Hi @Cosmic
Follow the link below for a simple to operate tool (a few mouse clicks) that does give more confidence in a Bot.
Basis of operation is that, over (for example 10,000 bars) the same / similar trades are likely to occur in the future … but NOT in the same order. FreeMC mixes up the Gain / Loss results 2,500 times for a given starting equity value. So you can see if a particular Bot is likely to ‘blow up your acount’ and also what are the median drawdowns and median returns.
You can ‘drag’ the results of a Bot backtest into excel and then use the ‘Gains’ column to drive the freemc.xls below. Let me know if you (or anybody) gets stuck. Full instructions are on the 2nd sheet of the freemc.xls.
Its not strictly Monte Carlo Analysis … I think it’s nearer to ‘Bootstrap’?
http://www.kjtradingsystems.com/freemc.xls
I am advised by KJ that the ‘more complicated, feature packed Monte Carlo spreadsheet’ is not available to buy any longer, but is still given free to students of his course.
KJ does say that the FreeMC vb code is not locked and so can be amended / improved! Any Excel vb coders fancy trying adding a few bells and whistles?? Nicolas maybe (as if you aren’t snowed under with work already)?
If anybody has anything better let me know please?
Enjoy & Prosper
GraHal
