Portfolio Master Q

Hi,

 

in portfolio master, there is Ranking options/ Rank portfolio by:

• Monte Carlo
• RDD
• Net Profit

What means Monte Carlo? it means when you delete one strategy of the portfolio, the performance should very similiar to portfolio of all strategies?

 

Thanks for explaining. Excuse me if it is somewhere mentioned.

 

Patrick

Hello,

 

monte carlo means that for each strategy there is a monte carlo test being done. Those with poor MC results are dismissed while those with good are considered to be part of a portofolio

In Quant Analyzer thereare only 2 MC tests, randomize trades and skip trades. So its based on this test, right?

 

then its much better to use RDD as a criteria for selecting the best portfolio, when i do already know the strategies are robust.

 

i thought you made some Monte Carlo of Portfolio, skip trades in portfolio, randomize the trades of Portfolio or try to remove one by one and look, how much it could change the performance of portfolio. For example if you have 10 strategies, no matter which strategy you delete, the performance will not change significantly. If the performance is addicted to a single strategy and we remove it, the perfomance will fall about 30% down, its bad portfolio. But this can be done manually after. For me is importantto know i should use RDD as a selection criteria.