Unexpected results in portfolio MC for skip trades and randomize order together

Image titled 1.png looks as expected. Randomize trades order with method exact. Each iteration is completely different yet each of them ends at the exact same point. This looks correct.

Image titled 2.png looks as expected. Randomize trades order with method re-sample. Each iteration is completely different and since some of the trades are left out and some are included more than once we have different end points. This looks correct.

Image title 3.png looks as expected. Skip some trades. the order is not randomized so we can see the same rough equity curve. This looks correct.

Image title 4.png looks wrong. Skip some trades AND random order is selected. The trades should be random order and should have completely different equity curves but they do not. You can still see the same equity curve when both skip trades and randomize order are selected for a portfolio Monte-Carlo. This is a bug. The order is clearly not randomized when it should be randomized.

The report files are too large but here is a link:
https://1drv.ms/f/s!AmIAw-1nBHjgkbESeFLv2pPW91F2Jg
Attachments
4.png
(273.32 KiB)
2.png
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3.png
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1.png
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  • Votes 0
  • Project QuantAnalyzer
  • Type Bug
  • Status Fixed
  • Priority Low

History

b
#1

bentra

25.12.2019 00:59

Task created

TT
#2

Tamas

15.01.2020 13:57

Status changed from New to Fixed

You have absolutely right. Fixed!

Votes: 0

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