Hi all,

I´ve just raised a question about the built-in Monte-Carlo Optimizer which comes with WLD 6.5.
Has anybody an idea how the settings "Number of Runs" and "Number of Tests in each Run" correspond to each other ?

Ok, I´m aware, it´s standard Monte Carlo method, but what are the optimal settings, how Runs and Tests are balanced with portfolio selection and parameter combinations? What are Runs compared to Tests?

As there are no hints in the documentation, neither in the forum - does anybody know more details?

Many thanks in advance,
best regards

Hi,
Quoting the Wealth-Lab User Guide > Strategy Window > Optimization > Optimization Control:

QUOTE:
Set a number of Runs and a number of Tests per Run. During each optimization pass, the optimizer tries a different set of random parameters for each run, remembering the values that maximize the chosen metric as it continues.

Runs
Controls the number of times that the MC optimizer shrinks the parameter windows to re-center them around the resultant closest-to-optimal value.

Test per Run
Controls the number of random tests within each Pass without shrinking or moving the windows.

Assume that you have chosen "Profit" to be maximized. At the start of each pass, the range of random values is decreased and centered on the most profitable value determined in the previous pass. The Monte Carlo Optimizer keeps shrinking the parameter windows as it proceeds, until it winds up centered on a set of values that maximize the targeted metric.

Got it - thanks & sorry.

Eugene, just a short other question - is it possible to run more than one instances of WL (with one single license) on the same PC/Server in order to balance the utilization of the cpu-cores more properly and came faster to backtest results?

It is possible by running several copies of Wealth-Lab 6 under different Windows user names.

Unfortunately, it's been determined that using runas.exe with admin rights and proper switches for this purpose is not going to work.