Capital variable and Monte Carlo analysis

Posted By: StefanCGN

Capital variable and Monte Carlo analysis - 11/23/19 13:11

The manual says that if Capital is set, it is assumed that reinvesting is done and Monte Carlo cannot be performed.

I have to use Margin+Capital in my strategy but witbout any reinvesting. The shown value for MonteCarlo is useless and wrong?
Posted By: jcl

Re: Capital variable and Monte Carlo analysis - 11/25/19 15:12

I believe MonteCarlo is switched off anyway when you set Capital. If you set it, you want no performance analysis, but are testing reinvestment. There is no other use for Capital.
Posted By: StefanCGN

Re: Capital variable and Monte Carlo analysis - 11/25/19 22:36

When I set

Margin = 0.5 * Optimalf * Capital

I am not reinvesting profits, as Capital = const, right? In this case, the "median annual return" from the Test results window still is not useful?

I am using Capital and Optimalf only for allocating money to the components of my portfolio system and would like to use Monte Carlo.
Posted By: AndrewAMD

Re: Capital variable and Monte Carlo analysis - 11/25/19 23:27

Capital is an input. If you only intend to use it as an output and not an input, you shouldn't use it at all.
Posted By: StefanCGN

Re: Capital variable and Monte Carlo analysis - 11/26/19 05:54

I am using it exactly like described in JCL's book or in the workshop
Posted By: AndrewAMD

Re: Capital variable and Monte Carlo analysis - 11/26/19 12:48

You said you don't want to reinvest profits. Therefore, you should not set Capital.

Then in your Margin configuration, you can replace "Capital" with any fixed amount.
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