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Search: Posts Made By: swz168
Forum: Trading Journals September 5th, 2013, 07:56 AM
Replies: 529
Views: 61,438
Posted By swz168
kevinkdog You are using WFO. In real...

kevinkdog

You are using WFO. In real trading, in which intervall (monthly, half yearly, yearly etc.) do you change and optimize your input variables for real trading? How do you determine the...
Forum: Trading Journals September 5th, 2013, 07:43 AM
Replies: 529
Views: 61,438
Posted By swz168
Correct. I don't have build in any constraints....

Correct. I don't have build in any constraints. As for Monte-Carlo-Simulation, I wouldn't want to build in a quit point., because then you say for yourself stop trading if you loose for example...
Forum: Trading Journals September 5th, 2013, 05:42 AM
Replies: 529
Views: 61,438
Posted By swz168
Above you already know, it is a discrete...

Above you already know, it is a discrete simulation.

To Complete: Here are the results using a fitted logistic distribution for 100 Trades (with 10.000 Iterations)

Minimum: -2.359
Maximum:...
Forum: Trading Journals September 4th, 2013, 12:54 PM
Replies: 529
Views: 61,438
Posted By swz168
That's tough to answer. It was a visual feeling....

That's tough to answer. It was a visual feeling. When you draw 50 trades from your data set and assume you don't have the whole data set, just the 50 trades. If you then plot for these 50 trades only...
Forum: Trading Journals September 4th, 2013, 09:39 AM
Replies: 529
Views: 61,438
Posted By swz168
Since your data includes 614 trades, I don't see...

Since your data includes 614 trades, I don't see any problem using a more "simple" simulation. Beside that we already talked about all the uncertainty and assumptions, so I would say that a simple...
Forum: Trading Journals September 4th, 2013, 04:12 AM
Replies: 529
Views: 61,438
Posted By swz168
Strange, at home I saw without problem the image...

Strange, at home I saw without problem the image with the numbers.
I will try to upload again later.

Edit: Updated Post# 99. Hope you can see the table now.
Forum: Trading Journals September 3rd, 2013, 07:23 PM
Replies: 529
Views: 61,438
Posted By swz168
A discrete distribution contains a finite number...

A discrete distribution contains a finite number of trades showing the profits or loss. Each trade can be drawn with equal probability. If you have no trade with, for example, 50 USD profit, then a...
Forum: Trading Journals September 3rd, 2013, 06:00 PM
Replies: 529
Views: 61,438
Posted By swz168
Totally agree. Especially in trading, prediction...

Totally agree. Especially in trading, prediction is very hard. Beside that, it is hard to know, how much curve fitted ones strategy is. So end values (equity) of simulations can be total garbage....
Forum: Trading Journals September 3rd, 2013, 05:29 PM
Replies: 529
Views: 61,438
Posted By swz168
Your assumptions are correct. I've corrected my...

Your assumptions are correct. I've corrected my text to: The probabilty that the drawdown is 39% or larger is 5%.

Since my simulation used a discrete distribution, the results shouldn't differ...
Forum: Trading Journals September 3rd, 2013, 04:28 PM
Replies: 529
Views: 61,438
Posted By swz168
If you search for an alternative for risk: I...

If you search for an alternative for risk:

I can recommend SimulAr. I think it is inspired by risk because the menu is designed very similar. It covers all basic functions and it is free (read the...
Forum: Trading Journals September 3rd, 2013, 04:21 PM
Replies: 529
Views: 61,438
Posted By swz168
I've done a Monte Carlo Simulation with the Data...

I've done a Monte Carlo Simulation with the Data Kevin provided me.

I'm currently building up my own Monte-Carlo-Risk model for trading. Currently, I can only provide the metrics below. As...
Forum: Trading Journals August 30th, 2013, 05:43 PM
Replies: 529
Views: 61,438
Posted By swz168
Puuh, I'm relieved. The world is normal again :) ...

Puuh, I'm relieved. The world is normal again :)

In Backtest/Optimization or Simulation, in generally I don't use position sizing. Just fixed contracts. Otherwise, some metrics like "minimum...
Forum: Trading Journals August 30th, 2013, 09:55 AM
Replies: 529
Views: 61,438
Posted By swz168
When I had a crash course in Monte Carlo...

When I had a crash course in Monte Carlo simulation, I learned from a professor that the distribution of profit/loss is not normal distributed in the financial market. But the outcome (equity) is...
Forum: Trading Journals August 30th, 2013, 09:47 AM
Replies: 529
Views: 61,438
Posted By swz168
Ok, my bad. While I quickly went through this...

Ok, my bad. While I quickly went through this thread, I read "z-Value". So I thought you used normal distribution. I checked your VBA code now. Indeed, you are not making the normal distribution...
Forum: Trading Journals August 30th, 2013, 04:23 AM
Replies: 529
Views: 61,438
Posted By swz168
Yes, I also think the process of designing a...

Yes, I also think the process of designing a strategy is very important. E.g. avoid curve fitting. I try to have as few rules as possible and I always focus on the KISS rule.

But for the...
Forum: Trading Journals August 30th, 2013, 01:26 AM
Replies: 529
Views: 61,438
Posted By swz168
What timeframe are you trading? Yes I think...

What timeframe are you trading?

Yes I think you have missed something:

I saw in previous posts that you are using Monte Carlo Simulation. The way you applied it, it is the most simple version....
Forum: Trading Journals August 29th, 2013, 03:25 PM
Replies: 529
Views: 61,438
Posted By swz168
Many traders say: Keep it simple. Often simple...

Many traders say: Keep it simple. Often simple strategies tend to be stable and profitable in the long run.

Similar to trading software: Sometimes less is more. Why buy those expensive instutional...
Forum: Trading Journals August 29th, 2013, 03:12 PM
Replies: 529
Views: 61,438
Posted By swz168
Thanks for naming those tools. (I know you...

Thanks for naming those tools. (I know you deleted the name after edit, so I let them here out too)



Drastic example. 100% agree.

But we were comparing a 1000 $ tool to maybe 10000-100000...
Forum: Trading Journals August 29th, 2013, 01:47 PM
Replies: 529
Views: 61,438
Posted By swz168
I think what makes the trader successful is not...

I think what makes the trader successful is not the tool, but the skills of the trader. The tool is just a "helper". He can be also very succesful with tools that cost nothing.
Forum: Trading Journals August 29th, 2013, 01:43 PM
Replies: 529
Views: 61,438
Posted By swz168
Thanks for your post. Now I'm really curious what...

Thanks for your post. Now I'm really curious what tools there are which costs more than NT and what value they have. Would be glad to have more details.

I agree that tools can create more...
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