Mark Knecht wrote:
On Tue, Jun 23, 2009 at 4:44 PM, JOE Conner<[email protected]> wrote:
Mark Knecht wrote:
On Tue, Jun 23, 2009 at 3:50 PM, Paul<[email protected]> wrote:
Does anyone have any good links (or even ideas) on how do do Monte
Carlo setups in Calc? I cannot find any. Everything in Google seems to
point to Excel and there you generally need to use some plugin that
costs money and doesn't do everything I want to do anyway.
I have two models I want to investigate:
1) A series of futures trades randomized say 500 times. In each
experiment I want to collect some statistics - for instance the number
of losing trades in a row, the dollar value of the worst drawdown.
This could be done in Excel if I spent some money for a tool or
learned to write VBS or something like that.
2) The second is the same as the first except I have 10 sets of trades
from different systems that run over the same time period. (1/1/2000
to present) I would like to do a Monte Carlo on them date wise,
keeping the trades from all systems consistent by date. I.e. - if the
experiment selected say 3/5/2006 as the next date in the experiment
then I want to choose the trades for all 10 systems on that date. I'm
thinking I could do this using some sort of VLOOKUP into the data and
use dates as the thing the Monte Carlo was randomizing.
Anyway, just curious if anyone has done this using Calc before I give
up and go to the Dark Side once again. There's no huge rush on this so
if someone has an interest and wants to work on developing the ideas I
have some time.
Cheers,
Mark
------
There is no current support for monte carlo simulations in calc. Few
years
ago there was a proposal to add them in but I don't believe it went
anywhere.
/paul
Thanks Paul. I'll keep looking around and see if I can find some
possible way to do this.
One thing I've not paid attention to in OO and the machine I'm
surrently using doesn't have a copy so I cannot look myself but is
there any support for additional programming in Calc like there is
with DLLs and VBS in Excel? Maybe I could write some code, called as a
script I suppose, that could do some of the work.
Thanks,
Mark
OpenOffice.org does support a variety of programming languages. Java and
Python for example.
OpenOffice has a flavor of Basic similar in many ways to Visual Basic. See:
http://wiki.services.openoffice.org/wiki/Documentation/BASIC_Guide
and http://www.pitonyak.org/oo.php
Joe Conner, Poulsbo, WA USA
Thanks Joe.
I'm sort of hesitant - read scared to death - of falling into a
pit/black hole in terms of trying to do Monte Carlo in Calc if the
developers don't think they can do it. I suspect I might be better off
to learn C programming and just do it that way.
Cheers,
Mark
Take a look at http://www.martindalecenter.com/Calculators2A_2_AZ.html
and especially at
http://bond-yield-calculator.business-spreadsheets.qarchive.org/
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