New posts

Reply to thread

Message

Below are TradeSim monte carlo analysis results for a random entry and random exit system.

5% chance of entering on any given bar.
2% chance of exiting on any given bar.

Data from 1-1-1997 until 1-1-2007.

No initial stop loss used.

20000 simulations completed to give a statistically significant outcome.

Monte Carlo Report

Trade Database Filename
C:\TradeSimData\RandomEntryAndExit.trb

Simulation Summary
Simulation Date: 10/09/2007
Simulation Time: 12:57:00 PM
Simulation Duration: 721.91 seconds

Trade Parameters
Initial Capital: $100,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 100
Position Size Model: Equal Percent Units
Trade Size (% of total cap): 10.00%
Pyramid profits: No
Transaction cost (Trade Entry): $44.00
Transaction cost (Trade Exit): $44.00
Margin Requirement: 100.00%
Magnify Position Size(& Risk) according to Margin Req: No
Margin Requirement Daily Interest Rate (Long Trades): 0.0000%
Margin Requirement Yearly Interest Rate (Long Trades): 0.0000%
Margin Requirement Daily Interest Rate (Short Trades): 0.0000%
Margin Requirement Yearly Interest Rate (Short Trades): 0.0000%

Trade Preferences
Trading Instrument: Stocks
Break Even Trades: Process separately
Trade Position Type: Process all trades
Entry Order Type: Default Order
Exit Order Type: Default Order
Minimum Trade Size: $500.00
Accept Partial Trades: No
Volume Filter: Ignore Volume Information
Pyramid Trades: No
Use Level Zero trades only: Yes

Simulation Stats
Number of trade simulations: 20000
Trades processed per simulation: 38493
Maximum Number of Trades Executed: 479
Average Number of Trades Executed: 359
Minimum Number of Trades Executed: 188
Standard Deviation: 29.03

Profit Stats
Maximum Profit: $20,568,383.91 (20568.38%)
Average Profit: $252,371.84 (252.37%)
Minimum Profit: -$96,587.26 (-96.59%)
Standard Deviation: $1,549,289.02 (1549.29%)
Probability of Profit: 81.61%
Probability of Loss: 18.39%

Percent Winning Trade Stats
Maximum percentage of winning trades: 52.92%
Average percentage of winning trades: 42.67%
Minimum percentage of winning trades: 23.08%
Standard Deviation: 3.17%

Percent Losing Trade Stats
Maximum percentage of losing trades: 76.92%
Average percentage of losing Trades: 57.33%
Minimum percentage of losing trades: 47.08%
Standard Deviation: 3.17%

Average Relative Dollar Drawdown Stats
Maximum of the Average Relative Dollar Drawdown: $4,166.64
Average of the Average Relative Dollar Drawdown: $1,867.08
Minimum of the Average Relative Dollar Drawdown: $957.16
Standard Deviation: $334.33

Average Relative Percent Drawdown Stats
Maximum of the Average Relative Percent Drawdown: 8.1761%
Average of the Average Relative Percent Drawdown: 1.9270%
Minimum of the Average Relative Percent Drawdown: 0.5482%
Standard Deviation: 0.6308%

Maximum Peak-to-Valley Dollar Drawdown Stats
Maximum Absolute Dollar Drawdown: $151,569.61
Average Absolute Dollar Drawdown: $60,828.24
Minimum Absolute Dollar Drawdown: $17,817.55
Standard Deviation: $16,754.15

Maximum Peak-to-Valley Percent Drawdown Stats
Maximum Absolute Percent Drawdown: 96.6537%
Average Absolute Percent Drawdown: 49.8063%
Minimum Absolute Percent Drawdown: 7.2538%
Standard Deviation: 15.5731%

