<- Back to Tasks

MonteCarlo results Vs. Random (Define Edge and Significance of our strategy)

An idea that was taken from BA and Videos from Martyn Tinsley (Darwinex) and Jeff Swanson And it was also mentioned in Market Wizards book,

The idea is to compare our Strategy's MC results (based on the sepecific MC method selected I.E. Trades, Retest \ Exect, Resampling) with an optional (if the user decide so) Random strategies based uppon all selected rules like entries and exits that are selected in the builder template.

Avoid curve fitting by comparing your strategy to randomly generated strategies.

SQX will develop thousands of random strategies based on Builder's chosen signals. The performance of these random strategies will be collected, and they act as a baseline helping you discern whether the generated strategy will perform better than random

If the strategy is based upon random chance (curve-fit), it will likely look indistinguishable from the other random strategies. However, if your strategy performs better than the thousands of random strategies, your strategy may possess some edge more significant than could be found by random chance.

This is a test from Jaffray Woodriff's chapter 5 in Hedge Fund Market Wizards.


This will define our strategy's Edge by comparing our Strategy's MC results which are based on our strategy, Vs Random results that are coming from other random strategies that SQX builder constructed based on our builder's template.

In short, The results should display both of the results specified above,
MC results & Random results inside a single X&Y window,
In order to differentiate both of the results, we will use the color Blue for the MC results and the color Red for the Random results.

Resources and some screenshots attached:



Attachments
IMG_20221030_114421.jpg
IMG_20221030_114421.jpg
(366.77 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

k
#1

Karish

30.10.2022 10:47

Task created

k
#2

Karish

30.10.2022 10:47
Voted for this task.
k
#3

Karish

30.10.2022 10:54

Just to clarify,


Each MC test and method that the user chosen to perform, there will be an optional selection to include the same number of random strategies as in the number of tests the user selected to perform.


Again, the Random strategies are just random strategies that are based on our Builder template settings setup.

CG
#4

Chris G

30.10.2022 12:37
Voted for this task.
Votes: +2

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please