Drawdown Monte Carlo Increase over time PROBLEM | Traders Hideout

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Drawdown Monte Carlo Increase over time PROBLEM

  #10 (permalink)

Boston, MA
Posts: 264 since Apr 2014

There is something I realized when running Monte Carlos...

For example, I'll put in my 100 trades that took place over a month's time, and let it run over 10,000 simulations. That's, effectively, 1,000,000 trades. *clucks*


Can a Monte Carlo simulate my bias on mechanical trading? Can the Monte Carlo simulate fear that makes us break our rules? Can a Monte Carlo follow our rules? It cannot do any of these things, and cannot do many other things we would need it to do to give us an accurate emulation of what may happen if we kept doing what we did, based upon our previous trades.

I like the Monte Carlo, but only so far. It is simply not a realistic view of what WE would do in the long run, over 1,000,000 trades.

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