|
PureBytes Links
Trading Reference Links
|
Dittos to what Elliot and Alex said. Here's a practical example I posted
a while back. I find this more useful than a single number. If you want,
these numbers can be subjected to further statistical analysis but it
really isn't necessary. Just do some soul searching and decide how much
risk you enjoy -- 50% chance of wiping out the account? 10%? .1%? Then
bet accordingly.
As an aside, Optimal_F usually gives you a higher than 90% probability
of wiping out the account when you run the system through the MC. So,
Optimal_F is decent at defining where the edge of the cliff is. What it
doesn't do is tell you how far back from the cliff edge you need to walk
to feel "safe." The MC does that.
--
Dennis
-------- Original Message --------
Subject: Oddball Monte Carlo
Date: Sat, 20 Apr 2002 12:16:26 -0700
From: DH <catapult@xxxxxxxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Mark reminded me he has the Oddball trades posted on the web. There are
366 trades of the SPX cash index - not a very realistic test but good
enough to illustrate what we are doing. He's using $250/point to
simulate the SP futures with no slip/com. I subtracted $250/RT for
slip/com and ran it through 10,000 loops of the MC. Here are the
results. Small account guys could divide the numbers by 5 to get an idea
of how much they should have in the account for each mini ES they trade,
keeping in mind that the futures probably won't do as well as the cash.
--
Dennis
Probability of drawdown
Size of drawdown per contract
Min. account size per contract with $19,688 margin
0.01% $94,618 $114,306
0.1% $79,200 $98,888
0.2% $73,483 $93,171
0.3% $71,235 $90,923
0.4% $69,673 $89,361
0.5% $68,525 $88,213
0.6% $67,313 $87,001
0.7% $66,510 $86,198
0.8% $65,923 $85,611
0.9% $64,863 $84,551
1% $64,275 $83,963
2% $60,013 $79,701
3% $57,458 $77,146
4% $55,480 $75,168
5% $53,903 $73,591
6% $52,523 $72,211
7% $51,205 $70,893
8% $50,353 $70,041
9% $49,240 $68,928
10% $48,330 $68,018
11% $47,703 $67,391
12% $47,108 $66,796
13% $46,480 $66,168
14% $45,920 $65,608
15% $45,378 $65,066
16% $44,905 $64,593
17% $44,493 $64,181
18% $44,020 $63,708
19% $43,623 $63,311
20% $43,238 $62,926
25% $41,078 $60,766
30% $39,405 $59,093
35% $37,960 $57,648
40% $36,628 $56,316
45% $35,390 $55,078
50% $34,208 $53,896
55% $33,195 $52,883
60% $32,073 $51,761
65% $31,038 $50,726
70% $30,018 $49,706
75% $29,070 $48,758
80% $28,025 $47,713
85% $26,840 $46,528
90% $25,460 $45,148
95% $23,478 $43,166
99% $20,485 $40,173
99.9% $17,913 $37,601
99.99% $15,810 $35,498
|