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Monte Carlo Resampling of Equity Curves Using N-Bar Segments (paper)

Very readable paper on MC resampling techniques.  Classic MC techniques tend to generate smoother equity curves with shallower drawdowns than actual live results, as  they “chop up” returns too finely, thereby reducing the impact of correlation during Black Swan events.  The paper presents a simple method which attempts to preserve these correlations (click on title to view paper).

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Global Optimization Algorithms: Theory and Application (e-book)

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Clever Algorithms: Nature-Inspired Programming Recipes

A nice overview of Bio-Inspired algorithms, including Genetic Algorithms, Genetic Programming, Simulated Annealing, Neural Networks, Particle Swarms, Ant Colonies, Artificial Immune Systems, etc (click on title for article).

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Data Mining Bias: The Risk of Picking an Inferior Rule

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Bootstrapping: White’s Reality Check

Interesting article on WRC (click title):

“Prior to WRC, bootstrapping could be used to generate the sampling distribution to test the significance of a single rule. White’s innovation, for which he was granted a patent, allows the bootstrap to be applied to the best rule found by data mining. Specifically, WRC permits the data miner to develop the sampling distribution for the best of N-rules, where N is the number of rules tested, under the assumption that all of the rules have ex­pected returns of zero. In other words, WRC generates the sampling distri­bution to test the null hypothesis that all the rules examined during data mining have expected returns of zero.”