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Portfolio Master and Rank by Monte Carlo Sim

1 replies

8 years ago #114268

Hi,

Just starting to use QA4 in anger.

How does the portfolio master work when I select rank by Monte Carlo Sim?

Does it perform MC analysis on the portfolio on each iteration? Is this the MC of the portfolio or MC of each strategy? Where can I see the resulting MC chart for each portfolio created?

Any help files that describes how MC and Portfolio Master work together?

I’m very confused :unsure:

Cheers,

Mike

8 years ago #133212

Mike, Monte Carlo Sim is a fitness function with open source Snippet, you can see it in QuantEditor in /FitnessFunctions/MonteCarloSim.java.

The fitness function is evaluated once for the whole portfolio, this one performs Monte Carlo by skipping trades randomly and then getting the NetProfit for the 90% confidence level of this MC run.

This whole new Program interface that is used there is not yet described well in the documentation, it is still in the development and it will be used heavily in the new StrategyQuant 4.

Mark
StrategyQuant architect

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