Are Monte Carlo results based on closed equity or marked-to-market?
Author: RickTg
Creation Date: 12/23/2015 4:07 PM
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RickTg

#1
I am not sure where to ask this question so here it is.

Are the Monte Carlo results based on closed equity or marked-to-market?
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Eugene

#2
Which Monte Carlo? We've got Monte Carlo optimizer and Monte Carlo Lab visualizer. I believe in this context it makes sense to ask about MCV. Assuming that "mark to market" means "periodic re-evaluation" or "open equity" (vs. "closed equity"), I guess you'll find the answer yourself by opening a position and not closing it:

CODE:
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Hint: A MC equity is open equity. A MC simulation includes even those trades skipped due to insufficient capital.
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RickTg

#3
I was asking about the results in the optimizer.

I did some Monte Carlo optimization on strategy A. I then changed the position sizing algorythm in strategy A, performed a Monte Carlo optimization, and got different results, which was to be expected. I presented the results and was asked if the calculations were based on closed equity or marked-to-market.

I ran your code and got no trades. I added a condition if Close[bar]>0 and got trades.

I ran a Monte Carlo optimization and got results so the MC optimization results seem to be based on open + closed equity.

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Eugene

#4
In the optimizer there is no difference from the equity in Strategy window.

QUOTE:
I ran your code and got no trades. I added a condition if Close[bar]>0 and got trades.

Well, my reply assumed the Monte Carlo Lab visualizer. It makes little to no sense to run this code, with or without "if Close[bar]>0", in the optimizer as there's nothing to optimize over (no parameters).

Equity can be either "open" or "closed". Open equity is used across Wealth-Lab. Some addons by MS123 (Equity+, Performance+, Closed Equity, MS123 Scorecards etc.) utilize closed equity.