
Discuss Monte Carlo analysis with strange resultsMonte Carlo analysis with strange results at the Technical Analysis within the Traderji.com; Monte Carlo analysis with strange results preliminary testing only looks at one particular instance of ... 

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#1




Monte Carlo analysis with strange resultsMonte Carlo analysis with strange results
Monte Carlo analysis with strange results
preliminary testing only looks at one particular instance of an infinite number of random walk paths. It is by no means conclusive. A system will probably generate multiple buy signals on the same day. A trader with sufficient capital for only 1 more trade has to select which signal to buy on. Different trade selections will yield very different final equity results. The results analyzed only accounts for 1 possible instance out of an almost infinite number of trading decision combinations. In order to verify the statistical accuracy of the result, the system would be to be tested exhaustively. This can be achieved by random walking using Monte Carlo analysis. Whenever the system generates multiple trading signals, only one would be chosen at random. This is done 10,000 times. With this, a mean net profit and accuracy together with their corresponding standard deviation can be obtained. After which, a 95% confidence interval can be determined. now...a typical result would look like this Monte Carlo analysis results for net profit Maximum Profit: $171,061.18 (342.12%) Average Profit: $142,801.91 (285.60%) Minimum Profit: $113,469.63 (226.94%) Standard Deviation: $8,974.64 (17.95%) Sample Size 10,000 now what i got is this funny curve Monte Carlo analysis results for net profit Maximum Profit: $487,718.13 (975.44%) Average Profit: $440,281.30 (880.56%) Minimum Profit: $358,173.52 (716.35%) Standard Deviation: $48,535.88 (97.07%) Sample Size 10,000 does anyone knows why? Advertisements 
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#2




Re: Monte Carlo analysis with strange resultsMonte Carlo analysis with strange result
Quote:
I've posted an example of a true MCS, taken from Introductory Econometrics. http://rapidshare.com/files/87254042/MonteCarlo.xls Applications of MCS in system developing is explained well in Monte Carlo Simulation and System Trading by Volker Butzlaff There are several instances where the author is cruel to the verbs and adverbs (The book is a German translation) but the book provides certain singular ideas in applications of MCS in trading, often overlooked in most other system development books. Regards. Last edited by oxusmorouz; 28th January 2008 at 05:05 PM. 
#3




Re: Monte Carlo analysis with strange resultsMonte Carlo analysis with strange result
Another Gem of a post to educate us.

#4




Re: Monte Carlo analysis with strange resultsMonte Carlo analysis with strange result
Hai,
Anybody explain about this system simply. Advertisements 
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