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@Intradaybill, you have a serious problem... I think, you don't understand the method. You can learn something reading Mandelbrot, Taleb, Jaeckel etc. or my own book concerning this topic: http://www.zentrader.de/html/monte_carlo_simulator1.html or you can read this free article...

@intradaybill, totally wrong, but what you want to believe - believe it. My explanation in my contributions before are 100% MCS methods! I'm surely not the leading expert in the world for this topic, but I've some successfull years of experience with MCS topics and you can further read...

@intradaybill, concerning the results you want to get from such a stress test (profit and DD expectations) it's the same whether you resample the single trades or you resample average trades, if you do a high number of simulation runs. If the model is correct, the quantity structure is the...

Hmm... ... when will you guys learn it??? For a MCS stress test you don't need the single trades sequence and randomize them. It's enough to have the system report results (trade ratio, pay-off ratio etc.) and you can simulate this system still having the same profit factor as before but...

@intradaybill, imho - that's not correct. MCS stresstests show the inherent (hidden) risk of a trading system/concept. That risk isn't visible with one and only historical test. Perhaps your "fund managers" laughed to loud some years ago, stumbling clueless in the big "financial crisis...

@abattia, monte carlo simulation stress tests are used to get better feeling for possible chances (profits) and draw downs (losses). Input data is a typical system test report of your system. Another way to use MCS methods is to generate "artificial" data (based on your original data) for...

@mc... perhaps you can ease your selection pain, if you first select the trading platform. If this platform has an easy but enough powerful script language (like Easy Language, Metastock Formula Language or others) that's a first step. If the platform uses not only a script language but a...

...there are several possibilities to get the MDK officially. http://go.metastock.com/forms/trial?whc=ZenTrader&pc=eq-ZenTrader (you have to go to their "partner btw. solutions for developers" page) The big advantage of Metastock is the ease-of-use and high quality of the tool for...

@goodgoing, hmm...who don't get the message? I've never said that I test stress test random systems. I test real systems (and the real generated system report results) and the MCS stress test shows their inherent possible behaviour under equal market conditions. Benefit of this is the...

@intradaybill, I use the MCS method in the trading system development process as shown below: http://www.zentrader.de/mcsprocess_e.pdf For me there are currently two valid benefits using MCS: a) to generate alternative test data (data preparation phase) b) to stress test the...

@intradaybill, the stress test via the system simulation method is based on the possible outcomes or trade sequences etc. So methodically you get a valuable DD estimation or risk estimation based on your available historical back tests or system reports (same market conditions!). You don't...

@goodgoing, in my opinion it depends on the specific properties of your system (or generated system report) how MCS stress tests differ from the historical test results concerning the max. draw down. Sometimes factor 2 isn't enough... :-) And it's always important to know that such...

Hi, "The Term Monte Carlo Simulation stands for the simulation of conceivable realistic scenarios by the generation of random-effected events" (page 13 from the book: Monte Carlo Simulation and System Trading) I wrote the book and you can find information and a free article concerning...

...you need only a few results of your "historical" system test and can do a stress test with a professional MCS software: http://www.elitetrader.com/vb/showthread.php?s=&postid=2578633&highlight=monte+carlo#post2578633 bye, Volker

...if you want to "stress test" your system you need only a few results from your historical systemtests like - number of price bars - number of trades - number of winning trades - number of losing trades - average profit of a (winning) trade - average loss of a(losing) trade You can...

e.g. http://www.adaptrade.com/ http://www.compuvision.com.au/ http://www.portfolioriskanalysis.com/ http://www.zentrader.de/html/monte_carlo_simulator1.html Compare the features and conditions and you'll find what you need... bye, Volker

...concerning Monte Carlo Simulation it's not enough to "stress test" your system test results ( = monte carlo system simulation). For a "state-of-art" backtest you should also be able to simulate data (= monte carlo data simulation) and test your setup against these additional artificial...

...for single user PCs there's a fast (free) alternative : SQLite I have played a little with SQL Lite and used it during a multi step analysis of price data sets in form of a so-called "in memory" or RAM database. You can try my Zen Analyzer v1.0 Freeware (implemented in PowerBasic - it's...

@Monty21, it depends what MC simulation you are looking for. If you will only "stress test" your system (so-called system simulation), you can use even Excel. The problem is the simulation speed. You can see a comparison on my website: http://www.zentrader.de/mcs_performance_e.pdf But...

@all, a link to my longterm price data converter freeware: Zen EOD/LongTerm Converter v1.0 http://www.zentrader.de/html/support1.html In addition to the intraday converter (see: http://www.elitetrader.com/vb/showthread.php?s=&threadid=153143) here's the possibility to use EOD data to...