Monte Carlo Simulation & Mechanical Trading Systems



the topical available professional software packages for development and backtest of mechanical trading systems like Metastock, Amibroker, Tradestation etc. generally lack of "monte carlo simulation"...

I've developed a little tool which adds this functionality to my development process (which is based on using Metastock EOD):

There a two main areas, where "Zen Monte Carlo Simulator v3" can help:

1. data simulation
Zen MCS v3 has the possibility to generate additional random data sets (OHLC data) based on one existing orignial source file. So a following system test with Metastock or other known software tools can not only be validated thru the one and only original data rows but thru a lot of more random generated data rows. So, exaggerated "curve fitting" and "over optimization" can be reduced or avoided!

2. system simulation
Zen MCS v3 simulates life cycles of existing tradings systems (based on the system test reports of metastock or others), shows profit ranges, estimated profits, drawdown ranges and estimated account drawdown. Chaces and risks of a system can so better be analyzed and estimated than thru a single system report !

There are commercial versions ( and freeware versions ( of this software available.

A short explanation of the whole idea is shown here:

Perhaps the tools can help you a little bit during your system development efforts concerning mechanical trading systems!

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