I haven't been able to paper trade this new system of mine as initially attended because LOO and MOC order types simply don't work on IB's paper trader.
The guy at IB told me that I "can't expect" the paper trader to be able to execute such specific order types - but he would fully expect that I would have no problems with a live account.
So instead of paper trading this system I will start live trading with a small account until I'm happy that performance is broadly in line with expectations before scaling up.
The above table shows performance of the system so far this year, from 1 Jan through to 21 May. Monte carlo simulations were run 1000 times.
4 comments:
What is you email ? Thanks
Sorry about the late reply, I haven't checked the blog for a while.
nizar dot mahri at gmail dot com.
Cheers.
Great blog - can you outline how you run your Monte Carlo simulations? I was reading 'The Way of the Turtle' but am confused by what the author means by simulated alternative equity curves by Monte Carlo'?
Thanks
Hi,
I used to run my monte carlo simulations through TradeSim but I mostly use AmiBroker these days.
I can't recall what Curtis Faith says specifically but simulated alternative equity curves in basically what a monte carlo analysis produces.
Monte carlo, from my understanding, looks at alternative paths that may have occurred while trading the same system.
This only happens if you trade systems which at some point need to make a decision on which trades to take as you do not have sufficient capital to take all trades.
I'm not sure if that answers your question though. I have the "Way of the Turtle" book on my shelf so if you have any specific questions let me know which page number and I'll see if I can help.
Nizar.
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