Hello,
In the Monte Carlo simulation the Same Date Scramble method does not seem to work with the Percent Volatility position sizer (clicking the Start does not generate any results.) In fact, the only method that works is the Equity Curve Scramble.
Am I missing anything?
In the Monte Carlo simulation the Same Date Scramble method does not seem to work with the Percent Volatility position sizer (clicking the Start does not generate any results.) In fact, the only method that works is the Equity Curve Scramble.
Am I missing anything?
Rename
Indeed, there seems to be a problem after selecting Advanced Pos Sizers in Monte Carlo. We'll look into it.
Thanks for fixing the issue in the PowerPack build 10. However, please see below where running a Same Date Scramble simulation strangely generates a Best Equity Curve that actually is not better than the Baseline. FYI, the position size method for both the Baseline and the Simulation is the same (Percent Volatility), and other configurations selected for the Simulation are as shown in the screen snapshot.
I'll agree that it seems odd that by chance the baseline backtest would generate a simulation result better than the best Monte-Carlo scramble, but there's a non-zero probability that that can occur.
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