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Forums>StrategyQuant>General Discussion>Acceptance criteria for Monte carlo testing

  • #203132 |
    127 Posts

    Hello all,

    A few metrics are provided in SQ’s Monte carlo testing like R Exp, Ret/DD etc. Which do you use to determine whether your monte carlo performance is acceptable, and what is the criteria?

    Thanks for any input. Have a great 2018!

    127 Posts

    Try again. Nope still not permitted to post a pdf. But I think you can download it from here: This forum has too many upload limitations.


    That fb page looks real dodgy. Are you referring to the book by Zanka? In it I believe he mentions ret/dd at 95% CI at least half of the original value.

    I was wondering if anyone is using any alternatives.

    1826 Posts


    if you log into our client portal you should have access to the eBook. Or let me know to

    64 Posts

    Ret\DD Minimum 50% i recommend but also you have to take care in the same time that the Ret\DD is not under the Ret\DD, what it should be ( so for example 0.5 per year =13 years =6.5 ret\dd

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