Search results

@Januson, my little freeware is a (non realtime) analyzing tool. The advantage is in programming productivity. I can avoid conventional programming code (arrays, ifs, sorts etc.) using the existing SQL Toolbox commands. And using the in-memory option these analysis is nearly as fast as normal...

@Schemer, one reason is productivity! I've a freeware app "Zen Analyzer v1.2" on my Website (Support/freeware): http://www.zentrader.de/html/support1.html This tool analyses a OHLC price data set, writing the data in a in-memory SQLite DB and make the TA evaluations via SQL. The hosting...

hi, the principal method is to save the relative distances of the OHLC bars (O-H-L-C) and the relative distance of the last Close to the current Open (refC - O). The second step is resampling. In my software I've also a bunch of different methods, including a block mechanism, which can...

@jcl, the problem is not the split relation - the problem is, that all your tests belong to only one historical period. To get more test data I've implemented a "data simulation" function in my Zen Monte Carlo Simulator product. Some theoretical thoughts...

@Bzgg, Chistian has just wrote the right thing: it's your platform or your trading environment, that counts. E.g. with Tradestation or Multicharts you should learn the integrated script language Easy/Power Language, with Ninjatrader C#.Net, with Metatrader the integrated "C"-based script...

@tenthousandmen, concerning the so-called MCS based system stresstest you've said the main important things. In my experience it's also not bad to use all available historical data and do a bunch of simulation runs (>= 10.000), to get a better feeling of max possible DDs. So Excel may be a...

@Ghost..., MCS methods are used to validate your trading setup using a high number of simulated trades model, that is a far bigger scenario, that all possible existing real historical data scenarios can't deliver! You can use MCS to check your trading system a) using only the system...

@intradayBill, hmm - you are sometimes really a little bit "dim-witted"... I've explained the two models clearly: a) "account DD" based on a zero start model. If the simulation curve never touches the zero line, there is no negative "account DD" (it's a possible case) b) a...

@intradayBill, a man - a word. Already forgotten... :cool: Ok - I'll answer your questions. Perhaps it helps... Q1: the software uses as default a "zero start account" and calculates so-called "account draw downs". So it's possible, that in one simulation run there's never a...

Dave, it's clear that you don't have to trade "real" in this possible MCS simulated DDs. The only thing that the MCS stress test shows is, that these situations are a possible scenario for your trading system concept. You have to accept it and react (position sizing if possible or stop...

@Intradaybill, i thought that I talk against a wall. You have confirmed that 100%. That "extremely impossible" risk is one important value of a risk-oriented MCS stress test. It's the risk, that the common user "intradayBill" estimates as "extremly impossible". This under-estimation of...

@intradayBill, normally with a typical system test you ave all information (I hope, i've not to explain a system test result sheet, because some of your questions let me taken to a feeling of beeing in a joke?). Ok, let's widen the model for our special guest "intradaybill": 1. trade...

@IntradayBill, hmm...that's part of the content of my 03-11-11 contribution: "...or example 2 (system report with average results): ------------------------------------------------------------- wins: 4 losses: 4 => trade ratio of 0.50 average profit: 160/4 = 40 average loss: 80/4...

@intradaybill, see my contribution of 03-11-11. I thought, it was clear enough...? I've already said, that I use trade off ratio and pay off ratio of a historical system test as input parameters. If you put this input model of the historical episode into a MCS stress test with multiple...

Dave, i've the feeling discussing with intradaybill is talking against a wall. I've clearly said and shown (links) how a typical MCS stress test based on the known trade ratios and pay-off-ratios can be done. Again Wikipedia concerning the underlying method: "..."...Monte Carlo methods...

@IntradayBill, have you also tried to read and understand it??? ...and now: beam me up, Scotty... :cool:

@Intradaybill, your arguments are ridiculous. You critizise and have even not got the point. The MCS method is a "number cruncher" model, independent from normal distributions etc. There are many methods to combine your trading assumptions with this general MCS methodology, but there's not...

@Intradaybill, you're wrong again. But i'm not here to teach you or others. I've only presented my ideas to this topic and the other members have got it. You have still problems (and that's not my problem), but you can do help yourself, learning something - e.g. using some hints from...

@Intradaybill, the used MCS maths are clearly explained (see this and other discussions on EliteTrader, read the linked sources etc. etc.). It won't be clearer with endless repetitions. There's nothing, that I've still to prove - there's only something that you have to understand finally...

@Intradaybill, thanks for this contribution. That shows that you didn't get it (and perhaps will never get it)... Do your own research and good luck. :cool: bye, zentrader