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> Just for kicks, why would not WORST CASE DRAWDOWN
> to date be something to base the computation on rather
> than average loss or total loss in a string.
That's what the Monte Carlo does. It assumes there is no correlation
between the results of one trade and the next and that your realtime
historical trade order was just a random chance (might not be true for
all systems but it's true for mine). So it shuffles the trades into a
new random order and calcs the DD again. Do that a few thousand times,
sort by drawdown, and the worst case results can be an eye opener.
--
Dennis
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