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