Hello Marco,
I would not call Monte Carlo simulation useless, but I do not have the
high expectations that I had when I first learned about it. My data
provider (CSI) has a Monte Carlo simulator in the software. After using
it, I had the following thoughts:
1. It did give me a good idea of the probability of ruin as well as
other statistics for the system trades that I input. The simulation
told me what would happen if the set of trades was done with more than
a thousand different sequences.
2. Unfortunately, time is a linear phenomena (i.e., a series of events
only happens once as time moves on). I will never know (until I trade a
given system in real time) if my series of trades will be near the mean
of the Monte Carlo simulation or an outlier (billionaire or bust).
Certainly Decision Analysis using Monte Carlo simulation is a well
established methodology in the business world. But trading is like
life, you only it once.
Bottom line for me: another holy grail hope sent to the trash heap; but
not wasted effort.
Ross
--- In equismetastock@xxxxxxxxxxxxxxx, Khamsina11 <Khamsina11@xxxx>
wrote:
Hi,
I would like to know what are the advantages/drawbacks of the Monte
Carlo simulation for a trading system.
Thanks in advance for help,
Regards,
Marco
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