V.15:14 (691-692): Product Review: Resampling Stats for PC or Macintosh by John Sweeney

Resampling Stats for PC or Macintosh, (Resampling Stats, Inc.). Software to estimate distributions of sample statistics. by John Sweeney

First of all, what is “resampling”? In the case of Resampling Stats software, it means using data or a data-generating mechanism to randomly generate additional samples. This is an important concept to traders, because testing on existing data is sometimes limited to too few samples to generate a reliable result. Moreover, with data resampling, the prices (and returns) that are studied can be considered samples from a greater universe of possible outcomes. If it were possible to have a better picture of that universe from the data we do have, it would certainly be advantageous.

Resampling Stats tries to get a better picture of that universe by repetitively sampling the data you have and building a picture of the resulting distribution of a sample statistic of interest.

Here’s an example from the manual: Suppose you have a sample of 12 pigs’ weight gain. Graphically, they look like Figure 1. What Resampling Stats does is take 1,000 12-pig samples by randomly selecting from the 12 numbers available. (Technically, this is known as “with replacement.”) Then it assembles the 1,000 resamples of average weight gains into something that look like Figure 2. From there, it shouldn’t take traders long to consider resampling trading results.