Monte Carlo Batch Sweep for the Enterprise Edition

The new Monte Carlo batch sweep feature in the Enterprise Edition can be used for directly comparing portfolio trading systems using advanced statistical process by overlaying the results of each Monte Carlo analysis on a common chart axis. Because of this ability it can also be used to do an advanced portfolio optimization procedure. However unlike a typical optimisation procedure which only plots a single value performance metric for each step, TradeSim takes full advantage of the variance in a portfolio system and runs a full MonteCarlo analysis for each stepping of a trade parameter. It then plots the resulting histogram on the same chart for direct comparisons between steps. Without running a proper portfolio MonteCarlo analysis you lose vital information that is needed to objectively evaluate the systems capabilities as well as selecting the optimum trading parameter.

Please download and read our free e-booklet on the new advanced statistical true portfolio optimization procedures and why existing optimization capabilities are not designed to analyze protfolio trading systems.

AN8 - Monte Carlo Sweep and Optimization Procedures