- Joined
- 2/15/14
- Messages
- 1
- Points
- 11
Hello
I have a question regarding the calculation of the Sortino Ratio in a Monte-Carlo (MC) simulation environment. A quick explanation of my current setup: I am conducting a MC simulation of 250 days over 1000 different paths. I am testing a strategy, that is investing between a risky asset and a riskless one, depending on the strategy parameters and the current state of the market. I am conducting up to 40 different MC runs with increasing values for a trading filter and a multiplier value which increasing the percentage of investment in the risky asset.
I want to create a graphical surface that shows how the values of the Sortino ratio changes along increasing trading filter and increasing multiplier. The graphic is supposed to show the sortino ratios on the z axis, the trading filter values on the y axis and the multiplier on the x axis.
Now, I wanted to calculate all Sortino ratio for each of the 1000 paths under each different trading filter and multiplier setup. Then, I wanted to cumulate these sortino ratios to one average value for that specific trading filter and multiplier setup. These average value will be displayed in the surface figure. Is the averaging of sortino ratios legit?
I also wanted to do the same procedure for omega ratios and upside ratios ...
Best regards
I have a question regarding the calculation of the Sortino Ratio in a Monte-Carlo (MC) simulation environment. A quick explanation of my current setup: I am conducting a MC simulation of 250 days over 1000 different paths. I am testing a strategy, that is investing between a risky asset and a riskless one, depending on the strategy parameters and the current state of the market. I am conducting up to 40 different MC runs with increasing values for a trading filter and a multiplier value which increasing the percentage of investment in the risky asset.
I want to create a graphical surface that shows how the values of the Sortino ratio changes along increasing trading filter and increasing multiplier. The graphic is supposed to show the sortino ratios on the z axis, the trading filter values on the y axis and the multiplier on the x axis.
Now, I wanted to calculate all Sortino ratio for each of the 1000 paths under each different trading filter and multiplier setup. Then, I wanted to cumulate these sortino ratios to one average value for that specific trading filter and multiplier setup. These average value will be displayed in the surface figure. Is the averaging of sortino ratios legit?
I also wanted to do the same procedure for omega ratios and upside ratios ...
Best regards