The problem is that Strategy Analyzer treats each of these 5 instruments as their own individual trade, which usually isn’t a problem. However, my Monte Carlo simulation results seem to be too consistent and too good to be true. I suspect that it might be randomizing each individual trade, and not randomizing the basket of 5 instruments together, which could yield a very different result. Since my strategy is strictly intraday trades only, it would make the most sense to randomize the daily profit/loss returns.
Can you shed some light on how Monte Carlo simulation randomizes a multi instrument strategy? Is it each trade, irrespective of the other instruments in the multi instrument strategy?
Thanks,
Sam
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