I have run BackTest for past 9 quarters going back to Sep 07. Each quarters gives a set of trades list. Should I be running MonteCarlo for each set separately and if so, how should I combine those results to get an accurate picture of the strategy? Or just one set of results is good enough?
Is there a way to obtain MonteCarlo results per strategy instead of per contract? Also, my understanding is that first 10% is worst case scenario and last 10% (90-100) is best case scenario - are two extremes. Should we be taking those into consideration? For instance should the size of account be determined by the worst case scenario of MonteCarlo's drawdown chart?
BTW, is there a metric that gives drawdown on your original account. This perhaps is useful as it is not the same as max drawdown which could occur after the strategy accumulated some profits. Also, my understanding is that one needs to run 10000 sims to get a better picture?
Is there a way to obtain MonteCarlo results per strategy instead of per contract? Also, my understanding is that first 10% is worst case scenario and last 10% (90-100) is best case scenario - are two extremes. Should we be taking those into consideration? For instance should the size of account be determined by the worst case scenario of MonteCarlo's drawdown chart?
BTW, is there a metric that gives drawdown on your original account. This perhaps is useful as it is not the same as max drawdown which could occur after the strategy accumulated some profits. Also, my understanding is that one needs to run 10000 sims to get a better picture?
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