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...I do not believe a MonteCarlo simulation can be used on the situation I described.
In the first test, the system had a drawdown of $2,800...the same system with a parameter to increase contracts purchased proportional to netprofit then had a $120,000 drawdown. A drawdown this large would not happen until the contract size gets very large. It would not make sense to assume that there is an equal risk of $120,000 drawdown when trading 1 contract as when trading 50 contracts. So again I ask...is there a way to examine the risks of a system that trades an increasing number of contracts instead of just buying or selling 1 contract each time?
Andy
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