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Taking a Trading System Live
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Taking a Trading System Live

  #121 (permalink)
Elite Member
Toronto, CA
 
Futures Experience: Intermediate
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Favorite Futures: YM, ES
 
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kevinkdog View Post
Can you explain your chart a bit more? I don't quite understand:

1. why your average line is zero (edit: OK, it is not, it is just small)

2. what the Total Monte Carlo line represents

3. your SimTrade are your actual simulated results, correct?

4. For the std dev lines, I believe it is not a linear function (mean + X * stdev) where X is the number of trades. It should be square root of X. Unless your calculating something else.


Thanks for sharing!

1. yes, it was small, about $9
2. Randomly selected from the list of 97 actual trades
3. for simtrades i have used function that gives normally distributed value for given mean and stddev
4. need to check book on statistics


Last edited by record100; September 6th, 2013 at 12:51 PM.
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  #122 (permalink)
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Value of Monte Carlo Simulations

Updated chart: mean +x^0.5*stddev

Attached Thumbnails
Taking a Trading System Live-pict3.png  

Last edited by record100; September 6th, 2013 at 01:04 PM.
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  #123 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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record100 View Post
1. yes, it was small, about $9
2. Randomly selected from the list of 97 actual trades
3. for simtrades i have used function that gives normally distributed value for given mean and stddev
4. need to check book on statistics


I still don't understand 2 & 3, but you do, so that is all that matters. I think tracking a strategy the way you are doing is a very good thing to do.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #124 (permalink)
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kevinkdog View Post
I still don't understand 2 & 3, but you do, so that is all that matters. I think tracking a strategy the way you are doing is a very good thing to do.

I am new to Monte Carlo simulations, so please correct me if I am wrong. For the Monte Carlo simulation, system 5000 times randomly selected 20 trades from the list of 97 trades. On the chart one of the selection is displayed and called Monte carlo simulation. I have created this chart to visualize how one of the paticulare equity curve placed between boundaries provided by normal distribution formula.

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  #125 (permalink)
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record100 View Post
I am new to Monte Carlo simulations, so please correct me if I am wrong. For the Monte Carlo simulation, system 5000 times randomly selected 20 trades from the list of 97 trades. On the chart one of the selection is displayed and called Monte carlo simulation. I have created this chart to visualize how one of the paticulare equity curve placed between boundaries provided by normal distribution formula.

Gotcha, you have shown 1 of the 5000 possible equity curves from your simulation. I'm not sure how you picked that one. Does it give you any information, as opposed to picking a different one of the 5000 possible?

Everything else makes sense - your average line, your upper and lower bounds, and your results line. That is what I usually show on my tracking sheet (although I use the sim results instead of the std dev results).

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  #126 (permalink)
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record100 View Post
Updated chart: mean +x^0.5*stddev

What I always find interesting when doing this exercise is the bottom std dev curve. In this case, it is saying that even after 20 trades, there is a significant chance (16%) that you will have a $600 or greater loss.

Most people, I would imagine, would quit any system after 20 trades if it had lost $600. But, that is how the system COULD perform - and it is a long term winning system (+$9 per trade).

My point is most people give up on a system before giving the long term averages to work out, and make the system profitable. Most people need to see profit from the start (they think "I should be profitable right away, since my system is historically profitable!"). This exercise shows that is not always going to happen.

Something to think about for everyone, when you start trading your next system and it starts out bad. Is the system itself bad, or is randomness leading to early losses? Usually, I suspect, it is the latter.

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  #127 (permalink)
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Weekly Update

Only a few trades for the NGEC system this week. Another boring week. I should call this the "Watching Paint Dry" system.

If you see yourself saying "this journal is awful, the system is so boring!" you are probably not alone.

But ask yourself, why is boring bad? Does trading have to be exciting?

My experience is that most good trading is really boring.

In this week's results, I added the commission rebate from last month back in, so that improves the results a bit...

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  #128 (permalink)
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Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #129 (permalink)
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Mike


Equity Monaco is a good tool, and free!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #130 (permalink)
Site Administrator
Manta, Ecuador
 
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kevinkdog View Post
Equity Monaco is a good tool, and free!

https://futures.io/vendors-product-reviews/4690-msa-market-system-analyzer-www-adaptrade-com.html

I think it's quite a bit better. But not free...

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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