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  • #113963 |
    Participant
    5 Posts
    Hello,
    Recently I started using Quant Analyzer 4, and noticed the issue with resulting draw down numbers. Firstly I will give you the steps to reproduce the behaviour:
    1. Load sample test_portfolio.csv (included into installation).
    2. Run Monte Carlo analzsis with number of simulations = 1000, Exact method, no trades skipped.
    Issue: Output table is sorted by confidence levels. Numbers in Max %DD column are not monotonously growing. They dont make sense. Screenshot is attached (QA_bug.png).
    If you open the link https://strategyquant.com/blog/what-is-monte-carlo-analysis-and-why-you-should-use-it/, in your example the numbers in Max %DD column look correct. The percentage is growing with confidence.
    I also took this same portfolio and run it with another system analysis tool Monte Carlo. The numbers make sense again. Screenshot is attached (MSA.png).
    So I believe something is wrong with MC simulation in QA 4.
    Best regards,
    Pavel.
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    #131435
    Customer
    63 Posts

    Hello,

     

    thanks for the report.

    It is a bug.

     

    We will release a new update next week.

     

    Best regards,

    Tomas

    #131436
    Participant
    5 Posts

    Thanks. Looking forward to new update.

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