Parametric Sweep for the Enterprise Edition

The new parametric sweep feature in the Enterprise Edition is similar to an optimisation procedure where a parameter is stepped and a simulation is run and the result is plotted on a graph for each step. 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.

When plotting a large number of histograms on the one chart it can be confusing but the 3D chart manipulation and slice extraction can make visualization much easier. For example the following Maximum Consecutive Losers histogram displays a histograms for each of the 19 steps of the Capital per Trades trade parameter.

You can highlight each histogram as shown below. You can also quickly step through or select any slice of interest which easily allows comparisons.

You can switch on transparency mode which higlights the slice of interest whilst drawing all other slices with a wire frame. You can also quickly step through or select any slice of interest which easily allows comparisons.

The Hidden Slice mode shown below only displays the relevant slice of interest. You can also quickly step through or select any slice of interest which easily allows comparisons. This is similar to running one Monte Carlo analysis.

Click here to see the full set of results for the MACD system with a parametric sweep.

Click here to see the full set of results for the MACD with Survivorship bias free system with a parametric sweep.