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" <miniflowtrader@gmail.com> 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@gmail.com [mailto:chris.d.waggoner@gmail.com] On
> Behalf Of Chris Waggoner
> Sent: Wednesday, February 20, 2013 3:07 PM
> To: Dave
> Cc: R-SIG-Finance@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@gmail.com
> <mailto:miniflowtrader@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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