get support from AmiBroker please send an e-mail directly to > > > >> SUPPORT {at} amibroker.com > > > >> > > > >> For NEW RELEASE ANNOUNCEMENTS and other news always check > > DEVLOG: > > > >> http://www.amibroker.com/devlog/ > > > >> > > > >> For other support material please check also: > > > >> http://www.amibroker.com/support.html > > > >> > > > >> Yahoo! Groups Links > > > >> > > > >> > > > >> > > > >> > > > > > > > > > > > > > > > > -- > > > Kind regards, > > > Jerry > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