<blockquote data-quote="nizar" data-source="post: 200576" data-attributes="member: 2591">Below are TradeSim monte carlo analysis results for a random entry and random exit system.5% chance of entering on any given bar.2% chance of exiting on any given bar.Data from 1-1-1997 until 1-1-2007.No initial stop loss used.20000 simulations completed to give a statistically significant outcome.&nbsp; &nbsp; Monte Carlo Report&nbsp; &nbsp; &nbsp; &nbsp; Trade Database Filename&nbsp; &nbsp; C:\TradeSimData\RandomEntryAndExit.trb&nbsp; &nbsp; &nbsp; &nbsp; Simulation Summary&nbsp; &nbsp; Simulation Date:&nbsp; &nbsp; 10/09/2007Simulation Time:&nbsp; &nbsp; 12:57:00 PMSimulation Duration:&nbsp; &nbsp; 721.91 seconds&nbsp; &nbsp; Trade Parameters&nbsp; &nbsp; Initial Capital:&nbsp; &nbsp; $100,000.00Portfolio Limit:&nbsp; &nbsp; 100.00%Maximum number of open positions:&nbsp; &nbsp; 100Position Size Model:&nbsp; &nbsp; Equal Percent UnitsTrade Size (% of total cap):&nbsp; &nbsp; 10.00%Pyramid profits:&nbsp; &nbsp; NoTransaction cost (Trade Entry):&nbsp; &nbsp; $44.00Transaction cost (Trade Exit):&nbsp; &nbsp; $44.00Margin Requirement:&nbsp; &nbsp; 100.00%Magnify Position Size(&amp; Risk) according to Margin Req:&nbsp; &nbsp; NoMargin Requirement Daily Interest Rate (Long Trades):&nbsp; &nbsp; 0.0000%Margin Requirement Yearly Interest Rate (Long Trades):&nbsp; &nbsp; 0.0000%Margin Requirement Daily Interest Rate (Short Trades):&nbsp; &nbsp; 0.0000%Margin Requirement Yearly Interest Rate (Short Trades):&nbsp; &nbsp; 0.0000%&nbsp; &nbsp; Trade Preferences&nbsp; &nbsp; Trading Instrument:&nbsp; &nbsp; StocksBreak Even Trades:&nbsp; &nbsp; Process separatelyTrade Position Type:&nbsp; &nbsp; Process all tradesEntry Order Type:&nbsp; &nbsp; Default OrderExit Order Type:&nbsp; &nbsp; Default OrderMinimum Trade Size:&nbsp; &nbsp; $500.00Accept Partial Trades:&nbsp; &nbsp; NoVolume Filter:&nbsp; &nbsp; Ignore Volume InformationPyramid Trades:&nbsp; &nbsp; NoUse Level Zero trades only:&nbsp; &nbsp; Yes&nbsp; &nbsp; Simulation Stats&nbsp; &nbsp; Number of trade simulations:&nbsp; &nbsp; 20000Trades processed per simulation:&nbsp; &nbsp; 38493Maximum Number of Trades Executed:&nbsp; &nbsp; 479Average Number of Trades Executed:&nbsp; &nbsp; 359Minimum Number of Trades Executed:&nbsp; &nbsp; 188Standard Deviation:&nbsp; &nbsp; 29.03&nbsp; &nbsp; Profit Stats&nbsp; &nbsp; Maximum Profit:&nbsp; &nbsp; $20,568,383.91 (20568.38%)Average Profit:&nbsp; &nbsp; $252,371.84 (252.37%)Minimum Profit:&nbsp; &nbsp; -$96,587.26 (-96.59%)Standard Deviation:&nbsp; &nbsp; $1,549,289.02 (1549.29%)Probability of Profit:&nbsp; &nbsp; 81.61%Probability of Loss:&nbsp; &nbsp; 18.39%&nbsp; &nbsp; Percent Winning Trade Stats&nbsp; &nbsp; Maximum percentage of winning trades:&nbsp; &nbsp; 52.92%Average percentage of winning trades:&nbsp; &nbsp; 42.67%Minimum percentage of winning trades:&nbsp; &nbsp; 23.08%Standard Deviation:&nbsp; &nbsp; 3.17%&nbsp; &nbsp; Percent Losing Trade Stats&nbsp; &nbsp; Maximum percentage of losing trades:&nbsp; &nbsp; 76.92%Average percentage of losing Trades:&nbsp; &nbsp; 57.33%Minimum percentage of losing trades:&nbsp; &nbsp; 47.08%Standard Deviation:&nbsp; &nbsp; 3.17%&nbsp; &nbsp; Average Relative Dollar Drawdown Stats&nbsp; &nbsp; Maximum of the Average Relative Dollar Drawdown:&nbsp; &nbsp; $4,166.64Average of the Average Relative Dollar Drawdown:&nbsp; &nbsp; $1,867.08Minimum of the Average Relative Dollar Drawdown:&nbsp; &nbsp; $957.16Standard Deviation:&nbsp; &nbsp; $334.33&nbsp; &nbsp; Average Relative Percent Drawdown Stats&nbsp; &nbsp; Maximum of the Average Relative Percent Drawdown:&nbsp; &nbsp; 8.1761%Average of the Average Relative Percent Drawdown:&nbsp; &nbsp; 1.9270%Minimum of the Average Relative Percent Drawdown:&nbsp; &nbsp; 0.5482%Standard Deviation:&nbsp; &nbsp; 0.6308%&nbsp; &nbsp; Maximum Peak-to-Valley Dollar Drawdown Stats&nbsp; &nbsp; Maximum Absolute Dollar Drawdown:&nbsp; &nbsp; $151,569.61Average Absolute Dollar Drawdown:&nbsp; &nbsp; $60,828.24Minimum Absolute Dollar Drawdown:&nbsp; &nbsp; $17,817.55Standard Deviation:&nbsp; &nbsp; $16,754.15&nbsp; &nbsp; Maximum Peak-to-Valley Percent Drawdown Stats&nbsp; &nbsp; Maximum Absolute Percent Drawdown:&nbsp; &nbsp; 96.6537%Average Absolute Percent Drawdown:&nbsp; &nbsp; 49.8063%Minimum Absolute Percent Drawdown:&nbsp; &nbsp; 7.2538%Standard Deviation:&nbsp; &nbsp; 15.5731%</blockquote>

