When I use the same-date scramble in the Monte Carlo Analysis, what is that actually doing? Is that taking NSF positions and putting them in the backtest? Basically mixing up which positions are taken and which are not?
Does it matter if I have a transaction weight assigned?
Does it matter if I have a transaction weight assigned?
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QUOTE:
When I use the same-date scramble in the Monte Carlo Analysis, what is that actually doing? Is that taking NSF positions and putting them in the backtest?
At the beginning of this section, it's stated:
Important!
Monte Carlo works with the list of raw trades generated by a backtest. To feed Monte Carlo with the most possible sample trades, make sure to run the baseline backtest with Retain NSF Position checked in Advanced Strategy Settings. This will ensure that even the trades that were rejected by the baseline simulation are used for Trade Randomizations.
QUOTE:No.
Does it matter if I have a transaction weight assigned?
The Same Date scramble is "usually" equivalent to NOT assigning Transaction weight and hitting "Run Strategy" hundreds of times. "Usually" because a strategy's logic could also change depending on the specific trades it takes.
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