https://github.com/markcheno/dataprod-project

Course project for Developing Data Products
https://github.com/markcheno/dataprod-project

Last synced: over 1 year ago
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Course project for Developing Data Products

• Host: GitHub
• URL: https://github.com/markcheno/dataprod-project
• Owner: markcheno
• License: mit
• Created: 2015-01-23T01:53:18.000Z (over 11 years ago)
• Default Branch: master
• Last Pushed: 2015-01-25T14:10:02.000Z (over 11 years ago)
• Last Synced: 2024-04-15T03:56:00.729Z (about 2 years ago)
• Language: R
• Size: 137 KB
• Stars: 0
• Watchers: 3
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          


This Shiny application implements a Monte Carlo trading system simulator. You select various inputs

describing a trading system and it then simulates many potential outcomes. Finally, it calculates and displays a number of useful statistics about the outcomes. It is useful to get a feel for how a particular trading system may perform in the future.

Inputs:

- How many simulations to run - more simulations will give more accurate statistics

- Number of plots to display - number of plots to sample and display from the entire simulation

- Percentage of winning trades - how often your system expects to make a winning trade

- Average winning trade in dollars

- Average losing trade in dollars

- Number of trades to simulate

- Starting equity - the amount of cash the account starts with

Outputs:

- Line plot of simulated equity curves - since we can't display thousands of plots at once, we only sample and display a subset from the full simulation

- Histogram of probable system ending value in dollars - the average ending value is plotted in blue

- Histogram of probable maximum drawdown in dollars - the average maxdd is plotted in blue

- Various other useful statistics - minimum,maximum,average,standard deviation,confidence intervales,expectancy

Interesting things to try:

- Set the average win and loss the same and then see how the winning percentage effects the equity

- Set the average win to three times the average loss and then vary the winning percentage