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Monte Carlo

Posted: Mon Aug 18, 2008 9:26 am
by jsrudolph

I have a question regarding how the Monte Carlo is calculated. You mention in the user guide that often consecutive down days occur in greater frequency than a normal distrubution. When Trading Blox generates new equity curves does it model this tendency of markets?

(1) Also how does trading blox generate the different sequences of curves? In other words how does it reorder the original curve assuming it is sampling with replacement?

Posted: Mon Aug 18, 2008 9:39 am
by sluggo
Perhaps you will enjoy reading this post and its attachment: viewtopic.php?p=22068 . It discusses some of the goals and implementation tradeoffs in Equity Curve Resampling. I believe Blox's Monte Carlo package directly implements the algorithm discussed in Section VI (Figure 26).