www.zentrader.de

"Nothing is stronger than an idea whose time has come." (Victor Hugo)

The method of Monte Carlo Simulation is suitable very well for the chance evaluation, the risk analysis and the validation of trading systems.

Among other things I wrote a reference book to this topic, which is available in the bookselling either in german or english language and alternatively as eBook for Amazon Kindle, for Apple iPad and iPhone and other eReaders:

 “Monte Carlo Simulation and System Trading” or look here: abebooks.com
( english/US redaction: ISBN 9783839177846, eBook: ISBN 9783839177976 )

• Do you know the profit chances of your trading system?

• Even more important, are you able to estimate the possible risks?

• Any idea of the system behaviour under changed market conditions?

If you have answered only one of the questions with “No” you should read further...

With the Zen Monte Carlo Simulator I offer an effective, efficient and very low-priced software product, which allows the practical and easy use of the above mentioned method with high functionality.

An overview and technical information can be found in the Zen Monte Carlo Simulator Flyer, the use cases of the Monte Carlo Simulation method during the system development process are shown in the following process flow . Appliance and basics are described in this Traders’ (UK) article: Monte Carlo Simulation and System Trading

So the Zen Monte Carlo Simulator is an important additional tool for the normally used trading system development environments ( Metastock, Tradestation, Multicharts, NinjaTrader, Amibroker, Investox, NeoTicker, Omnitrader, eSignal, StrategyRunner, TradingBlox etc.) and for well-known trading platforms (like Metatrader, CFD & Futures Broker etc.).

In these two films the use of the software for system simulation and data simulation will be shown.

A well-documented example using the Zen Monte Carlo Simulator for the evaluation of trading systems can be found on this Norwegian website, which deals with trading and technical analysis topics:
www.stocktradersbulletin.com

Some numbers of the Zen Monte Carlo Simulator:

System simulation   max. number of trades for each simulation run 10,000 max. number of simulation runs 100,000 => max. number of simulated trades 1,000,000,000 Data simulation   max. number of price bar data records for each file 100,000 max. number of generated simulation files 100,000 number of data generation methods 16

Possible data formats needed for a data simulation are described in the table below:

Formats* Examples Ticker, D, O, H, L, C Dax,01/03/00,6961.72,7159.33,6720.87,6750.76 Ticker, P, D, O, H, L, C Dax,1,01/03/00,6961.72,7159.33,6720.87,6750.76 Ticker, D, T, O, H, L, C Dax,01/03/00,0900,6961.72,7159.33,6720.87,6750.76 Ticker, P, D, T, O, H, L, C Dax,1,01/03/00,0900,6961.72,7159.33,6720.87,6750.76

   ( * P = Period, D = Date, T = Time, O = Open, H = High, L = Low, C = Close)

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=> Which advantages does the Zen Monte Carlo Simulator have in relation to the competition?

1. With the implemented data simulation (“data scrambling”) functionality concerning the generation of synthetic price data on basis of original historical data (EOD, Intraday etc.) to simulate changed market conditions the product currently offers a worldwide unique selling proposition! Additional data converter tools (e.g. for Metatrader, Excel etc.) are available on request.

2. System simulations (stress tests) allow not only tests of self-developed systems independent from the used system development environment, but it is also possible to test purchase or subscription based trading systems, if the following input data is published: Check list for “Blackbox systems”. Furthermore the simulator is an extremely fast product, which e.g. makes possible the simulation of 10 million trades in only one second! (see performance comparisons )

3. The software solution is available as user-friendly “stand-alone” Windows program (english and german user interfaces), as well as a Windows “industry standard” DLL for the integration in existing solutions (e.g. MS Office Excel etc.).

Features:

• System simulation = stress tests of existing historical system and back tests

• up to 1,000,000,000 trades can be simulated with one Monte Carlo Simulation process

• extreme fast software product (10,000,000 trades will be simulated in ca. one second)

• all results will be calculated as "absolute" returns of the Monte Carlo Simulation and optional as "estimated" returns based on the "value-at-risk" method (VaR)

• chart of the distribution curve of profits and drawdowns resulting from all simulation runs

• optional documentation mode

• optional "strong" random numbers usable (PRNG approved by Diehard/ENT tests)
   

• Data simulation =  generation of synthetic price test data based on a original price data file concerning the simulation of different market conditions

• simulation of EOD (daily, weekly, monthly data etc.) and intraday data files possible

• different currency accuracies, decimal places (so also currency market data can be simulated)

• 16 methods of data generation with additional possibilities of using different parameters etc.

• data file analysis

• chart comparison of data files and time series

• optional intermarket mode

• optional "strong" random numbers usable (PRNG approved by Diehard/ENT tests)
   

• DLL: zenmcs50.dll is a fast and lean Win32 DLL component

• all DLLs are "thread safe" and "multi user" ready (for use on servers, web servers etc.)

• both, the system simulation functionality and the data simulation functionality will be supported using 27 DLL functions

• the DLLs are written in PowerBasic/Win and have dynamic strings as parameters, so that's not a problem for other software products to call these DLLs (tested with PowerBasic, Visual Basic, MS Office Excel (VBA), .NET, C/C++). Hint: C/C++ developers can use the BSTR data type functionality to call these components without problems.

• beside of the documentation (HTML help and PDF manual) there's a MS Office/Excel file with a sample application (VBA) and a DLL test application contained in the installation package of the product

• to generate “strong” random numbers there will be used optionally the external “hime.dll” library. More information see here: http://www.devotechs.com/
   

• GUI: the Windows GUI application fits to SVGA resolution (800x600) - so it’s also Netbook ready!

Free demo versions are available in the Support section (download area).

starting at €99... order now ! (Here you can find order and price information)

© Dipl.-Ing. Volker Butzlaff