Yes. That's what I was trying to point out. I would be interested to hear more about "we need to look outside the samples to get the full pictures" if you would like to share.
Best regards, MK --- In [email protected], "paultsho" <paul.t...@...> wrote: > I think the emphasis of MK's comments is about the use (or misuse) of the > phase monte carlo simulation to equate to random rearrangement of trades and > its possible ramification. Monte Carlo simulation is based on ARTIFICALLY > simulating data points by recreating the a chance process, running it many > times, and directly observing the results - > http://www3.wabash.edu/econometrics/EconometricsBook/chap9.htm & bootstrap is > resampling repeatedly and randomly from an original, initial sample - > http://www3.wabash.edu/econometrics/EconometricsBook/chap23.htm. While > leaving the discussion on assumptions aside (I'll say more when I get a bit > more time). One of the problems of equating bootstrapping with monte carlo > is that incorrect conclusions are also drawn about the methodology. I do not > believe resampling of trades gives us a reliable picture about the behaviour > of a trading system. We should all be familiar with rearranging the deck > chairs on the Titanic does no good at all. Similarly, I think we need to look > outside the samples to get the full pictures.
