Gamestudio Links
Zorro Links
Newest Posts
Blobsculptor tools and objects download here
by NeoDumont. 03/28/24 03:01
Issue with Multi-Core WFO Training
by aliswee. 03/24/24 20:20
Why Zorro supports up to 72 cores?
by Edgar_Herrera. 03/23/24 21:41
Zorro Trader GPT
by TipmyPip. 03/06/24 09:27
VSCode instead of SED
by 3run. 03/01/24 19:06
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
3 registered members (VoroneTZ, monk12, Quad), 829 guests, and 4 spiders.
Key: Admin, Global Mod, Mod
Newest Members
sakolin, rajesh7827, juergen_wue, NITRO_FOREVER, jack0roses
19043 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Monte Carlo of Equity Curve (for stock portfolio systems) #486595
09/08/22 19:40
09/08/22 19:40
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
Serious User
AndrewAMD  Online OP
Serious User

Joined: Feb 2017
Posts: 1,718
Chicago
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)

Re: Monte Carlo of Equity Curve (for stock portfolio systems) [Re: AndrewAMD] #486624
09/11/22 14:58
09/11/22 14:58
Joined: Apr 2008
Posts: 585
Austria
Petra Offline
Support
Petra  Offline
Support

Joined: Apr 2008
Posts: 585
Austria
It does not shuffle the trades, but the equity curve.

Re: Monte Carlo of Equity Curve (for stock portfolio systems) [Re: AndrewAMD] #486627
09/11/22 19:56
09/11/22 19:56
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
Serious User
AndrewAMD  Online OP
Serious User

Joined: Feb 2017
Posts: 1,718
Chicago
From re-reading the manual, it looks like you're right! I'm not sure how I missed that.


Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1