Monte Carlo Verify function
In the documentation here https://strategyquant.com/doc/quantanalyzer/predict-verify-strategy-performance-using-monte-carlo-simulation/, it is mentioned that the verify function is supposed to compare the strategy’s live performance to the range predicted using MC.
But is it possible to import actual live results and compare them to the MC predictions? Right now it seems like it’s splitting the data into IS and OOS portions and comparing the OOS results against MC predictions obtained using IS results.
yes, you can use the MC prediction and apply it on your live trading results. Simply load the results and set the data “Verify – date” to date from which you want to start the prediction simulation. On the example attached results from 1.1.2021 to 24.5.2021 are loaded. The prediction is set to start from 1.3.2021 so we can compare whether we are within MC simulation boundaries with our trading results
1 week ago #280024
but in this way I guess that live data before before 1 Mar 2021 are used to simulate data afterwards, which is not what one may want…
I would rather prefer to load two different sets: 1st the simulated data for the past, 2nd the live data (as in the “Compare Data” section) and then use the 1st data set to simulate the 2nd one.
Can this be workarounded loading past simulated data and live data in a single file ? If yes, which format could be used ?
Moreover, how can I change the number of trades used for the “Predict” function ?
1 week ago #280025
I probably found the way (maybe it was just what you suggested but simply I did not understand it !):
1. Load the simulated data
2. Load the live data
3. Create a Portfolio merging 1 & 2
4. Run the MC using the start date of 2 as a reference
5. Done !
1 week ago #280041
In principle it works…
… but unfortunately with MT4 the display of results is quite misleading because all the transactions contained in the MT4 report are counted as trades, at least in the graph (I do not know if in the simulation too).
In order to fix this, you have to clean the MT4 report manually before loading it in QA. Quite annoying
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