Comments for OpenSourceQuant https://opensourcequant.wordpress.com OSQ = Quants ^ OpenSource Fri, 28 Jan 2022 06:45:51 +0000 hourly 1 http://wordpress.com/ Comment on Modeling Intent in R and/or Python by Quantocracy's Daily Wrap for 01/10/2022 - Quantocracy https://opensourcequant.wordpress.com/2022/01/08/modeling-intent-in-r-and-or-python/comment-page-1/#comment-843 Fri, 28 Jan 2022 06:45:51 +0000 http://opensourcequant.wordpress.com/?p=1948#comment-843 […] Modeling Intent in R and/or Python [Open Source Quant] […]

Like

]]> Comment on Round Turn Trade Simulation – in R by Everything About Faber: A Critical Look at Market Timing - Light Finance https://opensourcequant.wordpress.com/2018/06/30/round-turn-trade-simulation-in-r/comment-page-1/#comment-768 Thu, 15 Jul 2021 03:41:05 +0000 http://opensourcequant.wordpress.com/?p=1721#comment-768 […] more about transaction based simulation and txnsim(), check out the presentation and accompanying blog post by the package […]

Like

]]> Comment on Block Bootstrapped Monte Carlo – in R by Ivan Valeriani https://opensourcequant.wordpress.com/2016/04/26/block-bootstrapped-mc-function-for-backtest-results-in-r/comment-page-1/#comment-579 Wed, 03 Jul 2019 17:43:13 +0000 http://opensourcequant.wordpress.com/?p=376#comment-579 Nice post, thank you

Like

]]> Comment on A replication of the Practical Application section in ‘The Probability of Backtest Overfitting’ – Bailey et al. by Quantocracy's Daily Wrap for 08/05/2018 | Quantocracy https://opensourcequant.wordpress.com/2018/08/04/a-replication-of-the-practical-application-section-in-the-probability-of-backtest-overfitting-bailey-et-al/comment-page-1/#comment-361 Mon, 06 Aug 2018 05:17:44 +0000 http://opensourcequant.wordpress.com/?p=1777#comment-361 […] A replication of the Practical Application section in ‘The Probability of Backtest Overfitting… […]

Like

]]> Comment on Round Turn Trade Simulation – in R by Quantocracy's Daily Wrap for 06/30/2018 | Quantocracy https://opensourcequant.wordpress.com/2018/06/30/round-turn-trade-simulation-in-r/comment-page-1/#comment-344 Sun, 01 Jul 2018 07:18:10 +0000 http://opensourcequant.wordpress.com/?p=1721#comment-344 […] Round Turn Trade Simulation in R [Open Source Quant] […]

Like

]]> Comment on Monte Carlo Simulation for your Portfolio PL by Round Turn Trade Simulation – in R | OpenSourceQuant https://opensourcequant.wordpress.com/2017/08/09/monte-carlo-for-your-portfolio-pl/comment-page-1/#comment-343 Sat, 30 Jun 2018 13:49:32 +0000 http://opensourcequant.wordpress.com/?p=582#comment-343 […] Monte Carlo Simulation for your Portfolio PL […]

Like

]]> Comment on Monte Carlo Simulation for your Portfolio PL by OpenSourceQuant https://opensourcequant.wordpress.com/2017/08/09/monte-carlo-for-your-portfolio-pl/comment-page-1/#comment-122 Thu, 17 Aug 2017 08:37:24 +0000 http://opensourcequant.wordpress.com/?p=582#comment-122 In reply to Emlyn.

Hi Emlyn, thanks for the note. You are indeed correct and I have updated the post to correctly refer to the assumption of normality as a limitation of mcsim’s usage of MC analysis. Regards, Jasen

Like

]]> Comment on Monte Carlo Simulation for your Portfolio PL by Emlyn https://opensourcequant.wordpress.com/2017/08/09/monte-carlo-for-your-portfolio-pl/comment-page-1/#comment-121 Thu, 17 Aug 2017 08:20:04 +0000 http://opensourcequant.wordpress.com/?p=582#comment-121 Hi Jasen,

Nice post on what looks like a useful package. Just one point in your conclusion: “In the case of Monte Carlo analysis one of the most significant assumptions is that returns follow a Gaussian (normal) distribution.”

That’s not actually true. MC simulation is fully general as a methodology and requires no assumption on return distribution. The effect of CLT on the distribution of the sum of the random variables at the end of the time horizon is very much a separate issue. And even CLT is probably not true for much of financial return data due to fat tails and dependence.

Regards,
Emlyn

Like

]]> Comment on Monte Carlo Simulation for your Portfolio PL by OpenSourceQuant https://opensourcequant.wordpress.com/2017/08/09/monte-carlo-for-your-portfolio-pl/comment-page-1/#comment-116 Thu, 10 Aug 2017 15:23:35 +0000 http://opensourcequant.wordpress.com/?p=582#comment-116 In reply to Ham.

Purely cash P&L so using your example it would be diff() of those values.

Like

]]> Comment on Monte Carlo Simulation for your Portfolio PL by Ham https://opensourcequant.wordpress.com/2017/08/09/monte-carlo-for-your-portfolio-pl/comment-page-1/#comment-115 Thu, 10 Aug 2017 13:53:31 +0000 http://opensourcequant.wordpress.com/?p=582#comment-115 What I am asking is what exactly it is. I mean, let’s say I start with $100 of initial equity on 31.12.2016 and make the following transactions (all in the same contract): buy 1 lot @10 on 01.01.2017, sell 1 lot @ 11 on 02.01.2017, buy 1 lot @9 on 07.01.2017, sell 1 lot @8 on 15.01.2017, buy 1 lot @6 on 21.01.2017, sell 1 lot @7 on 29.01.2017, … What is “post-trade cash PL”? Is it: 31.12.2016 100, 01.01.2017 100, 02.01.2017 101, …, 07.01.2017 101, …, 15.01.2017 100, …, 21.01.2017 100, …, 29.01.2017 101, … ? ]]> In reply to OpenSourceQuant.

Thanks for your answer. I understand it is an xts object generated outside of blotter. Unfortunately my question is even more basic. I do not understand the term “post-trade cash PL”. 🙂 What I am asking is what exactly it is. I mean, let’s say I start with $100 of initial equity on 31.12.2016 and make the following transactions (all in the same contract): buy 1 lot @10 on 01.01.2017, sell 1 lot @ 11 on 02.01.2017, buy 1 lot @9 on 07.01.2017, sell 1 lot @8 on 15.01.2017, buy 1 lot @6 on 21.01.2017, sell 1 lot @7 on 29.01.2017, … What is “post-trade cash PL”? Is it: 31.12.2016 100, 01.01.2017 100, 02.01.2017 101, …, 07.01.2017 101, …, 15.01.2017 100, …, 21.01.2017 100, …, 29.01.2017 101, … ?

Like

]]>