Monte Carlo simulation

Hello everyone,

I have written a Monte Carlo simulation to see how different variables in the profile of a trading system play out in real life.

For every simulation I run 3 trades X 80 days = 240 simulations.

What I would like is to run this simulation 100 or even 1000 times and count the result for every single simulation and thus getting an average, maximum and minimum value.

It is primarily the value in cell B13 and secondarily B14 I am interested in.

I was thinking to maybe perform 100 simulations and record each result manually, but I could not copy and paste those cells for some reason.

Any ideas?

I attached the sheet.

Thanks in advance!

Best regards,

Elijah

No ideas?

Originally Posted by 6StringJazzer

Attached is a simple VBA solution. Make sure you allow macros to run when opening.

Press the button and then enter the number of iterations when prompted. Results are saved in the new worksheet "Runs".

You might want to think about building a histogram of the results instead of just min, avg, and max. Just a suggestion.

6StringJazzer,

I LOVE you!

That was truly beautiful. I just ran 1000 iterations and it was wonderful to sit back and enjoy what was unfolding in front of me

How advanced is it to make a macro like that?

I am clueless since I have never done any programming work, but I STRONGLY dislike getting stuff handed on a silver platter and not do it myself or at least be able to reproduce it.

Very good suggestion regarding presenting it as a histogram.

Thank you very much!

Best regards,

Elijah

Originally Posted by 6StringJazzer

If you press ALT+F11 you will get the development environment for VBA and can see the code. If you want a breakdown of how it works I can post a walkthrough.

If you have the time to do so, I would highly appreciate it, even though I`m leaning towards being content with my understanding as it is since I got a lot on my plate these days.

I have however run into a little discrepancy in the sheet you sent me, which is more important if you have the time.

The thing is that the formula I entered in cell B14 (Account balance after 28% taxes) is wrong. I should only pay taxes on capital gains and not the whole account. Thus, the correct formula should be something like this:

B14 = B13-((B13-B1)*0,28)

In the second sheet, "Runs", the values in column A and and column B does not seem to be related.

Is that because the code is not updated? Or is a simulation run independently for both these columns so that column B is not a function of column A as in the original sheet?

I hope that made sense. My eyes are barely open right now and my cognitive abilites seems clouded

Thank you once again, 6StringJazzer!

The sheet looks great. You are a saint!

I really appreciate the code, but at the moment I think it is a bit over my head and I should probably get an introductory textbook on the subject to start with.

Do you happen to know of any good material for getting started? Perhaps online?

Best regards,

Elijah