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I usually do MC simulation on my backtesting results. So I don't use normal distributions (or any other distribution) but values from my backtesting results. Given that premise, I found it easy to write my own MC engine (only some lines of code).

Ahhh. I got it. Thanx for enlightening me :) Dierk

Interesting post again, acrary ... I just tried to find out if this result is statistical significant. Unfortunately I couldn't find an approach (e.g. t-test), since stddev is unknown. Do you have any idea how to calculate ? Dierk

Thanx for sharing ... :) Dierk

Hmmm, I would state: Only take roll-forward results, never take in-sample for "real".

Interesting, I'm always looking for methods to messure ... How did you calculate trendiness and volatility ? What did you use ?

Filtering "bad" ticks has two aspects: - cleaning historical data for backtesting - filtering incoming ticks for realtime trading I experienced that data quality differs dependant on the provider. E.g. you can get for little money raw data from EUREX but this data contains a lot of bad...

Could you please elaborate on this issue? What are your experiences about quality of known data providers (.e.g. Trackdata) ? Your comments will be appreciated. Dierk

Hi, Programming language discussions are always quite lengthy ... But let me tell you this: After ~15 years of experience in programming virtually all "major" languages on UNIX and Windows, I would suggest taking a closer look on the .NET technology running on Windows. And here I would...

@harrytrader I appreciated your in-depth post much. Let me please ask some questions: Thanx for your explanation. I understand the basics of statistical calculations. So I know how and how the calculation is performed, but I don't understand the "meaning" (don't have a better term). The...

Easy guys, please ... See, I'm a real freshman concerning trading. So I appretiate any comment related to this topic. I understand, that oppinions and experiences are quite different, but that's what I appretiate here. If I only want to see my own opinion confirmed, I just have to look...

@acrary Great post, I enjoyed it. Some comments ... I'm not mathematician, but I've read: The "Central Limit Theorem" states, that increasing sample size will decrease significantly the error which results from deviatian of the current sample from a normal distribution. In fact, that's not...

Thanx for all your replies. I like "extended backtesting is mental masturbation ..." most :-) I have to admit that I'm a bloody newbie, so my points could be somewhat academic ... What distracts me most is, that I don't know when I cross the small border line between proper system setup...

Thanx for your comment. "Convoluted", yeah right, nice term. Since I'm not english native speacker I had to look it up in the dictionary ... You're right. The out-of-sample test is essential for any trading system development. Currently my SW does something like a step-wise rollforward...

Ahh, now I got your. Sorry for the delay :) Try this: You have ~ 20 years. (1 + p(t)) = (1 + p(1))*(1 + p(2))*(1 + p(3))* .... (1 + p(20)) Where p(t) is the total profit and p(1...20) are annual profits. Since you assume all annual profits are equal (averaged), the following is true...

Hmmm. I probably did miss the point, but since you not (!!) compounding, why not simply take 100% per year ? Dierk

Hi, I'm currently reading the book Katz/McCormick "The Encyclopedia of Trading Strategies" which brought me back to one of my main concerns: Trying to find a strongly systematic approach to trading I have to deal which adjusting strategies by applying specific parameter sets. Selecting...

Quite a bit late, but anyhow ... I would calculate annual profit a follows: 2002-12-31 - 2001-04-11 = 629 days daily return = power(1- 0,751; 1 / 629) -1 = -0,0022 (-0,22%) annual return = power(1-0,0022; 365) - 1 = -0,5537 (-55,37%) Still, there is a gap to -32,37% :( Hope this...

:D Yeah I did and was quite impressed. It's seems to be a quite intriguing concept to me, so I put the above question here to see if there are some experiences from others. I appretiated your seminar a lot. Dierk

Interesting point ... How do you monitor your systems ? Do you perform some sort of hypothesis tests and e.g. stop trading a system when the real DD reaches the 5% error zone ? Dierk Droth