Monte Carlo: Add parameters to filter out Monte Carlo Results
As with the stability score that shows how smooth an equity curve is, perhaps it would be beneficial to add filters based on the results of Monte Carlo simulations. A few that I can think of are:
1. Degree of spread between the simulations
2. % or # of simulations that end with -ve performance
3. Distribution of strategy with respect to the simulations e.g. is the strategy on the upper extreme of the simulations, or lower extreme, or in the middle.
4. Max DD, Max DD% of worst simulation result
Thanks!
Kim
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Votes +1
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Project StrategyQuant X
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Type Feature
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Status New
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Priority Normal
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Votes: +1
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