Monte Carlo

[Pro_Trader720]

I'm trying to find software to run monte carlo's on my tradestation strategies. Anyone recommend anything in particular?

 

[stephencrowley]

I use matlab for all that kind of stuff.

 

[Pro_Trader720]

I have been looking into matlab a lot. What is the learning curve like? I'm pretty experienced in VB, TradeStation, C++, etc.

 

[stephencrowley]

It's just like picking up any other language. It has a lot of quirks. It is usually quite hard to learn by example because most matlab code out there is quite dirty and poorly commented.. after using it for about a year I am pretty profecient but I never bought any books on it or anything. The integrated debugger is decent and provides most of the standard stuff.

 

[horribilicus]

This package includes Monte Carlo.

http://unicorn.us.com/trading/prosizer.html

http://www.elitetrader.com/vb/showthread.php?threadid=37327&goto=nextnewest

 

[riskarb]

Quote from horribilicus:

This package includes Monte Carlo.

http://unicorn.us.com/trading/prosizer.html

http://www.elitetrader.com/vb/showthread.php?threadid=37327&goto=nextnewest

I know the guy who wrote it, good stuff.

 

[Pro_Trader720]

Quote from horribilicus:

This package includes Monte Carlo.

http://unicorn.us.com/trading/prosizer.html

http://www.elitetrader.com/vb/showthread.php?threadid=37327&goto=nextnewest

the first link doesn't work!

 

[ozzy]

What version of Matlab are you guys using. It's been a while since I used it. Also are the add-ons extra, anything I need to get?

Thanks.

 

[gwb-trading]

Another option is..

http://www.tradelabstrategies.com/


They also have a no cost book about Monte Carlo on their site.


- Greg

 

[ozzy]

Someone throw me a bone. I want to learn.

** Is there a toolbox I need to get?
** Is Matlab talking to your broker/exchange. What are the pro's/con's of matlab?
** Is Matlab mainly for high frequency trading

If someone doesn't mind, a paragraph regarding the plusses of using matlab would really help.

Thanks.
ozzy