Portfolio Level Monte Carlo Analysis

Following up on the prior Strategy Stress Testing post: with the release of AmiBroker version 6.10.0 a new Monte Carlo mode has come available for simulating portfolio equity changes. Instead of randomizing the trade list, the new mode uses bar-per-bar percent equity changes at the portfolio level to generate permutations. Consequently cross-sectional correlations are preserved. According to AmiBroker’s developer, the new method is perfectly fine for multiple overlapped positions, provided the number of bar-per-bar equity changes is sufficiently large (> 100).

The portfolio level Monte Carlo simulation is controlled by a couple of new SetOption fields which allow for AFL implementation right into the strategy code:
The Monte Carlo Portfolio Analysis code is suitable for copy/paste inside a rotational model like the familair Simple GMR code attached to the prior Monte Carlo post. However, my preferred method is to save the code as a separate file for inclusion in strategy models by calling the #include command:

Lab Announcement

After spending ages on research a couple of exciting new developments will be published shorty:
  • Portfolio level Monte Carlo analysis
  • DIY global multi asset universe with 21 ETF-proxies covering a history of 45+ years
  • “One-Click” export from Excel to multiple csv (in R)
  • Enhanced c(r)ash protection routine for tactical investment strategies
  • Dual universe support for differentiation of risk-on and risk-off assets
  • Surveying volatility driven dynamic lookback indicators