A new Monte Carlo Study can be made using the "New Monte Carlo Simulation" ribbon button NewMontecarlo while there is a Raw Simulation Study selected in the Studies Explorer.

 

The Monte Carlo Studies store the Simulation Runs executed in order to make a true portfolio Monte Carlo Analysis along with the Position Sizing Rules, Commissions configuration , Currencies Exchange Rates, etc. that were used to generate the Monte Carlo Simulation. All that information together with the analysis data derived from them are shown in the Data Analysis Visualizers (DAVs).

 

When a Monte Carlo analysis is performed, BTAnalytics allows to set the number of runs that will be executed. More runs mean more accurate results but also more time to run and more disk space occupied. The Position Sizing parameters, commission's settings, currencies exchange rates (for multi-currency strategies) and others could be also set.

 

This study has a "View Selector" component that enables the user to filter the data shown in the DAVs by side and by sub-strategy.

 

For this type of study the following DAVs are provided by BTAnalytics:

 

 

Details DAV: This DAV shows information about the Position Sizing and other parameters that generated the simulation runs.

 

 

Details DAV
Details DAV

 

 

Average Performance DAV: This DAV shows information about the average performance of all the performed runs.

 

 

Average Performance DAV
Average Performance DAV

 

 

Metrics Distribution DAV: In this DAV is shown the distribution of metrics such as Net Profit, APR, Draw Down, Sharpe Ratio, etc. along with a chart showing the probability of the selected metric being greater or lower that any value.

 

 

Metrics Distribution DAV
Metrics Distribution DAV

 

 

Simulation Runs DAV: With this DAV the user is allowed to see the performance of the individual runs executed in the Monte Carlo Simulation. This DAV includes a button that allows to generate a Simulation of the parent Raw Simulation matching the currently selected run. The main views include:

 

 

All Runs Equity: Shows the compared Equity Charts of several runs.

 

 

Simulation Runs DAV - All Runs Equity
Simulation Runs DAV - All Runs Equity

 

 

 

Performance Metrics: Shows the Performance Metrics of the selected run.

 

 

 

Simulation Runs DAV - Performance Metrics
Simulation Runs DAV - Performance Metrics

 

 

Charts: Shows the Equity and Drawdown charts for the selected run.

 

 

Simulation Runs DAV - Charts
Simulation Runs DAV - Charts