RINCONPAUL
01-03-2016, 11:25 PM
This first post is a 'fishing' exercise to hopefully receive some guidance. I'm OK with creating a monte carlo simulation in excel, on a set of data given an average and stdev, based on the past 3 years results for various data filters. Each data filter produces a sub total profit/loss cash flow for the given filter.
However these filters run concurrently but with different result frequencies. For instance one filter might have 3000 results, another 500 and so on. All at differing time intervals. If you assumed that as a testing model hypothesising about the future, you could assume that the frequency of results are in proportion 'count' wise, but spaced timewise randomly.
The aim of the exercise is to try and find out the possible combined cash flow drawdowns that could be experienced as a model running consecutive filters. Any suggestions on where to start appreciated.
Cheers
However these filters run concurrently but with different result frequencies. For instance one filter might have 3000 results, another 500 and so on. All at differing time intervals. If you assumed that as a testing model hypothesising about the future, you could assume that the frequency of results are in proportion 'count' wise, but spaced timewise randomly.
The aim of the exercise is to try and find out the possible combined cash flow drawdowns that could be experienced as a model running consecutive filters. Any suggestions on where to start appreciated.
Cheers