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 their mean difference.
Out Array to be filled with the randomized data; must be different to In.
In Array containing the original data.
Length Number of elements of the In and Out arrays.

Remarks:

Example:

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

See also:

Detrend, random

 

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