資源描述：
《Monte-Carlo Evaluation of Trading Systems (1)》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。
1、Monte-CarloEvaluationofTradingSystemsThisdocumentiscopyright2006TimothyMasters.Reproductioninanyformisforbiddenunlesswrittenpermissionisobtainedfromtheauthor.Thealgorithmsandcomputercodepresentedinthisdocumentareprovidedwithoutwarrantyofanysort.Errorsandomissionsareposs
2、ible,andtheauthordoesnotacceptliabilityforconsequencesrelatedtoerrorsoromissions.Anyoneusingthecontentsofthisdocumentdoessoathisorherownrisk.Beforeemployinganyofthisinformationinasituationinwhichriskoflossisinvolved,theusershouldconfirmtohisorherownsatisfactionthatsuchu
3、seisappropriate.Therearefewthingsthatatraderenjoysmorethandesigninganautomatedtradingsystem,backtestingit,andwatchingitperformwellonthebacktest.Thedreamsofrichestocomearedelightful.Unfortunately,itisalwayspossiblethatluckplayedmoreofaroleinthesystem’sperformancethaninhe
4、rentquality.Evenatrulyworthlesssystem,onethatmakesitspositiondecisionsbasedonrulesthatarelittlemorethanrollsofcelestialdice,canexperiencefortuitouspairingofpositionswithmarketmoves.Thisisespeciallytrueifthetraderhasexperimentedwithseveralcompetingsystemsandchosenthebest
5、.Itisvitalthatthetraderestimatetheprobabilitythataworthlesssystemcouldperformaswellasthecandidateperformed.Unlessonefindsthatthisprobabilityisverysmall,oneshouldbesuspiciousofthesystem.Onemethodoftestingtheperformanceistoassumethatthehypotheticalpopulationfromwhichthehi
6、storicalreturnsweredrawnhasatruemeanofzero,andthencomputetheprobabilitythatresultsasgoodasthoseobservedcouldhavearisenbyluck.Ifoneiswillingtoassumethatthereturnsareindependentdrawsfromanormaldistribution,theordinarysingle-samplet-testisappropriate.If,asismorereasonable,
7、normalitycannotbesafelyassumed,abootstraptestwilldoafairlydecentjobatestimatingthisprobability.Thereisasecond,oftensuperiorapproachtohandlingtheconceptofworthlessnessinatradingsystem.Ratherthandefiningworthlessnessasthereturnsbeingdrawnfromapopulationhavingameanreturnof
8、zero,wedefineworthlessnessasthesystem’spositiondecisionsbeingrandomlyplaced,unrelatedtosubsequentmarketmoves.T
