Monte Carlo with strategy using limit orders

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Monte Carlo with strategy using limit orders

Postby Jaded » Tue Jul 03, 2012 2:27 am

Hey there,

I just wanted to confirm that the monte carlo simulation is calculating correctly for a multi-system (oneclick) that creates strategies which all use entry limit orders.

Example strategy order setup:
Entry Limit: close * 0.95
Exit Market: ref(open, 1)

Could you run some tests and let me know if the results are accurate for the monte carlo? I have tested this several times and each time the monte carlo outperforms the portfolio by about 3x-6x .. I would write it off except that it keeps happening, but only to my strategies that are using the entry limit with the exit market as shown.

If you could look into this for my sanity, please do. Thanks!
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Re: Monte Carlo with strategy using limit orders

Postby Overload » Tue Jul 03, 2012 11:15 am

Yes, they use Limit Orders.

Keep in mind that Monte Carlo is not a complete rerun of the trading system. Instead, it takes the trade returns that were already calculated, and resequences them in a variety of portfolio selections to determine whether alternate selections from the non-portfolio pool, and alternate sequences of those selections, will also create worthwhile returns.

Because Monte Carlo is based on that pool of trade returns from the actual system, and the trade returns of the actual system include Limit Orders, the Monte Carlo returns will also include Limit Orders.

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