randomize | Zorro Project

randomize(int Method, var Out, var In, int Length): var

Randomizes a data array by different methods.

Returns:

Last value of the resulting data array; usually the accumulated return.

Parameters:

Method	BOOTSTRAP	Randomize the data differences by bootstrap with replacement.
	SHUFFLE	Randomize the data differences by montecarlo permutation.
	DETREND	Detrend the data before randomizing, by subtracting the mean data difference.
Out	Array to be filled with the randomized data, or In for modifying the original array.
In	Array containing the original data.
Length	Number of elements of the In and Out arrays.

Remarks:

This function can be used for generating randomized return distributions f.i. for White's Reality Check. The random number generator uses the Lehmer algorithm with a period of 2,147,483,646.
Randomized data curves can contain negative data. If this is not desired, test the minimum and randomize again until it is above zero.

Example:

var OriginalReturn = EquityCurve[Length-1];
var RandomizedReturn = randomize(BOOTSTRAP,0,EquityCurve,Length);

See also:

Detrend, random ► latest version online