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…

Mark: it still works (see my MyFxBook screenshot above). I currently have 3 nicely working brokers. You just have to systematically go through all MT4 brokers out there;) There are more than enough fishy ones with delayed / slow feeds. I have a spreadsheet with about 1300 MT4 brokers (CySec website lists all EU Forex brokers!), about 100 are “done”. Yes, you do not get the withdrawal in about 40% of the cases, but you get back your initial profit in 95% of the cases. However, where it works, then you can quickly make a nice buck which compensates for all the blocked withdrawals at other brokers quickly. But sure, it´s a time-consuming task (~4 hours / day) to open up broker accounts all the time. Nevertheless, it´s worthwhile for me so far and once you hit the “jackpot” again (e.g. a few thousand percent within a few days and get the withdrawal) on one of them, you are set for a while until you find the next working one. Just like anything with trading, you have to follow a system to make money and log / note everything:)

They all know where you live, if you suddenly stop posting here we know why.

I’d be careful, especially of the ones run by Russians in Cyprus….. :ph34r:

They all know where you live, if you suddenly stop posting here we know why.

 

I’d be careful, especially of the ones run by Russians in Cyprus….. :ph34r:

since i know dark web exists, i would be affraid also 

Haha, I am half-Russian and have a big Russian clan here, no worries:)

Half russian too :), hehe, good posts geek, i also was arbing not too long ago, but i’m done with it since i found some great scalping strategies and not trading for a living by them since they do not harm the brokers TOS,

and im using STP and ECN brokers with them,

arbing is very frustrating as you already mentioned,

you got to find brokers on a daily bases and pray to god they will give you your profits,

i would go one level above arbing and that is scalping, there is no going back from it :), happy where i am right now after that experience, sure i got to know many things in that arbing journey, although i prefer not even looking back at it and try it again,

however news trading is very clever and im thinking about starting news trading, there are some tools that can help you with it, its not arbing but some “inside information” that you can get the news and react faster then most of the manual traders out there in a couple milliseconds, i wouldn’t advertise no tools here, you have to google it yourself, there are payed stuff out there that meant to be news traded with that can change your prospective on trading overall.

Found this, New approach to strategy testing and evaluation of future performance. Simular to walkforward Matrix optimisation  but with a different approach i think. Need to read it a couple of more times.

2014 Wagner Award Winner,  Dave Walton

Turning Data Mining from Bias to Benefit Through System Parameter Permutation

System developers go to great lengths to avoid the effects of randomness in trading results, knowing the large impact it may cause. In contrast, SPP embraces randomness as a tool to help uncover what may probabilistically be expected from a trading system in the future. The method is simple to apply yet very effective.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2423187

Thic should be added to new sq4 said developers of sq4

Geektrader, all MM now backtest your accounts before withdraw . Yes you can play on latency between brokers and i guess it will work from now to 10 years more , latency with server is here and will stay .
But even if your making money when you withdraw them they will reject it . And MM communicate with each other even ctrader platform owner has backed icMarkets to screw one person that was doing arbitrage trading.
Its 100% illegal for retailers like us and against tos.
I dont suggest anyone to do so unless they want to risk their account being blocked and ban

Geektrader, all MM now backtest your accounts before withdraw . Yes you can play on latency between brokers and i guess it will work from now to 10 years more , latency with server is here and will stay .
But even if your making money when you withdraw them they will reject it . And MM communicate with each other even ctrader platform owner has backed icMarkets to screw one person that was doing arbitrage trading.
Its 100% illegal for retailers like us and against tos.
I dont suggest anyone to do so unless they want to risk their account being blocked and ban

+1, already been there already done that..
not worth it.., better work by broker’s TOS and with not a MM, only STP/ECN.

+1, already been there already done that..
not worth it.., better work by broker’s TOS and with not a MM, only STP/ECN.

 broker’s TOS ???? thx

Trading news by getting inside info will not help you , you are not trading in a perfect world . Forex, stocks … Are manipulated by big pockets and banks and huge inst.

Many times , most of the time news comes positive for lets say usd and honestly any “animal human” with common sense will bet on buying (going long) on usd . From nowhere you see a huge spike up for 1 ms to trigger the buys and poooof usd go down 200 pips as if a huge negative news came ! You look at the usd news u see it positive. Wtf happened ? Well if common sense retail trader buy usd the othercommon sense is the manipulators took their money.

If news traing was straightforward you would see only fundemantals traders out there . In reality u see none as fundemantals are investers (they look at central bank hike rate and they short or long ) that works for sure. But u need money to make money in investing

Half russian too :), hehe, good posts geek, i also was arbing not too long ago, but i’m done with it since i found some great scalping strategies and not trading for a living by them since they do not harm the brokers TOS,
and im using STP and ECN brokers with them,

arbing is very frustrating as you already mentioned,
you got to find brokers on a daily bases and pray to god they will give you your profits,

i would go one level above arbing and that is scalping, there is no going back from it :), happy where i am right now after that experience, sure i got to know many things in that arbing journey, although i prefer not even looking back at it and try it again,

however news trading is very clever and im thinking about starting news trading, there are some tools that can help you with it, its not arbing but some “inside information” that you can get the news and react faster then most of the manual traders out there in a couple milliseconds, i wouldn’t advertise no tools here, you have to google it yourself, there are payed stuff out there that meant to be news traded with that can change your prospective on trading overall.

 broker’s TOS ???? thx

TOS = Broker’s Terms Of Conditions 🙂

Trading news by getting inside info will not help you , you are not trading in a perfect world . Forex, stocks … Are manipulated by big pockets and banks and huge inst.

Many times , most of the time news comes positive for lets say usd and honestly any “animal human” with common sense will bet on buying (going long) on usd . From nowhere you see a huge spike up for 1 ms to trigger the buys and poooof usd go down 200 pips as if a huge negative news came ! You look at the usd news u see it positive. Wtf happened ? Well if common sense retail trader buy usd the othercommon sense is the manipulators took their money.

If news traing was straightforward you would see only fundemantals traders out there . In reality u see none as fundemantals are investers (they look at central bank hike rate and they short or long ) that works for sure. But u need money to make money in investing

@gentmat, i have started to use news trading not long ago just to try it out because i’m a technical daytrading scalper overall,

it is working, the thing is to react to the news as fast as your can and as soon as it happens, of curse that you need to know on what currency pair to trade those news and what news to trade at all,

you need to do some research, and what you told about triggers and all that, no it is not the usual new trading strategy when you got 2 stop orders one for buy and one for sell and wait till the spike go to your favor,

but this is another way to trade the news though you need to know more about how to trade them except the strategy and tools..

for NFP that 2 orders strategy will work, but you will get in late, but if you got that “inside” info earlier by a few miliseconds or even a few microseconds you will get more advantage..

Found this new Video on SPP implementation coded on Tradestation.

https://www.youtube.com/watch?v=Yd2HAtsxdQ4

@Geektrader: What do you think of DukasCopy? Are they a true ECN broker?