Search found 3 matches
- Tue Feb 15, 2011 4:41 am
- Forum: Testing and Simulation
- Topic: Trade Management for 2 trading schools (Continuation Vs Mean
- Replies: 5
- Views: 3709
Trade Management for 2 trading schools (Continuation Vs Mean
Hi All, I am now trading continuation systems and would like to add a mean-reverting system to compliment my portfolio. I compare the returns distribution of the two systems below. (pls see attachment) http://i54.tinypic.com/2myuuxf.jpg The red curve is for MR while the green one is for CON systems....
- Mon Nov 23, 2009 11:08 pm
- Forum: Money Management
- Topic: Drawdown simulation and trading systems selection
- Replies: 4
- Views: 5718
Thanks sluggo 2 questions 1.) if you have 10 systems, is the technique below still usable? 2.) i don't quite understand how your softwear works in term of running monte carlo simulations. Specifically, when you ask the program to run, does it randomize only the position sizes or does it randomize th...
- Sat Nov 21, 2009 8:59 am
- Forum: Money Management
- Topic: Drawdown simulation and trading systems selection
- Replies: 4
- Views: 5718
Drawdown simulation and trading systems selection
Method Suppose i have a trading system A which has historical 100 trades data. I ran simulation 10,000 trials and look at the worst drawdown that this system A could have produced by chance alone. Let's say that System A has max simulated Drawdown (DD) at -40%. Now if I set my maximum drawdown of my...