Monte Carlo Simulation
Dave, You are certainly proposing a resampling operation, whether it is bootstrapping depends on how you go about the selection process. One reference is: http://www.burns-stat.com/documents/tutorials/the-statistical-bootstrap-and-other-resampling-methods-2/ I suspect that it might be easier for you to just write the loop yourself rather than trying to fit what you want into someone else's framework. Pat
On 20/02/2013 21:45, Dave wrote:
I'm saying that I want to select a subset of data randomly and compute
specific statistics based on each point in my data and do this repeatedly
where each subset is chosen randomly.
Is that also known as bootstrapping?
From: chris.d.waggoner at gmail.com [mailto:chris.d.waggoner at gmail.com] On
Behalf Of Chris Waggoner
Sent: Wednesday, February 20, 2013 3:07 PM
To: Dave
Cc: R-SIG-Finance at r-project.org
Subject: Re: [R-SIG-Finance] Monte Carlo Simulation
Are you saying you want to bootstrap from your data? Because there is a
bootstrap package. Drawdowns you can calculate from the results.
On Wed, Feb 20, 2013 at 11:53 AM, Dave <miniflowtrader at gmail.com
<mailto:miniflowtrader at gmail.com> > wrote:
Hello All!
I'm wondering, are there any packages out there which can run a Monte Carlo
simulation based on pre-existing trade data. And than plot the statistics
from the various runs i.e. max draw down.
I appreciate your input.
Thanks!
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