Monte Carlo analysis question...

[GumbyLearner]

As an IT graduate, I dont really care about preditable results...what is more concerning is market data that hasn't been released on the public record!!!

Too many assumptions for my liking, similar to what my Old English Form 5/6 Teacher used to tell me, "Dont assume, because if you do it makes an ass out of u and me"

At the same time, to rely on data that has no reported foundation or basis is a fallacy in itself!

http://en.wikipedia.org/wiki/Deterministic_algorithm

 

[howardbandy]

Hi all,

There has been no mention here (or I did not spot it) of using synthetic market data for Monte Carlo testing.

I use randomly generated data sets to stress-test my systems. In particular I find it valuable to uncover software bugs that might exist in my systems that never show up when using real historical data because of the limited price paths available.


Hope this helps.

Hi Smersh --

Synthetic data might have some use in debugging a trading system Platform (of course, you could use real data to do that anyway and avoid the step of creating synthetic data), but it has no value in testing a trading system itself. The markets are very close to efficient, and the tradable signal portion of the data is well hidden among the noise of the price and volume data. If I knew enough to be able to create synthetic data that realistically tested my trading system, then I would already know the characteristics of the signal, and I would not need a test.

Thanks,
Howard

 

[Wysiwyg]

Link to a Monte Carlo Simulation product that has a free trial for those interested in venturing down this path.

http://www.riskamp.com/

About RiskAMP

RiskAMP is a Monte Carlo simulation engine that works with Microsoft Excel ®. The RiskAMP Addin
adds comprehensive probability simulation to spreadsheet models and Excel ® applications. The
Add-in includes 22 random distributions, 17 statistical analysis functions, a wizard for creating charts
and graphs, and VBA ® support – all for a fraction of the price of competing packages.
For more information, visit our website at http://www.riskAMP.com.

 

[Superboot]

Hi all,

Can I ask how others create an 'in sample' data set for testing system concepts? I am using amibroker and have ~20 years of historical ASX data. I don't fancy creating a watch list of random shares... or is that the only way??

Thanks in advance
S

 

[tech/a]

Its endless.
Depends on what you want to design a system around.

Suggestions which will be just a few.
Stocks which made their highest high in the last 3 mths
Or lowest low
Or trade a volume over 1 million a day for the last mth.
OR the ASX 50,100,200,300,500 full list.
All stocks starting with A

 

[Superboot]

Thanks tech/a,

I new to to amibroker so was trying to workout the easiest way to create a large watchlist. For others who may be in a similar boat, you can bulk add symbols from the results pane of the Automatic Analyzer - you can select multiple symbols, right click and add to a watch list. You will need to write some simple AFL code to list all the shares.

Hope this helps others. Also if there is a better way, I would be keen to hear

Cheers
S