Auto strategy performance - fit enough?
|January 12th, 2012, 02:59 PM||#21 (permalink)|
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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.
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