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
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.