Building Automated Trading Strategies October 2018 | Page 44

uncertainty affecting their value, and then determining the distribution of
their value over the range of resultant outcomes. This is usually done with the
help of stochastic asset models. The advantage of Monte Carlo methods over
other techniques increases as the dimensions (sources of uncertainty) of the
problem increase.
The Monte Carlo Walk-Forward Analysis
Monte Carlo Walk-Forward is a combination of walk-forward analysis and
Monte Carlo analysis.
Graph-3: Rolling Walk Forward Analysis
Platforms for Backtesting Trading Strategies
Different algorithmic strategies may require the use of different software
packages; these are some popular software solutions:
➢ MATLAB
➢ Python
➢ C++
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