Drawdown Monte Carlo Increase over time PROBLEM | Traders Hideout


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Drawdown Monte Carlo Increase over time PROBLEM

  #11 (permalink)

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

MC

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,

...
The purpose of the MC simulation is to see possible outcomes and Drawdowns given that the future of your system follows the same cumulative frequency distribution your past trades has. It means that your system has to be stationary in a mathematical sense.

A first step after back testing is to do forward walking testing and do same MC on this. Then you can use real trades and see if the system is broken and should be stopped.

Its all math analysis of the system you use.

If you change system or break its rules any MC analysis is of course meaningless.

All very well explain in Howard Bandys books!!

Loop

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