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Monte Carlo Worksheet - Predict Worst Case Drawdown
Yes, check in the webinar section and look for "monte carlo". You will find a great webinar by Kevin Davey on the subject, with also links to his own free spreadsheet.
Yes, I used the Monte Carlo worksheet. Thanks to Kevin for the free worksheet.
My risk tolerance is less than the Monte Carlo predicted. So, following the advice of an old trader, I created my own worksheet to test draw downs after:
10 consecutive losses
Every other trade as a loss (for 30 trades)
2 out of three trade losses (for 30 trades)
The conclusion that I reached was much more conservative than the Monte Carlo.
Because I trade multiple contracts, I can find a scale back ratio that will bring me to down to a low enough number of contracts that the margin can survive a worst-worst case scenario and still have a remainder to continue trading.
In hind sight I don't think I would execute the last trade in any of the scenarios above.
