I have papertraded a trend-following system for a while. It is a donchian with some slight modifications in the correlation area. I trade the "all Liguid" portfolio and tested on the Blox 10 years database.
It is soon time to go from papertrading to real trading but i think it is real hard to determine my risk per trade? Take a look at he table below.
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Risk per trade CAGR% Max Tot. eq DD 90% Monte Carlo Conf. DD 0.5% 28.7% 22.3% 35.4% 0.6% 33.5% 26.8% 42.0% 0.7% 38.7% 30.9% 47.9% 0.8% 44.1% 34.7% 52.9% 0.9% 48.9% 38.4% 58.0% 1.0% 53.6% 42.0% 62.5%
Greed and fear is my problems as (maybe) always.
What scares me is what the Monte Carlo 90% confidence drawdown level is 62.5% at risk per trade = 1%. I have papertraded at this level and the system performed as i had expected.
Maybe i should start trading at a lower risk, mayber 0.6% risk per trade?
How accurate and real is the the Monte Carlo simulation confidence levels i the real life, do any experienced mechanical trader here have any advice on this item and the different levels of risk per trade?
Alla advices are welcome! Thanks!