Monte Carlo simulations seem to conclude nothing about future performance of a strategy

Just found this interesting article from Daniel today: http://mechanicalforex.com/2016/05/do-monte-carlo-simulations-say-anything-about-system-robustness.html

Very interesting find and in conclusion with my findings so far…. I´ve been running systems live for about 8 years in total (not just from SQ) that have been Monte Carlo simulated before and yet have found no conclusion so far about that strategies that had bad Monte Carlo simulation results before going live did worse than the ones which had great Monte Carlo simulation results. Daniel describes it very well, Monte Carlo simulations tend to prefer strategies that work well on smoothed data only and can make you bin profitable live strategies that work on precise price-action only and still would do great going forward (like Daniel describes it with the company that is buying forever after 2 new highs, etc). So in fact, Monte Carlo simulations can make you discard really good strategies that would have done nice going forward and hence work counter-productive for us.

Does anyone else with a solid base of live trading have any other conclusions about Monte Carlo stability versus live trading so far? Would be great to hear…

I can´t confirm this experience, maybe with some VERY fishy brokers that do stop hunting, but not with a serious broker. I run my strategy on 3 different ECN brokers on private accounts that range from 1000 to a few several thousands. I also run a MAM with 100k+, my strategies perform exactly the same on each broker, apart from a few .X pips slippage difference, there is no other difference. As said, on market maker brokers, because of stop hunting and feed manipulation, it surely is the case that they try to cheat you out of your money on bigger accounts. Solution is to work with serious ECN brokers only that also can show you a ticket for each trade about which LP´s filled your order.

The only reason I can see a ‘larger’ account ($50k+) performing worse is if the broker is a manipulator or their liquidity pool is small and catering mostly to smaller accounts.

The only time larger trade size will effect your fills is if your account is 100+ million dollars and even then you can find brokers that connect to liquidity pools catering to that type of size.

These are both reputable brokers, Pepperstone and Go Markets Australia and both are premium brokerage accounts.  

I initially saw the problem on my Pepperstone edge account where I had the majority of my equity and saw performance drop as compared to my Go Markets account using same strategies/Risk Levels which had good performance so I moved majority of funds from one account to the other, low and behold same thing started happening on the Go markets and my pepperstone performance started improving, the Results speak for themselves.

Only thing changed is account equity!!!   Same Strategies, Same Risk levels, just different brokers etc 

Both MT4 Accounts are being run on the same machine, so is using the same Internet link etc, everything is common except for broker and amount of $ in each account, and what appears to be the issue is the amount of $ held by the broker.

The account is nothing close to a large account as not even trading full contracts on any of my trades.

Seaton you have probably problem with your strategies, they are too data sesitive, you should eliminate them. analyze what happened. was there different spread? did you get slippage? was entry or exit to the trade different?

find out there is problem–> analyse–> solve

Don´t get me wrong, but both, Pepperstone and Go Markets are market makers of the worst kind. How I know? I latency arbitrage them all the time, latency arbitrage works ONLY with market makers, no ECN broker can be latency arbitraged. Additionally, go and ask bot of them for trade tickets for your trades to see which LPs filled the order. You won´t get anything from them, because the trades do NOT go to any LP;)

This is how such a ticket will look at a serious broker (Global Prime for example), just that you have a reference:

it depends on LQP, what edge you have? If you have edge 01 or edge 02, i dont think those are MM

Don´t get me wrong, but both, Pepperstone and Go Markets are market makers of the worst kind. How I know? I latency arbitrage them all the time, latency arbitrage works ONLY with market makers, no ECN broker can be latency arbitraged. Additionally, go and ask bot of them for trade tickets for your trades to see which LPs filled the order. You won´t get anything from them, because the trades do NOT go to any LP;)This is how such a ticket will look at a serious broker (Global Prime for example), just that you have a reference:

May be Pepperstone have some agreement and cant show the LQP? Or they sort the accounts-if you are loosing, they are LQP, if you winn, they send your order to the market?

There is aslo positive slippage at pepperstone and no requotes…why they do it if they are MM?

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Pepperstone Support (Pepperstone)

Jun 8, 03:30 AEST

Don´t get me wrong, but both, Pepperstone and Go Markets are market makers of the worst kind. How I know? I latency arbitrage them all the time, latency arbitrage works ONLY with market makers, no ECN broker can be latency arbitraged. Additionally, go and ask bot of them for trade tickets for your trades to see which LPs filled the order. You won´t get anything from them, because the trades do NOT go to any LP;)This is how such a ticket will look at a serious broker (Global Prime for example), just that you have a reference:

If they are regulated and good they will provide it. If they are serving US clients outside of US they wont provide it to protect themselves and LPs. This is the case with some.
Others just have fake ECN.

