Search found 5 matches

by crazybuddha
Sat Jan 01, 2005 4:39 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 13773

I changed this so that the decision to enter/exit a trade is made randomly at every tick, rather than at random points along the life of the contract. This makes for a lot more trades but seemed to seemed to me to represent "random" trading better. I lowered Mark's iterations (and printing...
by crazybuddha
Mon Feb 16, 2004 6:47 am
Forum: Testing and Simulation
Topic: Meaningful Correlation
Replies: 4
Views: 5121

Here are some things that might interest you. 1) The assumption in correlation analysis is that the variables being compared would vary linearly. That is, you expect that scaling one variable by one unit would correspond in scaling the other unit by one unit. What you are ultimately trying to figure...
by crazybuddha
Wed Jan 07, 2004 5:27 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 13773

I mentioned Monte Carlo only as an example of needing a large number of trials to arrive at an expected result. My actual issue is the one addressed by Fooled By Randomness: just because someone has performed well doesn't mean their methods are any better than what chance would produce. They may hav...
by crazybuddha
Wed Jan 07, 2004 9:08 am
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 13773

random results redux

Although I dropped the ball on this topic, I can't get it out of my head. I mentioned the quote from The Bond Market about a desk manager needing to be able to distinguish skill from results which may have been achieved purely by chance. Recently I read Fooled By Randomness (subtitled The Role of Ch...
by crazybuddha
Tue Sep 30, 2003 11:39 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 13773

Random trading

Okay. I'm sort of hijacking this thread, but I couldn't bear to add any clutter to the forum. I am interested in the notion of a system that trades randomly and how to verify the randomness of it. I'm not talking about trading on randomly generated prices or going over the same sequence repeatedly. ...