Rolling is also like closing the position, taking a gain or loss, and opening a new trade.
You shouldn't be trading 10 contracts if you are not sure what to do when one leg of your position is being pressured. Use smaller contract sizes...
Then you must limit your range of z values for winning/losing trades? Otherwise you can get a negative return when trying to pick a winning trade....
I found that a lognormal distribution works pretty well. In excel you just take the exponent of the output from NORMINV:...
I'd like to write my own monte carlo program that works like Acrary's where you can input a different mean and standard deviations for both...
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