run_monte_carlo_robustness_test
Run Monte Carlo simulations to test portfolio strategy robustness, generating confidence intervals and parameter sensitivity analysis to identify risks under market variability.
Instructions
Monte Carlo robustness testing for portfolio strategies with confidence intervals and parameter sensitivity analysis
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| symbols | Yes | Array of stock symbols for robustness testing | |
| strategy | Yes | Portfolio strategy to test for robustness | mean_variance |
| block_size | No | Block size for bootstrap sampling (days) | |
| num_simulations | No | Number of Monte Carlo simulations | |
| use_market_data | No | Use real market data for robustness testing | |
| confidence_level | No | Confidence level for intervals (e.g., 0.95 for 95%) | |
| parameter_perturbation | No | Parameter perturbation level (0-1 scale) |