I trade longer term mechanical trading systems exclusively on the ASX. I rarely look at daily charts and the systems are built using weekly timeframes.
The information in this site is based on actual trades in real portfolios. I don't trade using margin or any sort of leverage. I mainly use Amibroker for system testing and trade monitoring.
I am not selling anything. This is just a journal to record where I have been and, just maybe, where I am going.
Sunday, April 27, 2008
Equity Curves
I always thought that multiple equity curves from a Monte Carlo would be fun to plot. The program is free from TickQuest.
I have to admit I don't really know what I am doing!
It's a totally unrealistic test. The software appears to be setup for futures rather than stocks and I can't use the sort of position sizing I would probably like to. The equity curves in the example I gave look far too regular. I suspect that I made an error somewhere when I did the export / import.
I haven't spent any time trying to understand the software - I just jumped in and used it.
The software does the monte carlo by scrambling the trades rather than using some sort of randomizing factor to produce the simulations.
But I am not going to spend much time on it. It's just nice to know the software exists.
2 comments:
Stevo,
I suspect it would take a long time for your systems to rack up 1000 trades!
Nizar.
Nizar
Absolutely!
It's a totally unrealistic test. The software appears to be setup for futures rather than stocks and I can't use the sort of position sizing I would probably like to. The equity curves in the example I gave look far too regular. I suspect that I made an error somewhere when I did the export / import.
I haven't spent any time trying to understand the software - I just jumped in and used it.
The software does the monte carlo by scrambling the trades rather than using some sort of randomizing factor to produce the simulations.
But I am not going to spend much time on it. It's just nice to know the software exists.
stevo
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