Is there anyone out there who can say they make money with automated trading?

• 11/15/2017 at 9:07 PM #52868
  pablojml

  @despair, what do you mean by WFA and Monte Carlo? Not familiar with those terms.

  

  pablojml

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  11/15/2017 at 10:48 PM #52883
  juanj

  WFA stands for Walk Forward Analysis, similar to backtesting although you only use a subset of your available data to optimize and test your strategy and then use the remainder of the data set to see how your strategy would of performed outside of the optimized period. This better simulates real life and avoids curve fitting. I suggest doing a simple internet search of even searching the forums for these terms as they are already explained quite well.

  

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  11/16/2017 at 1:04 AM #52898
  Despair

  Just like juanj pointed out, google is your friend. 😉

  

  Despair

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  11/16/2017 at 9:31 AM #52926
  juanj

  Concerning Monte Carlo Simulation you can use PRT’s backtesting tool and run the optimization engine on different segments of the dataset to identify the mode values (most often occurring).

  You can also run your optimized strategy on a similar instrument to test the validity of your idea.

  

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  12/25/2017 at 5:26 PM #56528
  Gianluca

  Despair wrote:

  Find a system that produces a good WFA or at least one OOS run (70/30). Then run a monte carlo simulation with the OOS results you got to determine the equity requirement to trade the strategy safely (I always want the risk of ruin to be less then 10% within the first year). Then run this system a few months on demo to see if it does there the same as it did in backtest. If after a few months the demo results are consistent with the backtest you are good to go to start live trading.

  How is possible to test montecarlo on PRT?

  

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  12/25/2017 at 8:06 PM #56532
  Despair

  I export the results of a WFA to Excel and perform the monte carlo simulation there. With the current version of PRT it is not possible.

  

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  12/26/2017 at 2:46 PM #56562
  Abz

  Francesco78  are you still running 75 strategies , how is they equity curve if i may ask?

  

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