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@Joab, it seems that you know about Karate as a "sport", but nothing about Karate as a (martial) "art". Zen setups are the underlying of Karate and other (japanese) martial arts...:-) bye, zentrader

d'accord Joe, you're right. One of the main principles of Zen, of Martial Arts, of Trading...etc. is attention! Good books help to think about it, but experience is always a better way to take something in...:-) bye, zentrader

@Toonces, it's not the Martial Arts Training alone but also the understanding of the underlying Zen concept which helps to trade (nearly) without emotions. This little book written from ex floor trader Edward Allen Toppel (who died last year) shows this junction of Trading and Zen very...

@Pandorasbox, again my question: How many bars are the basis of your hurst exponent indicator calculation? bye, zentrader

@Pandorasbox, independent from the timeframe, how many bars are the basis of your hurst exponent calculation? bye, zentrader

Hi, because the FDI depends on the so-called Hurst exponent, this website (with a hurst exponent excel example) can help you to understand... :-) http://www.gummy-stuff.org/hurst.htm This site of a canadian math prof. has also many other well and funny explained (excel) examples...

@KS2007, that's not only a problem of automated trading, but generally of system trading. In addition or better alternative to test your system in other markets, I recommend to test the system also with synthetic data ("data scrambling"). With synthetic data here I think not about total...

sorry, but the content of the linked paper only contributes to the fact of a better explanation of the used mcs method with summarized ratios versus the use of the whole trades data. I'll try to avoid any links in future... bye, zentrader

@MustPlayOptions. really this ??? "Avg Loss ($567.05), Largest Losing Trade ($25,099.40)" Ever heard about risk management? I've attached the simulation result, but don't be astonished, because of the high max. possible loss of a trade it will be a "desaster" scenario... :-) bye...

@Virgin, Performance: 2 or 3 seconds on my "3 years old" Pentium for ca. 25,000,000 trades (or 10,000 simulation runs)... ----- "...If you don't use each single trade in your analysis, you leave out important information...systems can have the exact same average winner/loser and...

@MustPlayOptions, my software was originally developed as an additional test for systems with a high risk control (risk management). In this cases the values for highest loss and the average loss don't differ much. Your system has an average trade loss of 268, but a high loss of 2259...

...my favourite book: (Edward Allen Toppel) "Zen in the markets" It has basic psychological messages for a trader and his relation to and behaviour in the markets and the advantage, that it is short enough to read it in a few hours... bye, zentrader

...theoretical you are right, practical not... Each Monte Carlo Simulation generates another result -that's because of the random component. In the case of the "most black" swan possible (in the definition of Taleb) the system above can generate (theoretically) 824 loss trades x 268$ loss...

@NoWorries, that is quite easy. Winning or losing trades are randomly selected (that's the basis of mcs...) and the model secures, that the basic relation is like in the original system test. @MustPlayOptions, my software reports an "Account Drawdown" (= account balance) of a...

@MustPlayOptions, my assumption: 10 year EOD data...so the profits are shown as yearly profits. So a MCS with 10,000 simulation runs (each run with 2,469 trades) can show the following result in the gif attachment. bye, zentrader

@NoWorries, for such a mcs model the relation of winning/losing trades and the average profits/losses are enough...and (important!) you should run enough simulations to get a useable result! You can analyse the mcs results themselves also with statistical reliabilty ("value at risk"...

@NoWorries, imho, wrong. For a Monte Carlo Simulation based chance evaluation and risk analysis of a trading system concerning the existing back test results(!) - a so called "system simulation" - there is no need to look at the single trades... :-) bye, zentrader

@MustPlayOptions, if you are interested, I can give you a mcs for your system results and can post it here. I don't care about your system implementation or your single trades, but I need the system report information of a back test, which is described in the following document...

...responding to the first posting, I agree: with all the information which is today available to all market participants, perhaps the item "patterns" have to be defined in another new way, to profit of it in a trading system. In my opinion the traditional western and eastern (candlestick...

@MustPlayOptions, the use of Monte Carlo Simulation (MCS) in the system development or backtesting process is independent from the details of your trading system or "the art of trading your system". With the the traditional use of the MCS you "stress test" a trading system using the...