MC being able to randomize all the historical High,Low,Open,Close by a % of the original price.

MC being able to randomize all the historical High,Low,Open,Close by a % of the original price.

Screenshot Attached.
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OHLC price randomization.jpg
(61.98 KiB)
image-0.png
(78.34 KiB)
  • Votes +8
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

k
#1

Karish

04.10.2022 17:28

Task created

k
#2

Karish

04.10.2022 17:28
Voted for this task.
CG
#3

Chris G

04.10.2022 20:59
Voted for this task.
k
#4

Karish

15.10.2022 21:18
b
#5

bentra

15.10.2022 23:53

Attachment Screenshot_307.png added

Screenshot_307.png
(13.65 KiB)

the noise test in build alpha is based on atr


atr = "average true range" 



k
#6

Karish

16.10.2022 22:50

Yeah but it is also possible to make a price % version for now until the globalATR bug get fixed,

Then when it will be fixed i assume it wont be a huge project to convert it to use ATR..

CG
#7

Chris G

16.10.2022 22:57
I think this will be one of the best noise tests.
k
#8

Karish

17.10.2022 19:09
Thanks Chris, I think so too, i wish it will exist..
KB
#9

kbtech

18.10.2022 19:55
Voted for this task.
HF
#10

Vence_Jo

20.10.2022 12:10
Voted for this task.
k
#11

Karish

24.10.2022 21:45

Hey Mark, i would also like to add this following feature into the current MC test that you shown has been completed please:


Just as we can use 2 methods with the Trades MC tests Which are Exact (same starting point with the same ending point) And Resampling (same starting point random ending point),


Those 2 methods should be accessable here as well.


Thank you so much for your time and efforts :)

k
#12

Karish

26.10.2022 19:02

This is also a good one,

Reshuffle the same exact historical bars,

This mean that the MC just reshuffle the order of the bars but Not their size.


https://roadmap.strategyquant.com/tasks/sq4_9089

CG
#13

Chris G

26.10.2022 19:20
Is this fixed?
k
#14

Karish

26.10.2022 19:32
I really really hope so :)
E
#15

Emmanuel

28.10.2022 12:59
Voted for this task.
b
#16

binhsir

02.11.2022 15:12
Voted for this task.
HH
#17

Hans

08.11.2022 23:02
Voted for this task.
OS
#18

trader4711

16.12.2022 16:06
Voted for this task.

Votes: +8

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