Posts tagged ‘Monte Carlo Simulation’
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).
My head was spinning as I walked to the car after my conversation with James; The idea of using one’s PC to analyze and trade the market in a completely automated fashion was very appealing to me.
Why? Because Automated Trading not only provides a path to grow one’s wealth; It also presents your inner geek with the opportunity to delve into aspects of Artificial Intelligence and Bio-Inspired Algorithms (neural networks, genetic algorithms, genetic programming, reinforcement learning, fuzzy clustering, vector quantization, etc). Put more plainly: You get to play with cool stuff while earning some nice coin. It doesn’t get any better than that!