Monte Carlo Simulations Using Multi-core CPU (Extra PV 2011.06)
Author: sdbens20
Creation Date: 7/31/2011 9:21 AM
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sdbens20

#1
I use the Monte Carlo method when running portfolio optimizations. Does the recently added Version 2011.06 Extra Performance Visualizer Pack allow me to run separate optimizations on the 4-core processor I have? If so, would you please direct me to references explaining the procedure?

Also, is the Monte Carlo Lab something different than using the Monte Carlo method in optimizations? If so, please direct me to references on its use. I didn't see that the reference guide provides those instructions.

I'm using WLP 6.2.34.0 on a 64-bit Windows 7 system. All extensions are up to date.

Thank you.

Sherm
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Eugene

#2
Visualizer is no Optimizer and they all are independent, different animals. No visualizer allows to run optimizations, and vice versa.

The Monte Carlo visualizer is multi-core friendly, allowing to utilize all cores of a modern day CPU with multiple cores (requires .NET 3.5). This offers a visible speed boost to MC Visualizer.
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abegy

#3
In the Monte Carlo extension, you have the view "Raw Trades". I'm interesting if it is possible to add the following data :
- Position type (Long/Short)
- Entry name
- Exit name
- MAE%
- MFE%
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Eugene

#4
What would it help?
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abegy

#5
I need Position type because it's not simple to find why the trade price graph is going down when you look on it for a short position.

I'm interesting to have also Entry/Exist name because I use it to add extra information (indicator value, strategy entry name...). It can be interesting to refind this information to look the trade price graph and try to find or not something.

MAE and MFE, not really usages for me at this time but I say why not.
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Eugene

#6
I'd say these columns are not included here in Raw Trades because they don't participate in Monte Carlo computation. There is no need for it to duplicate the Trades tab's functionality.