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Auto strategy performance - fit enough?
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Auto strategy performance - fit enough?

  #21 (permalink)
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petrmac View Post
The strategy takes into account the risk and adjusts the position size to it (2% rule each entry).
So I am wondering how to proceed in the MC analysis to have some meaningful results.
The start starts with 3 targets = 3 contracts (or the multiple of it based on total risk per entry) and ends with 3 targets = 10 or more contracts in some situations.

The results of the backrest are essentially money managed and risk managed. This is not just simple bot, that places order at some indicator trigger.

So in which mode do you suggest to run the MC?

-1000 iterations
-100 samples or more (I can easily put more there) - but here is the question whether it should be just random fraction of the entries or all of them
-now the the money management or fixed position size mode?


the previous picture is run with the money management mode.

Money management mode is the right one in this case.

100 sample trades is ok i think, although i'd run the same with another set of 100 sample trades.
A random fraction has got advantages and disadvantages. By putting in a random but underperforming sample you simulate extending periods of difficult market conditions.

The important thing here is first and foremost how drawdown in the backtest compares to drawdown in the MC.


Vvhg


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