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sorry i thought i was sending you the monte carlo thing , i sent you
sharpe..
-----Original Message-----
From: Gaius Marius <magnus@xxxxxxxxxxx>
To: cpbow@xxxxxxxxxxxxx <cpbow@xxxxxxxxxxxxx>
Cc: Omega list <omega-list@xxxxxxxxxx>
Date: Saturday, September 12, 1998 8:56 PM
Subject: Re: Risks - Pyramids - MaxDD ...I need your thoughts
>>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.
>
>
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