[QUOTE="nizar, post: 200576, member: 2591"] Below are TradeSim monte carlo analysis results for a random entry and random exit system. 5% chance of entering on any given bar. 2% chance of exiting on any given bar. Data from 1-1-1997 until 1-1-2007. No initial stop loss used. 20000 simulations completed to give a statistically significant outcome. Monte Carlo Report Trade Database Filename C:\TradeSimData\RandomEntryAndExit.trb Simulation Summary Simulation Date: 10/09/2007 Simulation Time: 12:57:00 PM Simulation Duration: 721.91 seconds Trade Parameters Initial Capital: $100,000.00 Portfolio Limit: 100.00% Maximum number of open positions: 100 Position Size Model: Equal Percent Units Trade Size (% of total cap): 10.00% Pyramid profits: No Transaction cost (Trade Entry): $44.00 Transaction cost (Trade Exit): $44.00 Margin Requirement: 100.00% Magnify Position Size(& Risk) according to Margin Req: No Margin Requirement Daily Interest Rate (Long Trades): 0.0000% Margin Requirement Yearly Interest Rate (Long Trades): 0.0000% Margin Requirement Daily Interest Rate (Short Trades): 0.0000% Margin Requirement Yearly Interest Rate (Short Trades): 0.0000% Trade Preferences Trading Instrument: Stocks Break Even Trades: Process separately Trade Position Type: Process all trades Entry Order Type: Default Order Exit Order Type: Default Order Minimum Trade Size: $500.00 Accept Partial Trades: No Volume Filter: Ignore Volume Information Pyramid Trades: No Use Level Zero trades only: Yes Simulation Stats Number of trade simulations: 20000 Trades processed per simulation: 38493 Maximum Number of Trades Executed: 479 Average Number of Trades Executed: 359 Minimum Number of Trades Executed: 188 Standard Deviation: 29.03 [B]Profit Stats Maximum Profit: $20,568,383.91 (20568.38%) Average Profit: $252,371.84 (252.37%) Minimum Profit: -$96,587.26 (-96.59%) Standard Deviation: $1,549,289.02 (1549.29%) Probability of Profit: 81.61% Probability of Loss: 18.39%[/B] Percent Winning Trade Stats Maximum percentage of winning trades: 52.92% Average percentage of winning trades: 42.67% Minimum percentage of winning trades: 23.08% Standard Deviation: 3.17% Percent Losing Trade Stats Maximum percentage of losing trades: 76.92% Average percentage of losing Trades: 57.33% Minimum percentage of losing trades: 47.08% Standard Deviation: 3.17% Average Relative Dollar Drawdown Stats Maximum of the Average Relative Dollar Drawdown: $4,166.64 Average of the Average Relative Dollar Drawdown: $1,867.08 Minimum of the Average Relative Dollar Drawdown: $957.16 Standard Deviation: $334.33 Average Relative Percent Drawdown Stats Maximum of the Average Relative Percent Drawdown: 8.1761% Average of the Average Relative Percent Drawdown: 1.9270% Minimum of the Average Relative Percent Drawdown: 0.5482% Standard Deviation: 0.6308% Maximum Peak-to-Valley Dollar Drawdown Stats Maximum Absolute Dollar Drawdown: $151,569.61 Average Absolute Dollar Drawdown: $60,828.24 Minimum Absolute Dollar Drawdown: $17,817.55 Standard Deviation: $16,754.15 [B]Maximum Peak-to-Valley Percent Drawdown Stats Maximum Absolute Percent Drawdown: 96.6537% Average Absolute Percent Drawdown: 49.8063% Minimum Absolute Percent Drawdown: 7.2538% Standard Deviation: 15.5731%[/B] [/QUOTE]

Verification