Monte Carlo Analysis

• 05/28/2018 at 2:35 PM #71520
  GraHal

  TickQuest Page link below, download link is top right on the page

  http://www.tickquest.com/?page_id=70

  Please report back with your thoughts, successes, failures etc?

  

  GraHal

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  05/28/2018 at 9:52 PM #71537
  jebus89

  im using the tickquest and i like it. I like the fact that you see a better range of what to expect and what % ur in. For example a strategy that show max 8 cons losses in backtest, if u run that on say 5000 runs and u see in the results of the monte carlo giving u a range of 4-50 loss in a row and an avg of 20 loss in a row.. That should tell you that you might have to expect more then 8 loss in a row b4 u hit the panic button. same goes for loss in €, wins, profit etc.

  One thing i dont like about the monte carlo testing is that you use already optimized backtested data. If your EQ curve is looking nice and results look good, then u cant expect much out of the monte carlo other then a big fat thumbs up. So its basicly like patting yourself on the back saying “good job” when ur actually just looking at the same numbers u have been looking at thru the backtest, just graphed up nicely. Maybe i just dont get the full picture of it?

  

  jebus89

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  05/28/2018 at 10:14 PM #71538
  GraHal

  My understanding is that … yes we use already backtested / optimised variables etc and overall gain is as a result of curve fitting … but monte-carlo testing scrambles the order of the gains and losses and shows if results will still give an overall gain even if trades (gains / losses) don’t come in the order that they do in the backtested price data?

  It’s been a while since I even thought about monte-carlo and it’s been a long day working in the garden and spraying my car so I’ll let my brain work on it more while I’m asleep! 🙂

  

  GraHal

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  05/29/2018 at 9:09 AM #71555
  jebus89

  Well yes the monte carlo does scramble the order of things, so it gives u a good “range” of say “Max cons. losses” or other info like that. But still, its based off of trades from an optimized backtest. Im not 100% sure how much i wanna trust it. If ur EQ curve is looking sexy and good and u got like 400+ trades, then scrambling up the trades is probably not gonna “bust” ur system or anything.. Again, i might just not know how to extract the correct information from it.

  

  jebus89

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  05/29/2018 at 9:52 AM #71560
  Despair

  @Jebus89: Haven’t read everything but with the risk of writing something stupid, I use only OOS-trades for the monte carlo, no insample trades. Using trades you have used for optimization yields an unrealistic result.

  

  Despair

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  05/29/2018 at 10:03 AM #71562
  Nicolas

  For a complete analysis, you can also randomize results between MFE and MAE for each order and re-scramble them, add more or less %win/loss ratio, and even change the normal distribution of them by adding more orders ‘away’ from the mean (+/- 2 or 3 standard deviation, to simulate unexpected trades due to abnormal situation).

  1 user thanked author for this post.

  Despair

  

  Nicolas

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  03/30/2019 at 7:29 PM #95110
  haemdoc

  Hello,

   

  Just checking about PRT data that is used for monte carlo analysis. Sorry I am a newbie here. DO we only used the circled column only to copy to text file before feeding into Monte Carlo analysis software?

  Thanks

   

  Sathish

  

  haemdoc

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  03/30/2019 at 10:31 PM #95113
  robertogozzi

  Please do not double post.

  Thank you.

  

  robertogozzi

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  03/31/2019 at 10:27 AM #95118
  GraHal

  haemdoc wrote:

  DO we only used the circled column

  No because then you would be using ONLY the Maximum Adverse Excursion (MAE) figures.

  Nicolas wrote:

  simulate unexpected trades due to abnormal situation).

  You need to follow / do what Nicolas is saying in his comment above.

  GraHal wrote:

  use the ‘Gains’ column to drive the freemc.xls below

  OR read / follow the full  comment above for the simple method (but not the best).

  Read this whole thread first to get useful observations.

  

  GraHal

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