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 Forums ›› Technically Speaking ›› Technical Analysis ›› Using YASAI for Monte Carlo

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 feng456   Registered: May 2010 Posts: 266 12-27-11 11:57 PM ok im trying to figure out how to do monte carlo analysis... lets say i have the following: Jan 2011 5 pts -5 5 -5 5 5 Total: 10 pts Feb 2011 5 pts -5 5 5 Total: 10 pts March 2011 5 -5 -5 -5 -5 Total: -15 pts how would i use YASAI to run monte carlo on this? Edit/Delete • Quote • Complain
 abattia   Registered: Dec 2008 Posts: 983 12-28-11 07:25 AM I would do this as follows (there may be other ways to do it, too)… Your example has 15 trades; 8 winners (each @ +5); 7 losers (each @ -5) -> Prob of winning = 8/15 [BTW, Feb total is +15 pts, not +10 pts] Your worksheet needs 4 columns Column A Cell A1: “Trade” Cell A2: 1 Cell A3: 2 Cell A4: 3 . . Cell A16: 15 Column B Cell B1: “Won/Lost” Cell B2: =genBinomial(1,8/15) Cell B3: =genBinomial(1,8/15) . . Cell B16: =genBinomial(1,8/15) Column C Cell C1: “PnL” Cell C2: =if(B2=1,5,-5) Cell C3: =if(B3=1,5,-5) . . Cell C16: =if(B16=1,5,-5) Column D Cell D1: “Total PnL” Cell D2: =simOutput(SUM(C2:C16)) Now run the sim, and your results will be on a new tab. Edit/Delete • Quote • Complain
 feng456   Registered: May 2010 Posts: 266 12-28-11 04:25 PM Thank you very very much! Edit/Delete • Quote • Complain
 abattia   Registered: Dec 2008 Posts: 983 12-30-11 10:59 AM feng456 wrote on 12-29-11 11:25 PM: hey thanks for your help with YASAI. I am wondering how I would do my PnL if it's not just +5 / -5 (like with only 2 possibilities) but the target always changed depending on the trade? so if i had -5 -5 2 6 9 1 -5 how would i do the PnL for it for column C per your example? thanks Your worksheet needs 6 columns Column A Cell A1: =“Historical Trade” Cell A2: =1 Cell A3: =2 . . Cell A8: =7 Column B Cell B1: =“Historical PnL” Cell B2: =-5 Cell B3: =-5 Cell B4: =2 . . Cell B8: =-5 Column C Cell C1: =“Historical Frequency” Cell C2: =1/7 Cell C3: =1/7 . . Cell C8: =1/7 Column D Cell D1: =“Simulated Trade” Cell D2: =1 Cell D3: =2 Cell D4: =3 . . Cell D8: =8 Column E Cell E1: =“Simulated PnL” Cell E2: =genTable(B\$2:B\$8,C\$2:C\$8) Cell E3: =genTable(B\$2:B\$8,C\$2:C\$8) . . Cell E8: = genTable(B\$2:B\$8,C\$2:C\$8) Column F Cell F1: =“Total Simulated PnL” Cell F2: =simOutput(SUM(E2:E8)) Now run the sim, and your results will be on a new tab. Edit/Delete • Quote • Complain
 feng456   Registered: May 2010 Posts: 266 12-30-11 03:02 PM Thanks very much again. I did try to do it first but nothing came up because well it was totally wrong. Edit/Delete • Quote • Complain
 abattia   Registered: Dec 2008 Posts: 983 12-31-11 07:41 AM feng456 wrote on 12-31-11 12:56 AM: i just used the formulas you gave me and it didnt work. there was no distribution and no chart at all. i checked to make sure i followed your instructions exact It's working for me. Not sure what you are doing differently... a) NB - content of cell D8 should be 7 (not 8, as I wrote), but that shouldn't make a difference to your simulation b) check again Columns B, C, E & F against what I wrote; the problem will lie somewhere there, I suspect Good luck! Hope you can sort it out! Edit/Delete • Quote • Complain
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