What's the pros & cons of several monte carlo methods?

Discussion in 'Strategy Building' started by yoyo2000, Jul 23, 2005.

  1. yoyo2000


    There are seveal monte carlo methods,including scattering trades,or equity with discrete and continuous distribution,what's the pros*cons of each of them?

    I found many guys discussed monte carlo methods,but none talked about it,it should be useful for the monte carlo beginner as me to tell the differences and pros and cons of them,any reference/guide/suggestion please?
  2. IMHO,

    There is only one market and one market maker that would allow you to do this correctly, without large amounts of capital.

    I cannot post the name as it is against ET policy. But look for a Market Maker in Retail Spot Forex that allows a 1-unit trade increment in their trade ticket, rather than the minimum of 1k, 10k or 100k.

    Also with the Kelly Value, you must trade with the same stops and targets, for it to work correctly.

    With the FRM method, you must be careful and use a half FRM value with futures.

    Remember that most of these methods can also magnify your losses too, especially in the beginning. This excludes evaluating "strings" of wins and forming probabilities off of those statistics.

    Michael B.

    P.S. you might do a search for Acrary.....He has the scientfic explanation and how a real trader can/cannot apply it.

    P.P.S. Please excuse me for not addressing the pro's. I do not want a trader to take anything to heart and perhaps lose a lot of money. Monte Carlo methods and such are for advanced traders only. The system traded should never be tested and evaluated that depends on these methods to make it a valid system. Again, IMHO.
  3. You're quite right yoyo,

    A lot of loose talk floats around here like Monte Carlo, Neural Nets, Random Walk, you name it. Some of these may be useful in developing a profitable method. The truth is that the few that know would be crazy to post this. The truth is that you will have to work by yourself. Somebody saying the contrary can only be a loser.

  4. yoyo2000


    It's very strange for me,it shows that there are 2 replies in this thread,but I only can read the original one,could anyone who could read the second one quotes it in this thread,please?