I need an Excel VBA to perform repetitive Monte-Carlo analysis based on historical futures trading data. My futures systems back testing engine produces the following data ??" Trade Log, Equity Log, Annual Return, Max drawdown, length of max drawdown, win/loss %, average win, average loss, average win/risk, average loss/risk, etc. The Functions would include:
- The ability to grab and properly format historical flow data from different .txt and .csv formats (or whatever format is most conducive with the original futures trade and returns data in Excel)
- Ideally, this tool will account for any correlation between the original series of trades in the simulation runs
- Allow the user to select and define appropriate distributions based on the historical data (i.e. normal, lognormal, with the appropriate means, standard deviations etc.) using best fit methods, or to define their own distributions
- Run 1,000 to 10,000 simulations using those distributions with some graphical display.
Among the types of distributions I would like to see are:
- distribution of the length in days/months of the max drawdown
- distribution of the $ amount for the max drawdown
- distribution of the % amount of the max drawdown
- distribution of % of months profitable
- distribution of % of months not profitable
- distribution of strings of losing trades
- distribution of strings of losing months
- distribution of avg winning trade per risk %
- distribution of avg losing trade per risk %
- distribution of annual return %
- distribution of monthly return %
Idealy the bidder will have experience with Futures Systems Trading, Statistics and Monte-Carlo, Stochastic or Probabilistic Analysis and with Excel VBA.
The ultimate objective of the finished tool is to allow me to incorporating MCS into my analysis to help me determine whether my test results are just luck or if the strategy is truly viable. Also, if I begin trading the strategy, having the Monte Carlo simulation data would be a good benchmark to compare with actual results to determine if the system is performing as expected.
Please contact me if there are any questions. Any suggestions regarding the functionality of this project will be considered.
1) Complete and fully-functional working program(s) in executable form as well as complete source code of all work done.
2) Installation package that will install the software (in ready-to-run condition) on the platform(s) specified in this bid request.
3) Exclusive and complete copyrights to all work purchased. (No GPL, 3rd party components, etc. unless all copyright ramifications are explained AND AGREED TO by the buyer on the site).
Excel in Windows XP