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> But what if one trades futures contracts with a
> modest account size (not stocks, where the shares are easily scalable to bet
> size) using a reversal system ( risk is not pre-defined)? It seems in this
> case, MC analysis would be much less practical. Am I correct in this
> assumption?
Not really. It still works the same. Just do the backtest with one
contract and run the MC on the results to see how often drawdowns of
different sizes happen. The table would be:
Probability of Ruin Account size per contract (MaxDD)
Bigger account, smaller probability of going broke. Of course, it goes
without saying, if you can't define your risk it's hard to be sure of
your risk. :-) Modest account size AND risk not pre-defined sounds
dangerous to me.
I'll tell you what, let's do an experiment. If somebody wants to post
the P/L numbers for trading Oddball with one contract of SP or ES (or xx
shares of SPYders would work), I'll run it through the MC and post the
results as a practical example. Lets get an idea of what kind of
drawdown to expect with that puppy. At least 100 trades would be good.
More is better. Specify what security was used for the test, how many
contracts/shares, how much slip/com you allowed, etc. The numbers need
to be in the form:
15250
-1750
-250
7500
etc.
--
Dennis
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