Ultimate Algorithmic Trading System

Monte Carlo Analysis
# Monte Carlo Analysis
322
PYTHON SYSTEM BACKTESTER
mcTradeTuple = list()
for x in range(0,5): # number of alternate histories
for y in range(0,len(tradeTuple)):
randomTradeNum = random.randint(0,
len(tradeTuple)-1)
mcTradeTuple += ((x,y,
tradeTuple[randomTradeNum][1],
tradeTuple[randomTradeNum][0]),)
mcTradeResultsTuple = list()
whichAlt = -1
for x in range(0,len(mcTradeTuple)):
if mcTradeTuple[x][1]==0:
print(’New Alternate History Generated’)
cumEquity = 0
maxTradeDD = -99999999
maxCumEquity = 0
cumEquity += mcTradeTuple[x][2]
print(’Randomized trade listing : ’,
mcTradeTuple[x][3],’ ’,mcTradeTuple[x][2])
maxCumEquity = max(maxCumEquity,cumEquity)
maxTradeDD = max(maxTradeDD,maxCumEquity - cumEquity)
if mcTradeTuple[x][1] == len(tradeTuple)-1 :
mcTradeResultsTuple += ((cumEquity,maxTradeDD,
cumEquity/len(tradeTuple)),)
for x in range(0,len(mcTradeResultsTuple)):
mcCumEquity = mcTradeResultsTuple[x][0]
mcMaxDD = mcTradeResultsTuple[x][1]
mcAvgTrd = mcTradeResultsTuple[x][2]
print(’Alt history %5d Profit: %10d MaxDD:
%10d Avg Trade %6d\n’ % (x,mcCumEquity,
mcMaxDD,mcAvgTrd))
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