Drawdown Monte Carlo Increase over time PROBLEM | Traders Hideout


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Drawdown Monte Carlo Increase over time PROBLEM

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Legendary Market Wizard
Switzerland
 
Trading Experience: Intermediate
Platform: Investor/RT
Broker/Data: IB / DTN
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Posts: 4,740 since Feb 2012
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Hi @Loop

You are tracking random numbers with Monte Carlo. Your found result is true when you play lotto
or other games with random data (as well as fix cost on every turn which deletes your account in
no time.
Systems for trading are different:
1) they should be optimized for letting winners run
but
2) should be optimized from market view to restrict losers to a minimum.
Therefore optimizing is the clue to prevent your account from dripping to zero.
This is a number crunching task.

To make it short: Trading does not show a random outcome like lotto et al.

Now: All my books on Monte Carlo from studies at University are not useful to predict trading results.

GFIs1

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