Pages

Tuesday, March 24, 2015

Simulation and relative performance

There’s been some nice posts on randomness the last week or so, in particular here and here

I would like to look at how we can use simulations to get a better understanding of how some aspect of a trading system holds up relative to a bunch of random trades.

In this example, I look at entries on weekly data for SPY. The entry signal is to buy if the previous week closed down.

Over the time frame (2005-2014, about 10 years), it was long about 44% of the time, and out the rest.

In the simulation function, we generate random entry signals that will see us long about the same amount of time.

We track some metrics of system performance, in this case total return, average trade return and accuracy (i.e. how often a buy signal was correct).

I then use ggplot to make some density plots of the simulation metrics, marking the mean of the simulation results in red and the corresponding system metric in blue.

It looks like this


I basically want to see the blue line far away from the red line. In this case it seems fairly decent. You can also generate some p-values based off the simulation data as well.

For comparison, here is a daily system that is long if the previous close was above the 200 day simple moving average.


We can see there’s not a lot of difference between the moving average results and just entering randomly. (Note the accuracy metric has a different x-axis scale than the previous plot).

I use a similar idea for putting risk or open trade management ideas through their paces, seeing how well they hold up when managing random entries.

Code is up here. Thanks for reading

4 comments:

  1. LEGIT FULLZ & TOOLS STORE

    Hello to All !

    We are offering all types of tools & Fullz on discounted price.
    If you are in search of anything regarding fullz, tools, tutorials, Hack Pack, etc
    Feel Free to contact

    ***CONTACT 24/7***
    **Telegram > @leadsupplier
    **ICQ > 752822040
    **Skype > Peeterhacks
    **Wicker me > peeterhacks

    "SSN LEADS/FULLZ AVAILABLE"
    "TOOLS & TUTORIALS AVAILABLE FOR HACKING, SPAMMING,
    CARDING, CASHOUT, CLONING, SCRIPTING ETC"

    **************************************
    "Fresh Spammed SSN Fullz info included"
    >>SSN FULLZ with complete info
    >>CC With CVV (vbv & non vbv) Fullz USA
    >>FULLZ FOR SBA, PUA & TAX RETURN FILLING
    >>USA I.D Photos Front & Back
    >>High Credit Score fullz (700+ Scores)
    >>DL number, Employee Details, Bank Details Included
    >>Complete Premium Info with Relative Info

    ***************************************
    COMPLETE GUIDE FOR TUTORIALS & TOOLS

    "SPAMMING" "HACKING" "CARDING" "CASH OUT"
    "KALI LINUX" "BLOCKCHAIN BLUE PRINTS" "SCRIPTING"
    "FRAUD BIBLE"

    "TOOLS & TUTORIALS LIST"
    =>Ethical Hacking Ebooks, Tools & Tutorials
    =>Bitcoin Hacking
    =>Kali Linux
    =>Fraud Bible
    =>RAT
    =>Keylogger & Keystroke Logger
    =>Whatsapp Hacking & Hacked Version of Whatsapp
    =>Facebook & Google Hacking
    =>Bitcoin Flasher
    =>SQL Injector
    =>Premium Logs (PayPal/Amazon/Coinbase/Netflix/FedEx/Banks)
    =>Bitcoin Cracker
    =>SMTP Linux Root
    =>Shell Scripting
    =>DUMPS with pins track 1 and 2 with & without pin
    =>SMTP's, Safe Socks, Rdp's brute
    =>PHP mailer
    =>SMS Sender & Email Blaster
    =>Cpanel
    =>Server I.P's & Proxies
    =>Viruses & VPN's
    =>HQ Email Combo (Gmail, Yahoo, Hotmail, MSN, AOL, etc.)

    *Serious buyers will always welcome
    *Price will be reduce in bulk order
    *Discount offers will give to serious buyers
    *Hope we do a great business together

    ===>Contact 24/7<===
    ==>Telegram > @leadsupplier
    ==>ICQ > 752822040
    ==>Skype > Peeterhacks
    ==>Wicker me > peeterhacks

    ReplyDelete
  2. With the recent collapse of FTX COIN and owners losing their coins or couldn’t access their wallets, I was devastated and confused because i recently bought thousands of dollars of FTX COIN as i was told it was the future coin. I tried severally on how to access my coins, while searching i came across a post on this site from a lady testifying about a hacker who helped her recovered her Bitcoin after a fake trading. I contacted them on (cybergenieintercontinental@proton.me) OR WhatsApp (+1-252-512-0391) and the rest is story, I was able to had access to my coins and i quickly exchanged it to another coin as advised by this hacker…

    ReplyDelete
  3. "As much as I am shocked and ecstatic to have won the Powerball drawing, the real winner is the California public school system". No one would convince me that winning this lottery Powerball or mega millions is not something that changes the way and view of life's prospects. My name is Edwin Castro and I am from California, United States. I won the Powerball Lottery on Nov 7 2022 and I am coming to say a wonderful and big thanks to Dr Anokokudo for helping me with the winning numbers for the Powerball Lottery. I was really overwhelmed the day I contacted Dr Anokokudo to help me win the California Powerball Lottery when he instructed me what to do. The time came to play the lottery and I did and believe me, it was exhilarating. I won the Powerball $2.04 Billion and collected the lump sum of $997.6 Million and the November Powerball drawing raised a record $156.3 million for the California public school system. I am indeed thankful to Dr Anokokudo and others who helped me with his contact. Anyone who reads my comments should also try to contact Dr Anokokudo at ANOKOKUDOTEMPLE@GMAIL.COM

    ReplyDelete