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eas-guide:monte-carlo

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eas-guide:monte-carlo [2018/01/09 13:04]
yavor
eas-guide:monte-carlo [2018/02/01 09:57]
yavor
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-Monte Carlo is the best tool for testing the strategy robustness. When you create a strategy, you see its backtest statistics. However, there is a problem - the strategy might be over-optimized (a.k.a curve fitted). The goal of the Monte Carlo tool is to verify that the strategy is not over-optimized. This tool allows you to randomly change the market data, the execution of the strategy and the numeric parameters of the strategy indicators.+Monte Carlo is the best tool for testing the strategy robustness. When you create a strategy, you see its backtest statistics. However, there is a problem - the strategy might be over-optimized (curve fitted). The goal of the Monte Carlo tool is to verify that the strategy is not over-optimized. This tool allows you to apply random changes to the market data, the execution of the strategy and the numeric parameters of the strategy indicators.
  
  
 If you make minor changes to the strategy and its environment, and the strategy continues to have good profits, this means that the strategy has a good chance to make money in the real market. If you make minor changes to the strategy and its environment, and the strategy continues to have good profits, this means that the strategy has a good chance to make money in the real market.
  
-On the other hand – if you make some minor changes and the strategy'profits crumble – it means that this strategy is over-optimized and thus, is a bad choice to trade.+On the other hand – if you make some minor changes and the strategy profits crumble – it means that this strategy is over-optimized and thus, it is a bad choice to trade.
  
  
 <WRAP center round tip 60%> <WRAP center round tip 60%>
-When you run the Monte Carlo tool, you actually do not run a single test but 20 (by default) tests. Each test is random can use one or more simulations.+When you run the Monte Carlo tool, you actually do not run a single test but 20 (by default) tests. Each test is random. It can use one or more simulations.
 </WRAP> </WRAP>
  
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 **Market variations** **Market variations**
  
-    * **Randomize history data** - This will change the bar range of a certain number of bars. It can change the bars Low and High values in both directions. This will result in having higher or shorter bars.  +    * **Randomize history data** - The tool will take a certain number of random bars and change their range. It can change the bar's Low and High values in both directions. This will result in having higher or shorter bars.  
-    * **Randomize spread** - If this is enabled EA Studio can set the spread to a different value. It might vary within the borders set in Options.+    * **Randomize spread** - If this option is enabled EA Studio can set the spread to a different value. It might vary within the borders set in Options.
  
  
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 The first column shows the percentage of tests that showed results better than the current row. “Confidence” column shows the probability for the profit to be higher than the “Net Balance” value. The first column shows the percentage of tests that showed results better than the current row. “Confidence” column shows the probability for the profit to be higher than the “Net Balance” value.
  
-For example in the screenshot above, you see the lowest row shows 100% confidence. This "assures" us that if we have traded this strategy, we could expect it to make at least 351 over the given period. This of course if based on 20 random tests and has a great risk of being incorrect as soon as we run the tests or trade the strategy on a live account.+For example in the screenshot above, you see the lowest row shows 100% confidence. This "assures" us that if we have traded this strategy, we could expect it to make at least 351 over the given period. This of course if based on 20 random tests and has a great risk of being incorrect as soon as we run the tests anew or trade the strategy on a live account.
  
 The tool is only named "Confidence Table" to be easily to recognized by traders who used it in other software. However neither here, nor in other software is the Confidence Table about confidence. It's only a tool that groups the results from the **random** tests in the **past** and shows us how many of them succeeded and how much did they succeed. This means that if you rerun the Monte Carlo tests almost certainly won't get the same results.  The tool is only named "Confidence Table" to be easily to recognized by traders who used it in other software. However neither here, nor in other software is the Confidence Table about confidence. It's only a tool that groups the results from the **random** tests in the **past** and shows us how many of them succeeded and how much did they succeed. This means that if you rerun the Monte Carlo tests almost certainly won't get the same results. 
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 **Execution problems** **Execution problems**
  
-  * **Maximum slippage (points)** - how much can the maximum Random slippage be in points+  * **Maximum slippage (points)** - how much can the maximum Random slippage can be in points
   * **Skip entry probability %** - For each new entry there will be a probability (default 2%) to skip opening the position.   * **Skip entry probability %** - For each new entry there will be a probability (default 2%) to skip opening the position.
-  * **Skip exit probability %** - For each exit there will be a probability (default 2%) to skip closing the position.+  * **Skip exit probability %** - For each exit there will be a probability (default 2%) to skip exiting the position.
   * **Close position probability %** - What is the chance to close a position in each bar.   * **Close position probability %** - What is the chance to close a position in each bar.
  
 **Strategy variations** **Strategy variations**
  
-  * **Indicator change probability %** - chance to change an indicator parameter value. By default only 20% of the parameters will be changed and 80% of the parameters will remain unchanged +  * **Indicator change probability %** - chance to change an indicator parameter value. By default only 20% of the parameters will be changed and 80% of the parameters will remain unchanged. 
-  * **Indicator max change %** - shows how much the changed parameters value can fluctuate.+  * **Indicator max change %** - shows how much changed parameter's value can deviate from the original value.
   * **Minimum deviation range** - by default 20 steps. This setting is meant for indicators that have parameters with very low values where changing the value by 20% won't do much difference. In such cases the **Minimum deviation range** will be used and the indicator will be changed by 20 steps (by default) or however much you set.   * **Minimum deviation range** - by default 20 steps. This setting is meant for indicators that have parameters with very low values where changing the value by 20% won't do much difference. In such cases the **Minimum deviation range** will be used and the indicator will be changed by 20 steps (by default) or however much you set.
  
  
  
-  * **Reset** - resets all the fields within Simulations and Options to their default values.+  * **Reset** button - resets all the fields within Simulations and Options to their default values.
  
 ===== Validation ===== ===== Validation =====