Hi, Thanks Mike for your explanation and the link. The "definite guide to position sizing" is the only book I'm missing in my van Tharp collection, looks like just found my next bday present, hehee. Just to make this complete, the new "Supertrader" book is pretty lame in my opinion, nothing really new, just a little bit of everything from Tharp. I shall look up on Vince, thanks for the info.
Following up with the previous posts "we need to look outside the samples to get the full pictures" I'd like to hear a little more on that, too, if you're willing to share. Thanks, Matthias From: [email protected] [mailto:[email protected]] On Behalf Of mkecera Sent: Mittwoch, 28. Juli 2010 17:48 To: [email protected] Subject: [amibroker] Re: Trading Systems, Position Sizing and Monte Carlo Analysis 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] <mailto:amibroker%40yahoogroups.com> , "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.
