Determining Fixed Fraction Percent using Monte Carlo
Posted: Sun Aug 01, 2010 2:11 pm
I am thinking about the process of evaluating a system - I don't have TB yet - I would be interested in whether it can do the following.
So here is a scenario with a question.
I design a system trading a number of instruments, each traded with a couple of methods one LTF, one countertrend. It has a positive expectancy.
I would like to trade it using a fixed fraction position size % that limits the drawdown to 30% and a MAR above 1.
For further confidence I would like to use monte carlo analysis and select the fixed fraction percent where 95% of drawdowns are under 30%.
Is it possible to ask TB to run this kind of combined stepped test and monte carlo analysis or would I have to run a monte carlo on each of the different fixed fraction steps and record the results of each manually?
Or is this overkill?
So here is a scenario with a question.
I design a system trading a number of instruments, each traded with a couple of methods one LTF, one countertrend. It has a positive expectancy.
I would like to trade it using a fixed fraction position size % that limits the drawdown to 30% and a MAR above 1.
For further confidence I would like to use monte carlo analysis and select the fixed fraction percent where 95% of drawdowns are under 30%.
Is it possible to ask TB to run this kind of combined stepped test and monte carlo analysis or would I have to run a monte carlo on each of the different fixed fraction steps and record the results of each manually?
Or is this overkill?