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Open Bug report MC-2397

Monte Carlo produces incorrect results for many signals and setups

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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.

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