Drawdown Monte Carlo Increase over time PROBLEM | Traders Hideout


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Drawdown Monte Carlo Increase over time PROBLEM

  #4 (permalink)

Sydney
 
Trading Experience: Intermediate
Platform: Multichart
Favorite Futures: Gold
 
Posts: 26 since Aug 2016
Thanks: 22 given, 4 received

Not so random

Thank you for respond GFIs1

I am not tracking random numbers but draw from a given set of trades. This is best practice and accordance with, for example, the method used by Bandy in "Modeling Trading System Performance" or Tharp in his "definite guide to position sizing.." as well as many more.

The trades that are drawn are "optimized" for letting winners run. (Not in the sense of curve over fitting though..)

ATR trailing stop, percentage stop loss and more is used in all systems. Always.

I am afraid this might be a sad reality of trading systems.

And you might find those University books on Monte Carlo more useful than you wished for... There is no way to do a correct analysis of system performance and robustness without them!!

I was rather hoping someone have direct experience with this problem and have thoughts around it!!

Kind regards

Loop

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