Back-Testing Data Mining Results Using Monte Carlo Simulation
Writer: Hilmar Buchta
Technical Reviewer: Dana Cristofor
Published: January 2011
Applies to: SQL Server 2008, SQL Server 2008 R2
Summary: This community article describes how to perform a Monte Carlo simulation to back-test the results of data mining models. The article includes original code for generating the Monte Carlo simulation, as well as a detailed walkthrough of the validation process, and is accompanied by excellent graphics. The methodology is applicable to multiple versions of SQL Server Data Mining.