3) Performing Optimisation and Mitigation on Monte Carlo Simulation Data.

This Blog entry is from the Monte Carlo Model section in Learn Palisade.

To Optimise and Mitigate we will need to review the Simulation Data.  Click on the Excel Reports button, then select Simulation Data (Combined):


On clicking OK a new spreadsheet will be created which will show each simulation:

Owing to this spreadsheet showing the inputs and the output for each simulation we are able to filter to identify optimal and \ or troublesome scenarios.  In this example the filter will be for all records where the forecast is less than -0.7, being a high move:


Using Summary Statistics we are now able to identify the scenario that would cause a high move which can be compared with other scenarios. 

In the below example we can infer that the average skew for an optimal trade would be -23 vs the more typical value of -8 which would include losing trades.


It follows that in terms of optimisation we may determine to focus on trades where the skew is more pronounced.