Monte Carlo | How is my strategy looking? What should I try next?

[darkgreen]

Hi All,

I created a strategy for ES and MES in NT, I ran back-testing on it 1Y1D and it appears to be profitable, I need some assistance reading the data from Monte Carlo and to understand if I'm on the right path(?) and what's next.

We're looking at the 1Y1D simulation for /ES with 3 entries each time

Thanks!

[darkgreen]

Here are the screenshots.

[NinjaTrader_BrandonH]

Hello darkgreen,

Thank you for your post.

Monte Carlo Simulation is a mathematical technique that uses repeated random sampling ("sampling with replacement") to compute a range of possible results with their respective probability. A graph of the results are plotted with the statistic values or Profit/Loss on the Y - axis and the probability on the X - axis as a percentage.

The first Monte Carlo Simulation report displays the chance (Percentage) of reaching a specific profit factor (Y-axis). For example, there is a 66% chance of hitting a Profit Factor of around 15.

The second Monte Carlo Simulation report image shows the probability of the maximum number of consecutive losers. For example, there is a 46% chance of having a maximum of 2 consecutive losers.

The third Monte Carlo Simulation report shows the probability of the maximum number of consecutive winners. For example, there is a 51% chance of having 4 maximum consecutive winners.

Please refer to the following Help Guide link with more information about understanding the Monte Carlo Simulation report - https://ninjatrader.com/support/help...mulationReport

For some guidance on what to do next before deploying your strategy live, please see here - https://ninjatrader.com/support/help...nt_process.htm

Please let us know if we may further assist.

[shodson]

Hello darkgreen,

The first Monte Carlo Simulation report displays the chance (Percentage) of reaching a specific profit factor (Y-axis). For example, there is a 66% chance of hitting a Profit Factor of around 15.

Using that logic on the same chart, that means this strategy has a 96% chance of having a profit factor of 95, which is not true. Your explanation should say "For example, there is a 66% chance of hitting a Profit Factor of 15 or less."

As you go farther to the right on the X-axis, the more result there are that achieve that level of performance or less, <= not =.

Is my understanding correct?

[NinjaTrader_BrandonH]

Hello shodson,

Thanks for your note.

Yes, your understanding is correct. It would be a 66% chance of hitting a Profit Factor of 15 or less.

See this help guide page about understanding the Monte Carlo Simulation report results: https://ninjatrader.com/support/help...mulationReport

Please let me know if I may assist further.