Help with Monte Carlo Drawdown analysis

Quote from Volker Butzlaff:

@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...

For these kind of systems a system simulation can have very big ranges of possible drawdowns.

I've changed the software a little bit to show more "user-friendly", how you can integrate such high losses (which differ much from the average losses) in a simulation, but without a change of the pay-off ratio of your system in this critical phase of losses. Perhaps the attached new gif helps a little bit, to show the scenario better.

The results:
a) with 99% statistical reliability the account dradown will be < 11,557
b) the highest account drawdown was even 33,512 !!!

(so you see the "worth" of statistical statements concerning risk)

But it remains an analysis of the known state (system only tested with historical data) An additional data simulation and new tests make sense anyway... :-)

bye,
zentrader
More...

I don't know why I missed this earlier but I just noticed it. Those new numbers make a lot more sense to me. With my final ROR calcs that I mentioned in my previous post, I had the following required bankrolls for a 0.1% ROR:

1 Trade at a time: 11,454
Mult Trades at a time: 40,160
Max with Mult Trades: 83,972

Those aren't too far off of your numbers except my max loss is still significantly higher and that's one of the things I'm wondering about. The middle value is mostly higher than the max DD but I've had a couple of strategies tested where it wasn't.

I'm curious with your new added max loss if you wouldn't mind running just one more for me. I've attached the file with the same information as before and added a line with largest loss. I'll post what I got so we can compare afterwards

Thank you again,
MPO
 
@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,
zentrader
 

Attachments

Quote from Volker Butzlaff:

@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,
zentrader
More...

LOL - these are from published strategies on WealthLab Pro. I'm picking them because of their variable result profiles not because I'm trading them. I'm trying to get an understanding of what the actual risk of a strategy is.

Thanks for running this though - this is what I got:

1 Trade: 16,276
Multi Trades: 168,606
Max with Mutli Trades: 292,621

Disaster scenarios are what it's all about btw - I don't want a disaster to wipe me out.

Thank you very much. I have to think about more about this...

If I adjust my risk max to an earlier calculation I had thought made more logical sense, my Max BR was 540,650 for this strategy but it still seems too high.

The sum of all the negative trades by the way for the entire sim was -424,717. There was really only one trade that had a loss that big, and one was 5,800 but then after that they were all less than 3,800.

If I use the same settings though for the previous strategy I get a max BR of 171,596 which seems way too high compared to the 83,972 I got and your sim's 33,512.

I think I'll stick with the current calculation...

Thank you again very much for your help.
 
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
 
Quote from Volker Butzlaff:

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
More...

You're posting screenshots of your software as well. see rule #6 of code of conduct
 
I'm curious why that's a problem if he was answering my question? People show screenshots of tradestation and other platforms all the time...

I've appreciated all the help on the thread.

Thanks,
MPO
 
Quote from MustPlayOptions:

I'm curious why that's a problem if he was answering my question? People show screenshots of tradestation and other platforms all the time...

I've appreciated all the help on the thread.

Thanks,
MPO
More...

1. Tradestation is a sponsor of ET.

2. There's a difference between ordinary ET members like you and me posting info related to a product, or the vendor of the product himself posting that information.
 
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