tag:blogger.com,1999:blog-107568321062020427.post7518619279518444483..comments2023-09-19T00:48:06.643-07:00Comments on Intelligent Trading: Expanding Visualization of published system edges (R)Intelligent Tradinghttp://www.blogger.com/profile/17765336450326139518noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-107568321062020427.post-50932502709746756992014-05-03T02:30:45.452-07:002014-05-03T02:30:45.452-07:00Hi Andrea,
Thanks for the comment. I haven't p...Hi Andrea,<br />Thanks for the comment. I haven't posted in a while, but hope to soon. Yep, I'm aware of the block bootstrap-)<br />ITIntelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-12201279210024857702014-04-03T13:04:06.774-07:002014-04-03T13:04:06.774-07:00Hi IT,
Just stumbled on your blog, you wrote some...Hi IT,<br /><br />Just stumbled on your blog, you wrote some very good stuff.<br /><br />In regards to dealing with autocorrelations, vol clustering, etc when doing MC, an approach is to randomly select blocks of returns/trades instead of individual returns/trades, where the length of the block has to be such that the supposed characteristics of the series are preserved. <br />But I would guess you probably were already aware of this method :)<br /><br />Andrea<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-15008028425933008692012-03-01T11:49:34.860-08:002012-03-01T11:49:34.860-08:00Craig,
That's part of it. They also don'...Craig, <br /><br />That's part of it. They also don't contain the large draw up, or large volatility and hederoskedacticity of the series, because they are re-scrambled (IID).Intelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-36250440409500465582012-03-01T10:37:50.696-08:002012-03-01T10:37:50.696-08:00So to paraphrase you a little, you're saying t...So to paraphrase you a little, you're saying the M/C samples don't contain the big ole' draw-down.Craignoreply@blogger.com