Hello ~rhelfer, What is the first one or two things that you look at in MCSimulations?
Can you recommend anyone/anywhere as the best training source for MCS applications to trading? Brian_z --- In [email protected], "rhelfer123" <[EMAIL PROTECTED]> wrote: > > Use Monte Carlo Simulation (MCS) first, above all else. If you don't > get worthwhile results with that, don't even waste your time with > other stats. I'm speaking from a pure statistics point of view. If > you don't do MCS testing, it will be like building a hot rod from > scratch, but never actually looking under the hood to make sure it > goes fast. > > Beyond that, good stats include K Ratio. That's my fav. > > From my notes... > > a. COMPLETE SINGLE BULL-BEAR CYCLES > i. In Sample = 4/1/2002 - 2/1/2004 > ii. In Sample = 11/1/1998 - 10/1/2001 > b. ULTRA-BEAR CYCLES > i. In Sample = 10/1/2000 - 10/1/2002 > c. ULTRA-BULL CYCLES > i. In Sample = 1/1/1996 - 4/1/2000 > ii. In Sample = 4/1/2003 - 2/1/2006 > > and also... > > d. ROI ratio = ( net profit / maximum trade drawdown ) > i. If comparing ROI ratio between systems, must use same > historical data for each system test. Look for highest ROI ratio. > e. Sharpe Ratio = measure of risk adjusted ROI. > i. Above 1.0 is good, above 2.0 is very good, 3.0 is excellent > ii. Decreasing ratio means system losses hurt more than gains > help > f. K-Ratio = Detects inconsistency in returns. Measures both > profitability and consistency of returns and then returns them in > one single number. > i. Should be 1.0 or more. > ii. Ratio dependent on length of historical data used. > g. Pessimistic Return to Risk Ratio (PRRR) = Large positive > returns are not penalized like with the Sharpe Ratio. > i. ADD = avg daily drawdown, AWT = avg winning trade, ALT = avg > losing trade, Wins = number of winning trades, Losers = number of > losing trades > ii. PessimisticNet = AWT*(Wins-sqrt(Wins))-ALT*(Losers+sqrt > (Losers) > iii. PRRR = PessimisticNet/ADD > > Have fun, > > ~rhelfer > > > > --- In [email protected], "Michael.S.G." <OzFalconAB@> > wrote: > > > > Hi Fred, > > As per previous posts, The common stats are realy just a start > > point. The ability to test said formula/system in a controlled > > environment for more detailed analysis is what the rest of the > framework > > is designed for. > > > > Thanks for your list too. > > > > ATB > > Michael. >
