Monte Carlo new use case

3 replies

josecort_trader

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3 years ago #269135

Hello

I would like to add an use case to see what would happen if the backtest started on different dates/bars. I meant. If my starting backtest date is 01.01.2015, I would like that Monte Carlo robustness analysis shows the results for a different (random or defined) dates.

Could you please be so kind to let me know if that is possible?

Thanks

Jose C.

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hankeys

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3 years ago #269137

if you change the dataset, you need ro rerun the MC tests, because it will be computed from different trades and dataset

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josecort_trader

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3 years ago #269156

Hi @hankeys

Thanks for your answer.

What I am looking for is that each Monte Carlo run starts on a different date/time (random step or defined by the user) along the backtest period in order to know that the strategy will be robust irrespective of when I started to compute the backtest.

Thanks

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josecort_trader

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3 years ago #269157

Could it be also added a use case in which for each Monte Carlo run the system parameters changes? I meant. If my EMA has a 20 period, I would like to see what happens if the parameter changes slightly for every Monte Carlo run. I know that you can see that by performing a new backtest with different values for the parameter but it would be slow that run each variation using Monte Carlo.

Thanks

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