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Posts: 5

1 (edited by Popov 2018-01-26 11:50:45)

Topic: MC on portfolio

Popov
Is Monte Carlo on portfolio possible?
Regards,

Re: MC on portfolio

There is no such feature in EA Studio now. Please validate the contained strategies separately.

Re: MC on portfolio

I know that...was wondering if such a feature is possible..planned...thanks

Re: MC on portfolio

Several of the Monte Carlo metrics that get simulated are closely tied to a strategy -- e.g. randomly skip position entry, randomly skip position exit, randomly close position, randomize indicator parameters.

How would those be simulated for a portfolio?  They couldn't.

Perhaps there are other metrics that could be varied to test the robustness of a portfolio -- I don't know.  My guess is that a portfolio is only as robust as its strategies -- so, it makes most sense to apply Monte Carlo testing to individual strategies.

Re: MC on portfolio

Being lazy...I will have to use validator...

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