Amibroker Q & A: How To Do A Monte Carlo Test? (on ALL versions)

Amibroker Q & A: How To Do A Monte Carlo Test?

When I created the free Amibroker Course at ASX Market Watch a while ago, many people caught up with me via comments at the site, on Twitter and on YouTube asking for ways to do certain things.  While I can’t answer every question, this series of videos will answer the ones that get asked most frequently or that could have a big impact to others creating their trading system with Amibroker as well.

I’m just a normal guy, with no programming experience, who tries to figure this stuff out for my own benefit and others.  I figure “if I can do it, then others can definitely do it”.

This question comes from ASX Market Watch commenter Andrew, who asks:

  • Hi Dave, is there any chance you can show how to do a Monte Carlo test?  Thanks, Andrew.

Monte Carlo comment

A great question, and one I admit I’ve been sitting on for a while.

Amibroker recently included Monte Carlo testing in the latest version of their program.  I don’t have this, so I am going to show you how to do a Monte Carlo on ANY version, especially previous versions, of Amibroker using just a tiny bit of Amibroker Formula Language (AFL).

In the video after this, I will also show an amazing way to visualise this data, using Microsoft Excel.  We’ll create a Histogram that can show us the minimum return and maximum return, and the most common (mode) return.

We’ll also create a Scatter Plot, that shows the average annual returns versus the maximum drawdowns.  Really great stuff to see at a glance using charts!

Happy trending,

Dave McLachlan

November 15, 2015  Tags: , , , , , ,   Posted in: Amibroker Q & A

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