Posted By: kujo
Algorithm for Detrend=SHUFFLE - 04/18/18 23:19
JCL,
1. Could you please share the code or algorithm used in Detrend=SHUFFLE? I'd like to know how Zorro generates shuffled price curves.
2. If I use Detrend=SHUFFLE, do percentage returns have the same mean and standard deviation as original percentage returns?
3. Is it correct to use shuffled prices with Detrend=SHUFFLE for Monte Carlo reality check? I'm concerned that this mode keeps overall trend and price range. Does it mean that simulated prices are correlated in a similar manner as the original prices? I thought that it's important to remove existing correlations in prices for the MonteCarlo analysis.
Thank you!
1. Could you please share the code or algorithm used in Detrend=SHUFFLE? I'd like to know how Zorro generates shuffled price curves.
2. If I use Detrend=SHUFFLE, do percentage returns have the same mean and standard deviation as original percentage returns?
3. Is it correct to use shuffled prices with Detrend=SHUFFLE for Monte Carlo reality check? I'm concerned that this mode keeps overall trend and price range. Does it mean that simulated prices are correlated in a similar manner as the original prices? I thought that it's important to remove existing correlations in prices for the MonteCarlo analysis.
Thank you!