Monte Carlo Analysis: Difference between revisions
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===Ways to access Monte-Carlo analysis=== | ===Ways to access Monte-Carlo analysis=== | ||
As described above, Monte-Carlo analysis is performed on trades of the base equity curve that resulted from trading or strategy backtesting. You can access Monte-Carlo analysis from: | As described above, Monte-Carlo analysis is performed on trades of the base equity curve that resulted from trading or strategy backtesting. You can access Monte-Carlo analysis from: <ul> | ||
<li><b>Strategy Performance Report</b></li> To access a Strategy Performance Report apply a strategy to a chart, in the menu select View then click Strategy Performance Report. | |||
<li><b>Trading Performance Report</b></li> To access a Trading Performance Report connect a broker profile, make sure that you have manual trades on the chart, in the menu select View then click Trading Performance Report | |||
<li><b>Portfolio Performance Report</b></li> To backtest a portfolio сlick the BackTest button on the toolbar, or select Portfolio in the main menu and then select Run Backtesting. | |||
<li><b>Trades Summary</b></li> To access Trades Summary go to File -> New -> Order and Position Tracker Window -> Trades Summary Tab. | |||
</ul> | |||
To access the analysis, click on “Monte-Carlo Analysis Run” (in the first three cases the button is located at the top: in the toolbar of the report window; in Trades Summary Tab in OPT the button is below the “Generate” button) | To access the analysis, click on “Monte-Carlo Analysis Run” (in the first three cases the button is located at the top: in the toolbar of the report window; in Trades Summary Tab in OPT the button is below the “Generate” button) | ||
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Parameters of analysis that can be defined by a user: | Parameters of analysis that can be defined by a user: | ||
#'''Number of simulations''' – the number of simulations generated. Minimum number is 10 for both types of analysis, | #'''Number of simulations''' – the number of simulations generated. Minimum number is 10 for both types of analysis, it is the minimum number of simulations, which gives an approximate idea of characteristics distribution. | ||
Maximum number for Shuffled Analysis is 100, for Distribution Analysis – 10,000. In MultiCharts 11 this number was increased to 100 000 simulation for both types of analysis. | |||
#'''Number of trades''' – the number of trades in one simulation, calculated in % of quantity of base equity curve trades, default value = max value = 100%. The number of trades in simulations can be decreased when processing large amounts of data (e.g. hundreds, thousands or millions of trades) to speed up the results. Practice shows that with large amounts of data a decrease in the number of trades per simulation does not lead to a significant difference in the results due to random selection of trades while forming the simulations. | #'''Number of trades''' – the number of trades in one simulation, calculated in % of quantity of base equity curve trades, default value = max value = 100%. The number of trades in simulations can be decreased when processing large amounts of data (e.g. hundreds, thousands or millions of trades) to speed up the results. Practice shows that with large amounts of data a decrease in the number of trades per simulation does not lead to a significant difference in the results due to random selection of trades while forming the simulations. | ||