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Brian,
I look at the overall bell curve in MCS testing. If I am getting
upwards of an 80% probability that I will achieve decent average
returns with a limited average drawdown, for trades within the system,
then I have found a good system.
Once I find a good system, ONLY THEN do I do the backtesting for
optimization. More recent data will generally offer better results, in
predicting the near future - or so others have told me. I have yet to
prove that statement on my own.
One thing I should mention is that I no longer spend time backtesting
for optimization. The reason being that the trader himself (or herself)
is a very large component of the system, and the trader is not
being "optimized." Therefore, statistically speaking, it makes no
sense to optimize a system unless the system will be 100% completely
automated with no human intervention of any kind. This includes
automated stops and what not.
If you intend on building a "black box" system, then optimize it.
Otherwise, IMO, your time will be much better spent optimizing
yourself through learning money management practices that are designed
to control your emotional response to fear and greed situations.
Scaled trading methods (see Jesse Livermore) seem to be very good for
doing this.
This is what works for me. If it does not resonate with you, by all
means keep looking ;-) I spent countless hours and months backtesting
for optimizing systems only to ultimately realize it was a waste of MY
time for any amount of MY discretionary trading.
Hope this helps.
~rhelfer
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z321" <brian_z321@xxx> wrote:
>
> Hello ~rhelfer,
>
> What is the first one or two things that you look at in
MCSimulations?
>
> Can you recommend anyone/anywhere as the best training source for
MCS
> applications to trading?
>
> Brian_z
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