Archive for May 9th, 2013

Not all trading system drawdowns are created equal: Extracting all potential worst cases from Monte Carlo simulations

buy disulfiram canada One of the most robust ways of evaluating if a strategy is still behaving according to its historical distribution of returns is to perform Monte Carlo simulations that allow you to find out the trading scenarios where your strategy is behaving in a manner which is outside of its predicted statistical behaviour. In a Monte […]

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