Interesting. Do you intend to add more "reality" by having your simluated market correspond to the statistical characteristics of a given target market, ie. simulate a market? I suspect, based on your approach you could do it in a way that overcomes the drawbacks of monte carlo methods. Thx D
This is great! Is there a way I can use the excel file to create random data? How do I make it create an entire new chart with new numbers?
For the most part there are no gaps in overnight trading as long as all of the trades are plotted. The markets are randon . . . but can definately be well-defined.
Yes, there is. But I don't use excel for that. The program I wrote is in JAVA. Nothing special, just two classes with four methods. I use excel only for representation of data and creating charts. If anyone is interested, I can post the source code.
I would appreciate it. I'd like to create random charts with your Excel file and study the charts it produces.
It is possible. In that case you would need to find out what is the "ticks per day" distribution in your market, and if there is a bias in up tick versus down tick. Then, with this information you can generate thousands of possible markets with the same characteristics as your target market and see where it ends up, for example, 95% of the time, aka Monte Carlo @95% confidence level. The only question: is such analysis applicable in practice?
Here's the source code in JAVA. It generates OHLC data in CSV format. You can change CSV delimiter in "Bar" class (there is a constant for that). I use ";" in my PC, but it's likely that yours is ",". Anyway, since this is just a simple program, I didn't bother to add any export to files. So all you have to do is copy the generated data, paste into empty *.csv file, open it with excel, save as *.xls, add stock chart with it or whatever you like to do. (here I'm assuming you know how to compile and run JAVA code...)
Attached is simple line chart with random data. Just repeatedly hit F9 key in Excel and you'll get a new chart each time. You'll see so many trends in random data it will make your head spin! No Java needed.
Thanks for posting this. Could you generate and post more charts like this (like the one without the gaps)? It looks so "real". Why do I see tradeable "trends", "candlestick formations", "trendlines", "chart patterns", etc. etc. in randomly (within the parameters you have chosen) generated data??