Yup, didn´t except any other answer from them, LOL. IT´s the typical excuses to not show tickets and to hide that it´s market making. Remember, any broker that can be arbitraged is a market maker, latency won´t work on any ECN because LPs price the same speed everywhere or would reject the order if you would try to execute on the stall price, but Pepper + Go (+ basically 100 other brokers I have testd, I have a spread-sheet for that) do make the market and hence there is a slight delay in quotes because of in-house aggregation and risk management of their b-book backend which you can use to your advantage to arbitrage them. Those excuses in the chat are just bullocks, not disclosing LPs and crap, heard it 1000 times throughout the years;) In fact it´s the best way to find the market makers to find the ones where latency arbitrage works, I chat with new brokers I want to arbitrage before I open an account and ask if they provide tickets, if they don´t, perfect, then latency arbitrage will work almost 99% of the time as it´s the perfect sign that they are making the market. This also has nothing to do with taking US clients or not, but it´s a very great excuse as well which clients just take.

Pepperstone, if you read their TOS, also has it in it that they own a market making license, there is nothing in there that says they are ECN or forward your orders. Same for Go Markets. Go Markets uses the same market maker as Vantage FX did (Efinium), which almost went bust when they´ve been latency arbitrage by BTN Lightning back in 2013. Been there, done that…. (and still doing it) 😉

I repeat, if you are with a real ECN broker, they WILL be able to show you those tickets and do happily do so. Non-disclosure agreements between a broker and their LPs simply do NOT EXIST, it´s a made up reason. LPs do in fact have interest to show the broker and their clients that their execution is good, because this will bring them more flow towards them. Try Tickmill (shows tickets, latency arb doesn´t work there), try Global Prime (same as Tickmill), try Darwinex (also the same). There is just a handful of real ECN brokers out there, the rest just pretends to be and you can happily latency arbitrage the crap out of the market making cheating asses and beat them with their own weapons.

Thank you geektrader for explanation. 

You talk so nice about latency arbitrage, where can i learn it? Seems to be as better bussines than Algotrading…

My Pepper account (though did gray out all values, just in case someone decides to run to Pepper with this, but you see it´s verified):

Sorry Patrick, but there is nothing to learn here, as few people as possible should do latency arb, otherwise it will not be useable anymore since the broker will introduce execution delays to kill it with their MT4 plugins. It´s their money which I am taking here and they are certainly NOT happy about that, not the money of the LPs, remember, they are market makers, otherwise latency arbitrage won´t be possible. All I can say is that I´ve been doing it since 2012 with over 100 brokers (funnily most of them call themselves “ECN”, yet never were able to provide a single ticket about execution, haha and all that were able, I didn´t get a single profitable trade) and the EA is my own with all kinds of error checking and protections in case the broker decides to introduce execution delays or other tricks, it won´t just keep on trading “blindly”. That´s as much as I can say about this topic, sorry. But there are some 3rd party latency arbitrage EAs, though expensive and usually don´t work very well (the reason I decided to code my own – and 60% of the code is checking for all kind of broker tricks with order execution, which you first have to figure out what they are and then see how to protect your money from those). In any case, latency arbitrage does only work as long as not many are doing it and you stay under the radar as much as possible with each broker.

Though I have no fears to reveal it about Pepperstone, because it has been working there since 2012 too. In fact BTN Lightning´s promo account was one at Pepperstone which made 37000% in a year. All I need to do from time to time is to open a new account in the backend, because sometimes they notice it and introduce execution delays of 2 to 3 seconds on the account. I simply open a new one internally then, transfer the money over to it, and continue until it happens again. The account up there has been running since over half a year now again. They are as stupid and fishy as a fake-ECN market maker broker can be, hilarious.

http://www.myfxbook.com/members/www35

http://www.myfxbook.com/members/www35

Has anyone tried?

seems to be too easy to buy and EA, install and beat the broker. 

is it legal? can broker confiscate your deposit?

if something looks too good to be true, usually its not true…

latency/price arbitrage is an interesting topic, I know a person claimed to make lot of money out of it, but it was like 7 years ago, when there were really big price differences between brokers.

But it was semi-illegal even then, he had to change brokers often.

I’m not saying that it doesn’t work today, but the results, especially those from westernpips really look too good to be true.

If somebody can make thousands of % per one month then I wonder why we have never heard of this unknown billionaire 🙂

I’m no expert in this area, but from what I know latency arbitrage is against Terms of Service of many (if not all) brokers, so if they’ll find out they could refuse to pay you your money and maybe there are also other consequences.

Yes, the MM brokers have software that also monitors fast ECN feeds, the software highlights accounts that place many trades for small number of pips with very high % win rate, at prices close to the ECN prices.

They simply cancel all profits and disable your account.  Then make it hard for you to withdraw your initial deposit.

So, it is not easy, I’d be surprised if you could actually get to spend the profits before they closed you down…

The results are probably real from Westernpips but I think 95% of the time the broker didn’t let him withdraw, my guess. The withdraws are the broker taking money out of the account after they banned him.

Anyway Geektrader is a badass!