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Re: Risks - Pyramids - MaxDD ...I need your thoughts



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>I am a systems newbie but;   Could you do a monteCarlo sim. on the one
>contract system to get the worst "conceivable" drawdown (DDMC) per
>contract. Then use #contracts = equity/DDMC or equity/(n*DDMC)?

>How does one do a monteCarlo simulation.  (My understanding is that this
>is taking the trades in a random order to get a better idea of what
>drawdowns might be.)  Is there software to do this?


Yes there is. I've bought the code from www.insideedgesystems.com for $17
and I am very happy with it.  If you want it, ask Bill Brower for the
May-June issue of TS Express and the code is disclose inside it. You can
save the code as a system in EL and then attached it to your trading system
by using the include system statement.  There's a more advance MCS version
but that one is $75.