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A couple things that come to mind... First, even if the real drawdowns are about the same as the hypothetical ones, they are going to seem larger just because actually losing money is more painful than hypothetically losing money. Secondly, be sure you are basing your Monte Carlo...

Thanks! Yes, I'm always interested in hearing about other peoples' methods for monitoring their strategies also. Drawdowns are always painful, but it helps to have a plan for when and if you'd stop trading a strategy rather than just fretting about whether it'll come back or not.

Dierk, did you see my CBOT online seminar? (It is archived at http://www.cbot.com/cbot/dow/cont_detail/0,2614,4+9029,00.html). Doing a Monte Carlo simulation and then a hypothesis test to monitor a strategy was one of the topics I covered. It's nice to see someone else taking a rigorous...

Riskless is no longer with FFastTrade. If I recall correctly, he is now with the institutional brokerage division of O'Connor. FFastTrade has plans for an API but none is currently offered.

Nope, no problems here. Are you using the Citrix client system? That's what I use.

Is the book hardcover? I'm interested in buying a copy after you've read it (or if you aren't going to read it). I live in Illinois. Email me at aaron@schindlertradingNOSPAM.com with what you want for it (including shipping) if you are interested in selling.

I wish my employer (system) would give me some vacation days. But, no! It expects me to take every trade, every time.

Thanks, Banjo! I hadn't seen that. The long term trend follower CTA's had a tough June, so I guess our 15.2% return was able to rise to the top.

It was interesting reading the chat log. Fruity Pebble was precient with his guess of an order error. I would have been looking for news of a terrorist strike or something like India and Pakistan nuking each other.

*laugh* "juggling burning porcupines" would meet any English teacher's definition of a colorful use of language! But that same teacher would wince at the mixing of "tough road to travel" and "tough row to hoe"! :) I'd describe trading as an emotional rollercoaster. All the elation and...

You can use the XIRR function to get the answer, but you aren't going to be able to have confidence in your answer unless you confirm the result by calculating the return longhand. Here's how to calculate the return... You need to calculate the return for each subperiod between additions and...

Unfortunately not. Every Trout employee signed a nondisclosure agreement.

Trading can be lonely and an emotional-rollercoaster. It's nice to find supportive people here at ET. Thank you.

Thanks for the kind words, Harris. And thanks for the Greencompany link. I hope you have a profitable June!

You're going to have up days and down days. If your family members don't understand this and get distressed on your down days... I'd agree that infrequent updates are a good idea.

Nice, Michael B.! That's a keeper.

Thanks, Compisnada. I'm reminded of something Steven Wright said: "I plan on living forever. So far, so good." :) I'm more eager than anyone else to find out how May turns out for the Schindler Fund.

Each month there is some chance of having a down month. Put a few down months (four in my case) back to back by the luck of the draw and it turns into a sizeable drawdown. I think it is just chance as I don't know of any particular market environments that are any more or less profitable for...

Sure. The expected annual return range is the result of a Monte Carlo simulation of monthly returns. We used a normal distribution for monthly returns with a mean of 3.4% and a 22% standard deviation. For each iteration we generated 12 monthly returns and compounded them. The 3.4% mean...

Actually, I've been corrected. I should have said 90% confidence interval. 90%, or 9 out of 10, annual returns should fall within this range. 1 out of 20 should be worse (ouch!) and 1 out of 20 should be better. So far we've only had one completed (calendar) year. At +97% it was within...