Monte Carlo Analysis Descrepancies

0 votes
asked Jun 20, 2017 in AFL Code Wizard by Kieran
Hi,

I have created a trading system using AFL coding and included the following two lines of code at the top of my program

SetPositionSize(9, spspercentofEquity);
SetOption("MaxOpenPositions",10);

My understanding is that this should mean the system has a maximum of 10 open positions and each position should be 9% of my equity. Firstly is this correct?

When I go into the Backtester settings in the Analysis window and go to the Monte Carlo Tab if under position sizing I select the "Don't change" radio button my red line on the MC min/Max Equity chart goes to zero in the first 10 trades. If instead I select the "Percent of Equity" radio button and insert 9 the red line increases over the testing period. Based on my AFL code I would have expected that both analysis' would have returned the same result. Which setting should I use to get the right most accurate outcome?

In addition not only is the worst case affected but the max drawdown is significantly higher and annual return significantly lower when the Don't change" radio button is selected compared to "Percent of Equity" with 9 inserted. Any help explaining what I'm doing wrong would be greatly appreciated

1 Answer

0 votes
answered Jun 22, 2017 by admin (9,260 points)
This site is simple question & answer. It is not suited for elaborate posts and lenghty answers.

Your understanding of different MC modes is incorrect and would require a) (re-)reading http://www.amibroker.com/guide/h_montecarlo.html and b) probably another bunch of pages of text

For this kind of content use the forum http://forum.amibroker.com or email support
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