Hi All - sorry to revive a dead thread (and also the naivety of the question) but what practical steps (if any other than tighter stop losses) can a person take to improve a systems Probability of Future Account Loss Calculations. I don’t feel that sharpe ratio is too relevant to my system due to using multiple different financial instruments. My system is still an infant so was wondering what tweaks/risk control measures to make to improve this calculation in the long run.
Or taking a step back if someone with deeper understanding of monte carlo can comment on whether there is much value in tracking this calculation for a system with multiple financial instruments since my limited understanding is that it is based off of X thousands of iterations for a normal random variable based off the mean & st. dev of closed positions however the
1) mean
2) st. dev
3) generated randomness
4) trends generated, and the sequence of returns formed
vary so much for different instruments that not sure how this impacts the credibility of this calculation for the overall portfolio given the lack of uniformity of the use of the different financial instruments.
hope this makes sense…
Umar
[LINKSYSTEM_80035954]
