Monte Carlo-Lab: Trade Scramble
Author: ronc
Creation Date: 4/24/2013 2:17 AM
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ronc

#1
I want to test the performance of my strategies under varying conditions. I have read the WealthLab User Guide section on the Monte Carlo Lab. What I am looking for is a way to apply statistical variations to the stock symbol price time series, so that the strategy performance variations can be observed. From my understanding of the User Guide, it seems that Monte Carlo lab does not do that but rather varies the trades themselves. In my thinking, the trades should be determined by my strategy algorithms, and I am not clear on what value is gained by applying "external" variations to the trades, e.g. trade scramble. That does not seem to be realistic, i.e. I am not clear how that reflects how a strategy would perform in the presence of variations in the price time series.

Am I missing some fundamental concept regarding Monte Carlo lab?

In any case, is there a way to run Monte Carlo simulations in which the stock price is the statistical varying quantity, and the trades are determined only by my strategy code - so that I can see how my strategy reacts to varying conditions?

Thanks!
Ron
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Eugene

#2
The Monte Carlo visualizer does what it's been always doing. It scrambes equity curve, randomizes trades, synthesizes returns of the raw trade data to arrive at hundreds (thousands...) new, randomized sets of backtests, and does it very efficiently.

If you think that some method like Trade Scramble just does not fit in, contradicting your system's logic, you have the choice to not use it. Check this thread out:

Monte Carlo visualizer: Trade Synthesize?