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Entries Tagged as 'monte-carlo'

Monte Carlo Permutation: Test your Back-Tests

August 18th, 2010 · 9 Comments · Backtest

  The second method to evaluate the statistical significance of a back-test result presented by Aronson (in EBTA) is the Monte Carlo Permutation. This is an extension of the classic Monte Carlo method, applied to rule testing. The concept behind the Monte Carlo Permutation is similar to the Bootstrap method: Generate multiple random outputs based […]

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Your worst Drawdown is yet to come

May 27th, 2010 · 5 Comments · Money Management

in this world nothing can be said to be certain, except death and taxes. Arguing against Ben Franklin, I would say it is certain your (and my) Max Drawdown so far – whether in real trading or backtest – will be surpassed in the future. The maths even say that the probability of any drawdown […]

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