This was already done, but the conclusion is: MDD is higher the smaller the acct is. An acctsize of 600k seems ideal in many aspects.
This is possible, just need to find the right params: $ ../periodpct1.exe 100 252 0 PeriodPct = 0.275437038 But, the question is: how big should the initial account size be?...
Just 2 cents: Perhaps open several simulation accounts with $100,000 each, from different brokers. However, start trading only with $80,000 as initial capital size, setting aside $20,000 as FX.
Oh sorry, you mean testing on a paper account using real data? If someone can provide an API I can do it. But the question is: how many days/weeks has it to run? Isn't GBM much better?
More than a broker and API is too much work. Best would be a testacct of size 600k at a brokerage house with an API. But as said: how many days/weeks to trade?
Ok, here's the results of a 6th run, together with the distribution of the trade durations: Code: Profit in 1 year 1012.00% Avg Monthly Rate of Return (ROR): 22.23% Avg Weekly Rate of Return: 4.90% Avg Daily Rate of Return: 0.96% Highest Daily Gain of AV: 18.49% Highest Daily Loss of AV: -3.63% Max Drawdown of AV: -10.38% Code: Trade durations in days: days trades cumul_trades cumul_percent 1 888 888 44.98 2 300 1188 60.18 3 194 1382 70.01 4 156 1538 77.91 5 106 1644 83.28 6 80 1724 87.34 7 55 1779 90.12 8 42 1821 92.25 9 22 1843 93.36 10 29 1872 94.83 11 49 1921 97.32 12 17 1938 98.18 13 13 1951 98.83 14 6 1957 99.14 15 9 1966 99.59 16 4 1970 99.80 17 1 1971 99.85 19 1 1972 99.90 20 2 1974 100.00