Traders' Roundtable

@Douglas,

perhaps my tool "Zen Monte Carlo Simulator" serves for you, because it generates random synthetic data derived from a basis historical data file (functionality: data simulation)

More information here:
http://www.zentrader.de/html/monte_carl ... ator1.html

bye,
Volker

...One generates the random having the same statistical properties as the real data and sees if the trading algorithm detects structure in the real data vs synthetic series. The easiest way to do this is to scramble the return series of the original data - you still have the same average return and...

@Levi, the so-called "Monte Carlo Simulation stress test (= system simulation)" shows a better analyse of possible chances (profits) and risks (drawdowns), because it uses bigger numbers (but always based on historical system test results and the market conditions of this data!!!). If you ...

Imho, all this variations and tradional concepts have an implicit methodic gap: they all show only a ratio for system robustness concerning the used historical test data. But markets change and so you have to simulate also possible future time series of data (data scrambling, data simulation) and te...

Forum Mgmnt, it seems we have a different view of the things. With characteristics of a price data set I mean only that what I see: the OHLC bars and their relation to their predecessors. It' a "Zen" view of the things... :-) If I use this given state and randomize the time series there is...

Forum Mgmnt, Perhaps we have a different definition of synthetic data. The kind of synthetic data, which I use and generate has the following generation process: 1. basis are the original data sets (historical data) and their characteristics 2. the time series of this historical data sets are then c...

@all, simply said: I think most of you think to complicate concerning this topics. Synthetic data (when generated in a"intelligent" way...) expands the area of testing. If a system is successful not only with its regular historical data, but also with such generated synthetic data you can ...

...I'm glad to hear that you believe Monte Carlo analysis cannot be used to forecast system performance in the future... D'accord. No one has the crystal ball. And if there is one who believes he has one, he should better read Taleb's "Fooled by randomness"... ;-) Despite of that I think,...

...I suppose that "252 bars per time unit" means that you have defined "time unit" to be a year? (since these are EOD bars and since there are usually 252 EOD bars in a year). Is that correct?... Yes, exactly. That's correct. It may be little bit strange, but so the software can...

@sluggo, "...Good, let's stick to R-values. That's what TBB customers are used to thinking about...Single-contract position sizes would be just plain silly..." Perhaps I live on another planet, but in Europe you don't trade with R-values, but with Future points and/or real currency values ...

@sluggo, thank you very much for the information. It's possible to show the simulation with the "R"-values but the result may be a little bit cryptic to understand. I normally use values in real (future) points or currency. For example: If the basic instrument is the DAX Future, e.g. the a...

@RedRock, you know the words of Albert Einstein: "Make everything as simple as possible, but not simpler..." :-) You are right, that mcs based system simulations also have their weakness: they are only valid under given market conditions (the underlying of the existing backtest results). B...

@RedRock, give me the following information for both systems and I can give you a "monte carlo simulation" based answer: 1. number of winning trades 2. number of losing trades 3. average profit of a winning trade 4. average loss of a losing trade 5. highest loss of a losing trade 6. number...

...perhaps it's not the best idea to develop a trading system only testing with "historical" data. Markets change. One answer is to test the system also with synthetic data, which simulates different market conditions. The good old monte carlo simulation method is her again an important pa...