com.strategyquant.lib.snippets.MonteCarloSim

Class MonteCarloSimulator

java.lang.Object

com.strategyquant.lib.snippets.MonteCarloSim.MonteCarloSimulator

public class MonteCarloSimulator
extends java.lang.Object

The Class MonteCarloSimulator.

Constructor Summary

Constructors

Constructor and Description
MonteCarloSimulator()

Method Summary

Modifier and Type	Method and Description
static double	computeDrawdown(double accountSize, double[] orders) Compute drawdown.
void	computeMonteCarloPercentagePL(SQOrderList originalOrders, double originalAccountSize) Compute monte carlo percentage pl.
static double	computePctDrawdown(double accountSize, double[] mcOrders) Compute pct drawdown.
static double	computePctProfit(double[] mcOrders, double initialCapital) Compute pct profit.
static double	computeProfit(double[] mcOrders) Compute profit.
static MonteCarloStatValues	computeResultStats(double initialCapital, double[] orders, double avgTradesPerMonth) Compute result stats.
java.util.ArrayList<java.lang.Double>	transformOrdersToDoubles(SQOrderList originalOrders, int capitalSize, boolean b) Transform orders to doubles.
java.util.ArrayList<java.lang.Double>	transformToMoneyOrders(java.util.ArrayList<java.lang.Double> mcOrders, double originalAccountSize, boolean useDynamicMM) Transform to money orders.
double[]	transformToMoneyOrders(SQOrderList originalOrders, double originalAccountSize) Transform to money orders.
java.util.ArrayList<java.lang.Double>	transformToPercentageOrders(SQOrderList originalOrders, double originalAccountSize, boolean useDynamicMM) Transform to percentage orders.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MonteCarloSimulator

public MonteCarloSimulator()

Method Detail

transformToPercentageOrders

public java.util.ArrayList<java.lang.Double> transformToPercentageOrders(SQOrderList originalOrders,
                                                                         double originalAccountSize,
                                                                         boolean useDynamicMM)

Transform to percentage orders.

Parameters:

originalOrders - the original orders

originalAccountSize - the original account size

useDynamicMM - the use dynamic mm

Returns:

the array list

transformToMoneyOrders

public java.util.ArrayList<java.lang.Double> transformToMoneyOrders(java.util.ArrayList<java.lang.Double> mcOrders,
                                                                    double originalAccountSize,
                                                                    boolean useDynamicMM)

Transform to money orders.

Parameters:

mcOrders - the mc orders

originalAccountSize - the original account size

useDynamicMM - the use dynamic mm

Returns:

the array list

computeProfit

public static double computeProfit(double[] mcOrders)

Compute profit.

Parameters:

mcOrders - the mc orders

Returns:

the double

computePctProfit

public static double computePctProfit(double[] mcOrders,
                                      double initialCapital)

Compute pct profit.

Parameters:

mcOrders - the mc orders

initialCapital - the initial capital

Returns:

the double

computeDrawdown

public static double computeDrawdown(double accountSize,
                                     double[] orders)

Compute drawdown.

Parameters:

accountSize - the account size

orders - the orders

Returns:

the double

computePctDrawdown

public static double computePctDrawdown(double accountSize,
                                        double[] mcOrders)

Compute pct drawdown.

Parameters:

accountSize - the account size

mcOrders - the mc orders

Returns:

the double

transformOrdersToDoubles

public java.util.ArrayList<java.lang.Double> transformOrdersToDoubles(SQOrderList originalOrders,
                                                                      int capitalSize,
                                                                      boolean b)

Transform orders to doubles.

Parameters:

originalOrders - the original orders

capitalSize - the capital size

b - the b

Returns:

the array list

computeMonteCarloPercentagePL

public void computeMonteCarloPercentagePL(SQOrderList originalOrders,
                                          double originalAccountSize)

Compute monte carlo percentage pl.

Parameters:

originalOrders - the original orders

originalAccountSize - the original account size

transformToMoneyOrders

public double[] transformToMoneyOrders(SQOrderList originalOrders,
                                       double originalAccountSize)

Transform to money orders.

Parameters:

originalOrders - the original orders

originalAccountSize - the original account size

Returns:

the double[]

computeResultStats

public static MonteCarloStatValues computeResultStats(double initialCapital,
                                                      double[] orders,
                                                      double avgTradesPerMonth)

Compute result stats.

Parameters:

initialCapital - the initial capital

orders - the orders

avgTradesPerMonth - the avg trades per month

Returns:

the monte carlo stat values