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Open Feature request MC-803

Built-In Monte Carlo simulation tools

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Description

As of now Multicharts lets us assess trading strategies' stats and run a forward as well as out-of-sample testing.
However, there is one thing that would be a tremendously useful addition to Multicharts, which is Monte Carlo simulation tools. With those we could fully analyze past performance of a strategy without having to save/edit/convert data already calculated by Multicharts for third-party applications.
It could exist as a part of Strategy Performance Report or as a stand-alone applications just like Portfolio Backtester and 3D Optimization Charts.

Steps to reproduce this issue

n/a

Comments (22)
#0
user-offline.png  Guest (Guest)
Mar 29, 2012 - 07:01

I would like this feature very much!

#0
user-offline.png  swz168 (swz168)
Mar 29, 2012 - 16:09

MC Simulation is a very useful addition for backtesting.

#0
user-offline.png  Guest (Guest)
Apr 01, 2012 - 04:06

nice feature.

#0
user-offline.png  Lobo.Trader (Lobo.Trader)
Apr 01, 2012 - 06:16

Built-In Monte Carlo simulation I consider important tool for any developing plattform . **
**Kind regards

** Lobo
**

#0
user-offline.png  Clement (clementlim)
May 23, 2012 - 19:13

Agreed, this will be invaluable to producing a more accurate view of a strategy's performance.

#0
user-offline.png  Guest (Guest)
Jun 15, 2012 - 21:48

I think Monte Carlo Simulation would be a very important addition to the Multichart package.

#0
user-offline.png  Guest (Guest)
Jun 22, 2012 - 21:17

MC should add this feature for better competitiveness.

#0
user-offline.png  LabRatNo9 (labratno9)
Jun 25, 2012 - 15:14

Monte Carlo testing does NOT help with system development.
It is simply playing with numbers.
If your results are bad then Monte Carlo will returen garbage.
If your results are good then Monte Carlo will give you a treasure.
It all comes down to the input of the test...

#0
user-offline.png  fringetix (fringe)
Feb 02, 2013 - 06:39

I think having Monte Carlo capabilities would definitely make Multicharts stand out from its competition. It would be particularly useful if the Monte Carlo could be not only on a single strategy but also within the Portfolio Backtester.

#0
user-offline.png  swz168 (swz168)
Feb 03, 2013 - 12:50

user-offline.png  @labratno9
 Monte Carlo Simulation is a powerful and widely accepted  tool, both in the financial industry and academic circle. If you don't apply the tool and interprete your results correctly, the results can be garbage. According to your logic, backtesting is also not needed, because it can produce garbage. But that is not a problem of the tools, but an problem of the user.
If you develop a sound strategy and interprete the results of monte carlo simulation correctly, you will gain new insights of your strategy. Insights that wouldn't be possible without monte carlo simulation.

#0
user-offline.png  swz168 (swz168)
Feb 03, 2013 - 12:54

@ labratno09:
It is not about producing a treasure, it is about getting new insights about the risk of your strategy.

#0
user-offline.png  EdL (EdL)
Feb 28, 2013 - 15:23

Monte Carlo simulation is a standard requirement during the test/development phase of trading systems and having it incorporated into MultiCharts should be a no-brainer, both from a competitive product stance and as a useful feature. Please consider adding this feature soon.

#0
user-offline.png  andb (andrei.reiand@gmail.com)
Jul 28, 2013 - 12:34

not only will this add to the list of sought after features of MC, but will also convert guest visitors to MC users, instead of having them land on pages like:
http://www.ninjatrader.com/support/helpGuides/nt7/index.html?running_a_monte_carlo_simulati.htm

http://www.ninjatrader.com/support/forum/showthread.php?t=34611

#0
user-offline.png  KGJVU (KGJVU)
Feb 23, 2014 - 09:42

I hope MC considers adding this highly useful feature soon!

#0
user-offline.png  Guest (Guest)
Apr 05, 2014 - 23:09

Please add!!

#0
user-offline.png  trdrbl (trdrbl)
Jul 13, 2014 - 16:25

Please add to the .NET version.

#0
user-offline.png  Guest (Guest)
Aug 19, 2015 - 09:12

Please add Monte Carlo. I have waited years for this

#0
user-offline.png  andb (andrei.reiand@gmail.com)
Oct 20, 2015 - 18:27

this would be a tremendous addition to the backtesting capabilities of the product.
I would also add - Montecarlo needs to be fully implemented for the Out-Of-Sample periods, if Walk-Forward is used, rather than for everything (in/out samples).

#0
user-offline.png  Guest (Guest)
Feb 21, 2016 - 22:34

Definitely Wanted!

#0
user-offline.png  Guest (Guest)
Feb 29, 2016 - 08:47

Monte Carlo analysis is absolutely essential for managing the risk for any proposed Algorithmic or manually managed portfolio. You should have Monte Carlo analysis in your kit-bag of offerings. Even a simple bar-graph of risk would be useful to most investors. Don't be too fussy at first, but please get this done...
Thank you,
Dave Piggott, P. Eng.

#0
user-offline.png  Guest (Guest)
May 27, 2016 - 00:33

Please add!

#1
user-offline.png  endystrike (andrea_nebiolo)
Apr 10, 2017 - 11:59

Please unlock more simulations, like asked in this thread!
MC-2138 - Unlock more options numbers in Montecarlo simulations

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 10.0 (RELEASED)
  • Status
    Released
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (4)
People involved
  • Posted by
    user-offline.png  txls (txls)
  • Owned by
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  • Assigned to
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  • Subscribers
    4 subscriber(s)
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Times and dates
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Issue details
  • Resolution
    Not determined
  • Severity
    Normal
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