[R-SIG-Finance] Monte Carlo Simulation

[Patrick Burns]

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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-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @burnsstat @portfolioprobe