Discussion of article "Applying the Monte Carlo method for optimizing trading strategies"
This article is awesome but my ea works on mt4, so I need monte-carlo codes for mql4.
good idea, but it's only suitable for fixed positions.
Gread Ideia! But i put the code in the end of my EA but nothing happened. Im still getting the same results. Problaby Im doing something wrong, do you have a ideia what it can be? Thanks!
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New article Applying the Monte Carlo method for optimizing trading strategies has been published:
Before launching a robot on a trading account, we usually test and optimize it on quotes history. However, a reasonable question arises: how can past results help us in the future? The article describes applying the Monte Carlo method to construct custom criteria for trading strategy optimization. In addition, the EA stability criteria are considered.
Let's explain all above by the graph. It shows several capital curves. Each of them is determined by the generated sequence of trades. I marked the curves with different colors for more convenience. In fact, their number is much larger — several tens of thousands. For each of them, we calculate the necessary parameters and make statistical conclusions based on their totality. Obviously, the most important of these characteristics is the final profit.
Other approaches to probabilistic formalization and further EA operation modeling are possible as well. For example, instead of sequences of trades, we can simulate price sequences and study the aggregate profits the EA has obtained on them. The principle of generating price series can be selected depending on a task you want to solve. However, this method requires much more computing resources. In addition, MetaTrader currently provides no regular ways to use it with a random EA.Author: Aleksey Nikolayev