Is there anyone out there who can say they make money with automated trading?

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11/15/2017 at 9:07 PM #52868 quote

pablojml
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New

@despair, what do you mean by WFA and Monte Carlo? Not familiar with those terms.

11/15/2017 at 10:48 PM #52883 quote

juanj
Participant

Master

WFA stands for Walk Forward Analysis, similar to backtesting although you only use a subset of your available data to optimize and test your strategy and then use the remainder of the data set to see how your strategy would of performed outside of the optimized period. This better simulates real life and avoids curve fitting. I suggest doing a simple internet search of even searching the forums for these terms as they are already explained quite well.

11/16/2017 at 1:04 AM #52898 quote

Despair
Blocked

Master

Just like juanj pointed out, google is your friend. 😉

11/16/2017 at 9:31 AM #52926 quote

juanj
Participant

Master

Concerning Monte Carlo Simulation you can use PRT’s backtesting tool and run the optimization engine on different segments of the dataset to identify the mode values (most often occurring).

You can also run your optimized strategy on a similar instrument to test the validity of your idea.

12/25/2017 at 5:26 PM #56528 quote

Gianluca
Participant

Master

Despair wrote:

Find a system that produces a good WFA or at least one OOS run (70/30). Then run a monte carlo simulation with the OOS results you got to determine the equity requirement to trade the strategy safely (I always want the risk of ruin to be less then 10% within the first year). Then run this system a few months on demo to see if it does there the same as it did in backtest. If after a few months the demo results are consistent with the backtest you are good to go to start live trading.

How is possible to test montecarlo on PRT?

12/25/2017 at 8:06 PM #56532 quote

Despair
Blocked

Master

I export the results of a WFA to Excel and perform the monte carlo simulation there. With the current version of PRT it is not possible.

12/26/2017 at 2:46 PM #56562 quote

Abz
Participant

Veteran

Francesco78 are you still running 75 strategies , how is they equity curve if i may ask?
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