‘Expectancy’ (Your trading system’s “Mean Or Average R-Multiple Generated.”) ‘R’ Multiples (A great way to evaluate your trade’s performance in relation to your initial risk.) 3. ‘R’ (Basically £’s at risk per trade.) 2. Van Tharp’s explanation of what ‘Expectancy’ is.ġ.
I don’t feel the need nor am I trying to reinvent the wheel here so here’s a link to Dr. his very useful concept of R, R-Multiples & Trade Expectancy. It’s almost impossible to speak about trading in relation to risk & position sizing without mentioning the demigod in this field probably the leading expert in position sizing & money management namely Dr.Van Tharp Ph.D. I’d rather lead you here than just repeat or paraphrase his explanation. As a note, one nice feature of this software is the (data scrambling) functionality concerning the generation of synthetic price data on basis of original historical data (EOD, Intraday etc.) Worth taking a look. Here’s a link to one of the better ‘Shareware Trading Simulators’ available to purchase namely the ’Zen Monte Carlo Simulator’ by a rather clever man by the name of Volker Butzlaff. There are some very good shareware ‘Trading Simulators’ available & most trading software platforms incorporate some kind of trading simulation functionality for back testing & forward test modelling to evaluate your prospective & current trading systems with many ways to adjust parameters to optimise & vary performance results. Win Rate Average Risk % Per Trade as a function of account equity Average Return for the amount of Risk Taken Commissions/Slippage incurred per round tripĪ key word & concept to take notice of here is the word ‘Expectancy.’ This type of ‘Spreadsheet Trading Calculator’ does hold some value in depicting possible ‘probable’ outcomes that are derived from some of your entered trading metrics namely ġst of all, this ‘FREE Monte Carlo Trading Spreadsheet’ isn’t ground-breaking in anyway, although the ‘Horizontal Frequency Distribution Graph' I’ve managed to incorporate (Thank you again Teylyn) in this Excel Trading Spreadsheet isn’t something I’ve seen anywhere else well, not depicted or formatted this way at least. I decided to create my own version that was a little bit more indepth in statistical feedback, yet based on the “KISS” mentality “Keep It Simple Stupid.” Monte Carlo Trading Simulator Trading Simulator Here’s my ‘FREE’ Trading Spreadsheet that you might find useful Ī ‘Monte Carlo Expectancy Simulator.’ Several years ago I stumbled across a simple ‘Excel Monte Carlo Trading Simulator’ on a trading forum.
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