Posted By: AndrewAMD
Monte Carlo of Equity Curve (for stock portfolio systems) - 09/08/22 19:40
Zorro's existing Monte Carlo system shuffles the trades. This is great for single asset systems, but useless for stock portfolio systems that calculate completely different position sizes for different assets.
It'd be helpful if Zorro can instead do a Monte Carlo analysis on changes in Equity on a bar-by-bar basis. And I would suggest that there should be two modes:
1) Mode 1: shuffle absolute changes in equity between bars (i.e. dollars).
2) Mode 2: shuffle logarithmic changes in equity between bars. (maybe useful when Capital value is set).
Perhaps it would also be helpful to be able to configure the time increment in which changes in equity are shuffled. For example, if I'm using one-minute bars, maybe I want to analyze it on an hourly or 24-hour increment basis. Or maybe just number of bars. (example: For BarPeriod=5, setting global variable MonteCarloEquityTimeFrame = 12 shuffles changes in equity curve every 12 bars, which is 60 minutes)
It'd be helpful if Zorro can instead do a Monte Carlo analysis on changes in Equity on a bar-by-bar basis. And I would suggest that there should be two modes:
1) Mode 1: shuffle absolute changes in equity between bars (i.e. dollars).
2) Mode 2: shuffle logarithmic changes in equity between bars. (maybe useful when Capital value is set).
Perhaps it would also be helpful to be able to configure the time increment in which changes in equity are shuffled. For example, if I'm using one-minute bars, maybe I want to analyze it on an hourly or 24-hour increment basis. Or maybe just number of bars. (example: For BarPeriod=5, setting global variable MonteCarloEquityTimeFrame = 12 shuffles changes in equity curve every 12 bars, which is 60 minutes)