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eas-guide:monte-carlo [2018/01/09 13:08]
yavor
eas-guide:monte-carlo [2019/04/06 14:37] (current)
Vinicius Barenho Pereira ?nolink in image tags
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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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 Here you can choose the simulations that will be used in the Monte Carlo tests. You select optional parameters for each simulation from the **Options** tab. Here you can choose the simulations that will be used in the Monte Carlo tests. You select optional parameters for each simulation from the **Options** tab.
  
-{{ :eas-guide:monte-carlo-simulations.jpg |}}+{{ :eas-guide:monte-carlo-simulations.jpg?nolink |}}
  
 **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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 ===== Simulations chart ===== ===== Simulations chart =====
  
-{{ :eas-guide:monte-carlo-simulations-chart.jpg |}}+{{ :eas-guide:monte-carlo-simulations-chart.jpg?nolink |}}
  
 By the default running the Monte Carlo tool will run 20 tests with randomized data. The randomization of the data will be done according to the **Simulations** checklist and the values in the **Options** tab. By the default running the Monte Carlo tool will run 20 tests with randomized data. The randomization of the data will be done according to the **Simulations** checklist and the values in the **Options** tab.
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 ===== Confidence table ===== ===== Confidence table =====
  
-{{ :eas-guide:monte-carlo-confidence-table.jpg |}}+{{ :eas-guide:monte-carlo-confidence-table.jpg?nolink |}}
  
 This table shows different statistics from the testing. This table shows different statistics from the testing.
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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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 ===== Options ===== ===== Options =====
  
-{{ :eas-guide:monte-carlo-options.jpg |}}+{{ :eas-guide:monte-carlo-options.jpg?nolink |}}
  
   * **Count of tests** - choose how many tests you want to run.   * **Count of tests** - choose how many tests you want to run.
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   * **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 a changed parameters value can deviate from the original value.+  * **Indicator max change %** - shows how much a 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.
  
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 ===== Validation ===== ===== Validation =====
  
-{{ :eas-guide:monte-carlo-validation.jpg |}}+{{ :eas-guide:monte-carlo-validation.jpg?nolink |}}
  
 When running the [[eas-guide:reactor|Reactor]] or [[eas-guide:validator|the Validator]] Monte Carlo testing is present in the Robustness testing section.  When running the [[eas-guide:reactor|Reactor]] or [[eas-guide:validator|the Validator]] Monte Carlo testing is present in the Robustness testing section. 
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 The **Validated tests** setting uses the **Validation** settings in the Monte Carlo tool here. The **Validated tests** setting uses the **Validation** settings in the Monte Carlo tool here.
  
-{{ :eas-guide:reactor-validator-monte-carlo.jpg |}}+{{ :eas-guide:reactor-validator-monte-carlo.jpg?nolink |}}
  
 These are very similar and work in the same way as the general [[eas-guide:acceptance-criteria|Acceptance Criteria]] for the [[eas-guide:collection|collection]] works. These are very similar and work in the same way as the general [[eas-guide:acceptance-criteria|Acceptance Criteria]] for the [[eas-guide:collection|collection]] works.