Does anybody have any experience with Montecarlo testing?
I'm using it to try and predict the drawdown of a system I am playing with.
The system between 07 and 2010 (300 trades) made a profit of 150 ES points with a drawdown of
14 points. When I run the Montecarlo simulation with 5000 runs I get 2 figures.
Average drawdown: 21 points, and Worst case drawdown: 55 points.
I have a couple of questions;
#1 I chose 5000 runs. How many runs are optimal?
#2 Is the average figure the correct number to use to predict future drawdowns?
Cheers