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Monte Carlo Retest Question

1 replies

5 years ago #236510

Hello All,

In the ebook (and older version of strategyquant) it was recommended to check against 95% percentile.
However checks in New SQX are done against 80?
What would be appropriate workable test? Just need to understand why it now changed to 80?

Can someone share their settings for montecarlo retest tests (slower ones)?

5 years ago #236563

Values at 80 % confidence level mean there is 20 % chance the performance will be worse than the confidence level values.
Values at 95 % confidence level mean there is only a 5% chance the performance will be worse than these values.

It makes sense to use higher percentile but it really does not matter too much whether it is 80 or 95 %. Anything in that range is commonly used

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