Monte Carlo Robustness and Custom Indicators
1 replies
mikeyc
9 years ago #112965
Hi Mark,
Can you please explain how the Monte Carlo Robustness analysis works with Custom Indicators?
I can imagine that the inbuilt indicators can recompute given altered trade order, resampling and even slightly altered bar open, high, low and close, but don’t understand how you can handle custom indicators in your Monte Carlo tests?
If the underlying data is altered (shuffled, resampled and changed) the custom indicator value would not be known?
Cheers,
Mike
Mark Fric
9 years ago #127900
you are right, custom indicators cannot be recomputed in SQ, so Monte Carlo Randomize Strategy Parameters wouldn’t work on custom indicators.
Mark
StrategyQuant architect
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