Sunday, February 18, 2018

Guided Tour

BTAnalytics Guided Tour

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Monte Carlo Study

A new Monte Carlo Study can be made using the Ribbon Button 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, etc. that generated them. 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 and others should 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.

 

Monte Carlo Study: Details Data Analysis Visualizer (DAV)

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

 

Monte Carlo Study: Average Performance Data Analysis Visualizer (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.

 

Monte Carlo Study: Metrics Distribution Data Analysis Visualizer (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.

 

Monte Carlo Study: All Runs Equity - Simulation Runs Data Analysis Visualizer (DAV)

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

 

Monte Carlo Study: Selected Run Performance Metrics - Simulation Runs Data Analysis Visualizer (DAV)

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

 

Monte Carlo Study: Selected Run Equity and Drawdown - Simulation Runs Data Analysis Visualizer (DAV)

 

 

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Risk Disclosure:

Futures and other instruments trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

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