sharavsambuu / synthetic-equities

Financial equity performance generation using Monte Carlo simulation and associated metric extraction.

synthetic-prices

Synthetic financial equity generation using Monte-Carlo simulation

Todos

DONE Define drawdown percentage to be considered as ruined
DONE Generate Monte Carlo paths and calculate probability of risk of ruining
DONE Extract Probabilistic Sharpe Ratio from each simulation
DONE Extract Deflated Sharpe Ratio from all simulation
DONE Generate 1 and 2 sigma probability cones for some confidence threshold

steps to install some stuffs

virtualenv -p python3.9 env && source env/bin/activate
pip install -r requirements.txt
pip install "git+https://github.com/richmanbtc/crypto_data_fetcher.git@v0.0.18#egg=crypto_data_fetcher"
pip install TA-lib --no-binary TA-lib

run some streamlit based stuffs

streamlit run monte_carlo_equity_streamlit_single.py

Resources and references

- How do traders use Monte-Carlo simulations
    https://www.youtube.com/watch?v=yihYxhYp-DM

- Andrea Unger podcast
    https://open.spotify.com/episode/5EoE2rPlJs8pIxsnEh1BRb

- Improving Your Algo Trading By Using Monte Carlo Simulation and Probability Cones
    https://kjtradingsystems.com/monte-carlo-probability-cones.html 

- How to detect when a strategy is failing - Kevin Davey, Better System Trader
    https://www.youtube.com/watch?v=_dMbZfALIAQ

- Probability cones related references
    How to use Probability Cones indicator in TradingView
    https://www.youtube.com/watch?v=sKTjxkYA3UU
    https://www.tradingview.com/script/Cp49eQt5-Probability-Cones/
    https://www.bausbenchmarks.com/indicators/probability-cones

- Probabilistic Sharpe Ratio
    https://quantdare.com/probabilistic-sharpe-ratio/
    https://portfoliooptimizer.io/blog/the-probabilistic-sharpe-ratio-hypothesis-testing-and-minimum-track-record-length-for-the-difference-of-sharpe-ratios/
    https://stockviz.biz/2020/05/23/probabilistic-sharpe-ratio/
    https://www.youtube.com/watch?v=yKPNjru2Ry4

- Deflated Sharpe Ratio
    https://quantdare.com/deflated-sharpe-ratio-how-to-avoid-been-fooled-by-randomness/
    https://github.com/rubenbriones/Probabilistic-Sharpe-Ratio

Screenshots