Does anyone have any good links (or even ideas) on how do do Monte > Carlo setups in Calc? I cannot find any. Everything in Google seems to > point to Excel and there you generally need to use some plugin that > costs money and doesn't do everything I want to do anyway. > > I have two models I want to investigate: > > 1) A series of futures trades randomized say 500 times. In each > experiment I want to collect some statistics - for instance the number > of losing trades in a row, the dollar value of the worst drawdown. > This could be done in Excel if I spent some money for a tool or > learned to write VBS or something like that. > > 2) The second is the same as the first except I have 10 sets of trades > from different systems that run over the same time period. (1/1/2000 > to present) I would like to do a Monte Carlo on them date wise, > keeping the trades from all systems consistent by date. I.e. - if the > experiment selected say 3/5/2006 as the next date in the experiment > then I want to choose the trades for all 10 systems on that date. I'm > thinking I could do this using some sort of VLOOKUP into the data and > use dates as the thing the Monte Carlo was randomizing. > > Anyway, just curious if anyone has done this using Calc before I give > up and go to the Dark Side once again. There's no huge rush on this so > if someone has an interest and wants to work on developing the ideas I > have some time. > > Cheers, > Mark > > ------
There is no current support for monte carlo simulations in calc. Few years ago there was a proposal to add them in but I don't believe it went anywhere. /paul -- Bill Cosby <http://www.brainyquote.com/quotes/authors/b/bill_cosby.html> - "A word to the wise ain't necessary - it's the stupid ones that need the advice."
