For strategies that use limit orders and produce any NSF positions it would be helpful to see a distribution of the possible outcomes depending on the combination of the trades which get executed. I'm excluding strategies using just market orders since really you should never get NSF positions in that situation.
For example:
The strategy generates 20 signals for a given day but buys the first 10 stocks at a limit price with a size of 10% equity (assuming no margin).
Show a graph of the distribution of probabilities of achieving various risk measures.
For example:
The strategy generates 20 signals for a given day but buys the first 10 stocks at a limit price with a size of 10% equity (assuming no margin).
Show a graph of the distribution of probabilities of achieving various risk measures.
Rename
You could try coming up with code, leveraging the bundled ScottPlot library to visualize this in your strategy. See this tutorial for a quick preview of the feature:
https://youtu.be/0ZrmJVm5vBI?t=1072
https://youtu.be/0ZrmJVm5vBI?t=1072
I think this could become a new Monte Carlo Lab analysis setting, something I've been thinking about actually.
QUOTE:Nice, I'll take a look!
You could try coming up with code, leveraging the bundled ScottPlot library to visualize this in your strategy. See this tutorial for a quick preview of the feature:
QUOTE:That would be great! Another thought is just a simple metric on the summary that gives a confidence interval of achieving a given profitability.
I think this could become a new Monte Carlo Lab analysis setting, something I've been thinking about actually.
It's already a setting in Monte Carlo Lab (and was even in WL6) - Same Date Scramble
QUOTE:Thanks Cone, but I was referring to just the NSF position aspect not the strategy as a whole.
It's already a setting in Monte Carlo Lab (and was even in WL6) - Same Date Scramble
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