MonteCarlo - Randomize History Data (New ways!)

MonteCarlo - Randomize History Data

First of all i dont know how exactly does this feature in MonteCarlo works,
Does it randomly simulates based on what ATR period?,

What is the Probability for? i set it to 100% all the time because i want to see random 60% of ATR changes. thats all, so i dont know why should we set the probability to any other number and why it exist..,

Anyway, please check the screenshot attached to see what the ideas are,

I'm in for both versions to be implemented and for the user to be able to choose what form of test he wants to perform.
Attachments
MC IDEAs.png
(46.12 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

k
#1

Karish

30.09.2020 17:54

Task created

k
#2

Karish

30.09.2020 17:54
Voted for this task.
k
#3

Karish

30.09.2020 17:58

I wanted to point out that on Version 2 of the right sided screenshot the 60% for that example would not only be +60% but 60% means 200 random simulations of +60% & -60% of those points.


Thanks.

JK
#4

Insanity82007

30.09.2020 23:49
Voted for this task.
JK
#5

Insanity82007

01.10.2020 00:15

Attachment Probability.png added

Attachment M5.png added

M5.png
(133.30 KiB)
Probability.png
(135.35 KiB)
Probability is important for higher timeframes where there are far smaller differences compared to lower timeframes.


Attached is a comparison between FCXM and Oanda on H4 timeframe (highlighted with arrows). Full bars are FCXM and superimposed hollow bars are Oanda. 


I've also attached an image with M5 (without arrows) that shows far more bars with a lot more differences.


I've also checked the wicks, but these are very hard to display in a screenshot, but they are almost identical on higher timeframes with a lot more volatility on lower timeframes.


Interestingly though on the lower timeframes, while I was scanning the wicks through historical data, I found that during peak trading (London / NY for FX) that bars and wicks were nearly all identical and that most of the variances occurred during off peak trading.

JH
#6

Jabezz

03.10.2020 12:41
Voted for this task.
MF
#7

Mark Fric

14.10.2020 14:59

Status changed from New to Refused

ATR period is fixed to 14, Probability is used to evaluate if we should change the given price (O,H,L,C).

If you'll set it to less than 100% then the given price will be not changed.


The only thing you propose is to set range independently for O,H,L,C, I don't see it being that useful. 





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