Good Monte Carlo simulator

Discussion in 'Risk Management' started by hlpsg, Jul 28, 2008.

  1. hlpsg


    Does anyone know of a good, free if possible, Monte Carlo simulator? A standalone one would be preferred.

    I found one, from NeoTicker, called Equity Monaco. It's quite nice but the documentation is very weak.

    If anyone knows of a better one, pls let me know, thanks.
  2. dont



    But it only works with Excel and its not free.
  3. rosy2


    excel. you just need a random function.
  4. Where to get a random function for excel ?
  5. dont


    the random number generator in Excel is crap search for ntrandom it will give you a decent generator for excel
  6. Xuanxue


    I'll echo what everyone here said: excel's your best bet but excel's stand-alone functions suck. lol You need an excel add on, and this will likely give you the flexibility to calculate anything you'll ever need:

    Excel plus the add on is a far cry from free but then if the math were anywhere near being reliable there'ld be a price tag on it. Right? Right.

  7. ...look here:

    Its my own product and not for free, but low cost...

    You have two essential advantages concerning the competition: the product is lightning fast (forget Excel) and it has not only the usual system simulation functions, but also data simulation functions!

  8. hlpsg


    Everyone, thanks so much for the recommendations.

    I looked through all the recommendataions, and apologise that I wasn't clear on what I was looking for.

    I actually want a Monte Carlo simulation that I can also experiment with various position sizing strategies to look at the probable outcomes.

    The software should be able to chart the probability distribution of profits, losses, max drawdowns, largest sequence of winning trades, largest sequence of losing trades etc.

    It can take input on results of past real trades, or use some probability distribution to generate the wins/losses.

    Ideally the package includes the standard position sizing methods known, ie. fixed fractional, fixed ratio, etc. and possibly allow you to program your own position sizing algorithm.

    I believe system traders would be very familiar with this kind of software? What's the accepted "standard" to use, out there?

    Thank you!
    #10     Jul 30, 2008