+1 888 340 6572
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
bug_report_small.png
Open Bug report MC-2397

Monte Carlo produces incorrect results for many signals and setups

action_vote_minus_faded.png
4
Votes
action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
Description

https://www.multicharts.com/discussion/viewtopic.php?f=1&t=50422&p=128094#p128094

The Monte Carlo sim is discounting the correlation effects derived from having multiple signals with positions at the same time, which is wrong. Please see the above link.

The fix is to add radio buttons that allow the user to chose the sampling dataset: trade list OR daily p&ls

That way Multicharts will have a monte carlo sim that can produce correct figures for all but the most basic of signals. More importantly it will correct the production of very misleading and dangerous outputs in its current form (which is why it is a bug and not a feature request).

Steps to reproduce this issue

Simple way to demo it:

Apply a strategy to PT and collect the 5% drawdown metric. Then clone the strategy so you now have 4 in total. Again, collect the 5% drawdown metric. You'll see that the latter metric, divided by 4, will be significantly less that the former metric.

Comments (0)
There are no comments
History
Issue basics
  • Type of issue
    Bug report
  • Category
    Not determined
  • Targeted for
    Not determined
  • Status
    Under Review
  • Priority
    Not determined
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (0)
There are no items
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Reproducability
    Not determined
Attachments (0)
There is nothing attached to this issue
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates