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

  • #203132 |
    huangwh88
    Customer
    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!

    #203148
    huangwh88
    Customer
    127 Posts

    Try again. Nope still not permitted to post a pdf. But I think you can download it from here: https://www.facebook.com/eBookDownload2015/posts/749650241790008 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.

    #203216
    tomas262
    Administrator
    1826 Posts

    Hello,

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

    #217776
    Customer
    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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