Monte Carlo Simulation

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Monte Carlo Simulation

Dave-2
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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Re: Monte Carlo Simulation

toro
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 <[hidden email]> 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!
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: Monte Carlo Simulation

Dave-2
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: [hidden email] [mailto:[hidden email]] On
Behalf Of Chris Waggoner
Sent: Wednesday, February 20, 2013 3:07 PM
To: Dave
Cc: [hidden email]
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 <[hidden email]
<mailto:[hidden email]> > 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!


        [[alternative HTML version deleted]]

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list
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should go.

 


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Re: Monte Carlo Simulation

Patrick Burns-2
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: [hidden email] [mailto:[hidden email]] On
> Behalf Of Chris Waggoner
> Sent: Wednesday, February 20, 2013 3:07 PM
> To: Dave
> Cc: [hidden email]
> 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 <[hidden email]
> <mailto:[hidden email]> > 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!
>
>
>          [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] <mailto:[hidden email]>  mailing
> list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
>
>
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @burnsstat @portfolioprobe

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Re: Monte Carlo Simulation

Dennis Lee
In reply to this post by Dave-2
Hi Dave

There are some people with similar interests as you, at the R-bloggers.com website. Search for "Monte Carlo" there.

Below is a function shuffle_returns() that results in a data frame of random returns, given a vector of returns, the number of samples to run, and the block size of returns.

http://rbresearch.wordpress.com/2012/07/04/alternative-to-monte-carlo-testing/

Note: I am not the author of the above page, but I contributed to one of its comments.

Regards
Dennis

Sent from my iPad

On 21 Feb, 2013, at 5:45 AM, "Dave" <[hidden email]> 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: [hidden email] [mailto:[hidden email]] On
> Behalf Of Chris Waggoner
> Sent: Wednesday, February 20, 2013 3:07 PM
> To: Dave
> Cc: [hidden email]
> 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 <[hidden email]
> <mailto:[hidden email]> > 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!
>
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] <mailto:[hidden email]>  mailing
> list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
>
>
>
>    [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

        [[alternative HTML version deleted]]

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