I’m not a big fan of Monte Carlo simulations (in my opinion, the premise is flawed and therefore so are the outcomes).
That said, what do C2 users think of the “highest drawdown” outcome. C2 uses the highest drawdown from a starting capital base. Clearly there are much higher drawdowns in the simulation when measured from equity highs.
Further, a client could easily start trading at the high point of one of these Monte Carlo equity curves, and experience the subsequent drawdown.
I don’t run Monte Carlo simulations, so perhaps this worst-case drawdown approach would brutalize all systems to the point no one would want to trade them based on this worst-case scenario.
I’d love to see responses from thoughtful and/or knowledgeable people on this subject.
"I’m not a big fan of Monte Carlo simulations (in my opinion, the premise is flawed and therefore so are the outcomes). "
Simulations are run to permutate all the trades to see information such as “what would have been the worst” How is this bad? Outside of your opinion that it is “flawed?” What is your solid evidence it is flawed? Opinions & beliefs mean little, facts mean a lot.
Yes there is no guarantee the future will flow from the past trades, but there is absolutely no way to know what the future will look like using any method. The set of system trades are about the noly thing we can analyze.
Hello Index.
1) I never said Monte Carlos simulations are "bad"
2) I never said they were "flawed"
3) I do not, and didn’t suggest I have any “solid evidence” to present regarding the validity Monte Carlo simulations.
Thank you for contributing your thoughts on the subject.
I’d like to hear your thoughts on the actual question now that you’ve had your say on the minutiae of the question itself.
I’d love to see responses from thoughtful and/or knowledgeable people on this subject.
I’m not from any of the categories. It’s only my 2c.
When you consider any C2 system, you have to be aware if “Actual C2 outcome” outperforms “Outcome (Highest profit)”. It means current system profit is statistically unstable and it’s very likely that “Actual C2 outcome” will dip under “Outcome (Highest profit)”. You can see your potential risk there.
It’s better to see smooth equity curve in “Outcome (Highest drawdown)”. If you see hearth attack pulse there you probably have a deal with something over leveraged. Actually you might consider “Outcome (Highest drawdown)” as main equity curve and calculate your risk and potential profit by the data instead of “Actual C2 outcome”.
Eu
P.S. Of course than more trades than more Monte Carlo simulation is statistically significant.
Well, at least you numbered your list correctly. Everything else displays you as not in commend of his own mind. Let us compare your last note to this one, since you are so incapable of remembering what you said.
1) I never said Monte Carlos simulations are "bad"
I’m not a big fan of Monte Carlo simulations (in my opinion, the premise is flawed and therefore so are the outcomes).
2) I never said they were "flawed"
in my opinion, the premise is flawed and therefore so are the outcomes.
3) I do not, and didn’t suggest I have any “solid evidence” to present regarding the validity Monte Carlo simulations.
As I said: "What is your solid evidence it is flawed? Opinions & beliefs mean little, facts mean a lot. "
I’d like to hear your thoughts on the actual question now that you’ve had your say on the minutiae of the question itself.
You consider the topic sentence of your posts as minutiae? Did you ever take writing 101?
As to my thoughts, you have established yourself here as a waste of time having a conversation. You don’t seem to grasp basic English or simple logic. You even deny your own statements.
