PS For the record.
Is there any info around that you know about that explains how to do MCS in AB now? I haven't rushed at it as I can do it externally if necessary via Compuvision, RiskAmp (Xcel based) or MSA Analyser. I am actually not a true believer in MCS although not a disbeliever either. It is the best that I am capable of at the moment but I can't quell the desire to do better. One of the things I am trying to prove or disprove is whether the general population profile generated by MCS will in fact only be a duplicate *image* of the sample data with it's profiling statistics. My hypothesis is that I should be able to calculate all of the stats I need for the greater population of unknown trades, without the need to run MCS. This would be a timesaver. Also no matter how many times we run simulations we can *never* predict the future. We are only looking to acquire the probalities for the future datasets. Can't we derive them from the sample stats without MCS? I realise that this is an intuitive and naive view of sample distribution but I am looking to the published academics to confirm or deny the theory. I would love to hear your stories about Capra without boring everyone else. An email is on the way. Thanks kindly. BrianB2. --- In [email protected], "vlanschot" <[EMAIL PROTECTED]> wrote: > > quanttrader714, > > Q for you: > > Not knowing the other settings, let's assume the system shows > promising results over the IS-period (otherwise why bother testing > further). Let's further assume that the risk/return profile(s) of the > underlying series is fairly stable over time. Is there not already a > natural bias in the fact that the number of trades, regardless of IS > or OOS, is inticately linked to the aforementioned profile, i.e. the > expected return, simply because we assume "1 history"? Therefore, > having buy-signals drawn "randomly" but benchmarked to the number of > trades in the OOS-period doesn't give you an unbiased view of the > system versus chance? > > FAC, I'm not criticising you. I realize your suggestion is meant as a > quick test, but I would suggest to extend it via MCS: generate > simulated price-series (stress-tested or not), thus generating > hundreds of "alternative histories" and apply one's system to these. > All this can already be achieved in AB now, although TJ is planning a > native MCS-functionality. > > PS > > (For Brian: unfortunately Capra hates the markets [see his > book "Hidden Connections"]. Tried to explain things to him. He didn't > want to listen. Suggest private e-mail if you want to know more). > > --- In [email protected], "quanttrader714" > <quanttrader714@> wrote: > > > > This is OT on psychology but a while back I believe you were asking > > about statistics and trading? Here's a very simple statistical test > > that can be run using AB alone. This simplified example will > estimate > > the strength of a "long only" system's entries. Long and short > > systems and exits are a bit trickier but the principle is the same. > > > > Run an *out of sample* (OOS) system backtest. Save the results. > Note: > > OOS only! > > > > Add the following line of code to specify the number of iterations. > > I'd run 1000 or more but as few as 100 will still give a crude > > estimate. > > > > Iterations = Optimize("Iteration",1,1,1000,1); > > > > Replace the system's buy condition with the following code but leave > > the original settings, sell condition and stops in place. Tweak the > > value in the Buy line (0.975 in this case) so the number of trades > is > > approx. the same number as in the original OOS backtest. BTW, I > > personally wouldn't be comfortable with this procedure unless the > OOS > > backtest has at least several hundred trades. > > > > Buy= Random()>0.975; > > > > Optimize over the OOS period. Sort results by the metric you want to > > analyze. The fraction of optimized results that is greater than or > > equal to the OOS backtest metric is an estimate of the probability > > that one can do as well as or better than the original system entry > by > > chance alone. Of course no matter how good the results, there's no > > guarantee of future profitability. But this is an easy way to get a > > decent estimate of how much better than chance your OOS metrics are. > > > > --- In [email protected], "brian.z123" <brian.z123@> wrote: > > > > > > Thanks to the silent majority for your patience with me on the > > > Psychology included in this topic. > > > Right at the moment I can't see myself raising the subject again, > > > not in this forum anyway. > > > > > > My next series of posts is all hardcore trades and code; I > promise. > > > I have started testing the bearMonday Calender Affect and I will > > > post the results as a training project. > > > If there is a valid trade in there I am likely to publish it, but > > > don't hold your breath. > > > While, as a project it has some interesting features, I don't see > > > anything to get excited about so far. > > > The results will be posted in a new topic: *Calender Effect*; > maybe > > > next week. > > > > > > > ******************************************************************** > > > > > > Trading Psychology follows. > > > Includes material suitable for advanced students only. > > > > > > I need to redress the omission of an important point and I will > also > > > offer a short explanation to help with practical application. > > > > > > Referring to the visual mnemonic. > > > > > > The universal energy (white space)is the same within and without > > > except that which is within the area bounded by the mnemonic is > that > > > portion commanded by the individual. > > > Great men perform great acts in the world by way of the amount of > > > energy at their disposal. > > > > > > The visual image implies that this is brought about by an act of > > > dedicated focus based on supreme will power. > > > > > > Energy is a matter related to the heart. > > > If you don't have enough that is where to start looking. > > > > > > The symbology contained in many popular books is often incorrect > or > > > of academic interest only. > > > The true symbology for Erebus is the circular *Snake that > swallows > > > its own tail*; an ancient Cosmological symbol. > > > Symbols can have several meanings, depending on their use, rather > > > like signs in some Asian languages. > > > In this case it refers to perpetual circular motion. > > > > > > > > > Practical examples: > > > > > > 1. Should the goals set be achievable goals? > > > > > > Your goals should match your dreams and beyond. > > > Hitch your wagon to a star. > > > If you reach for the stars and fall short you may still grab hold > of > > > the moon on the way down. > > > > > > 2. How can we ever expect to reach *pie in the sky* goals? > > > > > > Assess with total honesty where you are now in comparison to > where > > > you intend to be. > > > What resources do you command? mentally list the pluses and > minuses. > > > Then start with a step by step plan to reach the first attainable > > > stage that you can see up ahead in the distance. > > > Work to build on your strengths and eliminate your weaknesses. > > > Don't look beyond the first stage; the gulf between you and your > > > goals will act to deter you if you do. > > > Only look (plan) one stage ahead at a time. > > > > > > Hold on to your dream (goal) the way a drowning man or woman > > > clutches at a lifebuoy. > > > Don't let go no matter how rough the weather. > > > > > > 3. Won't it be psychologically damaging if I set an impossible > dream > > > and then fail? > > > > > > Not at all. > > > Not if you gave it your best shot. > > > I have never meet one single person who isn't happy with that. > > > > > > It is common for people to hitch their wagon to the wrong star. > > > Once this becomes apparent it is better to accept this and change > > > stars. > > > > > > Life also changes; relationships, health, family, work and many > > > other issues can force us to abandon or postpone a dream. > > > If this is the case accept your destiny with humility, not > rancour. > > > > > > Trading itself has no more or less intrinsic value than thousands > of > > > other things we could do with our lives. > > > The true value lies in the character it builds and the habits of > > > success that it engenders. > > > They are portable and will serve us well anywhere. > > > > > > *Great Honour* to the venerable Confucius, LaoTze; *The Way of > the > > > Tao*. > > > > > > Fritjof Capra? > > > > > > BrianB2. > > > Please note that this group is for discussion between users only. 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