Ultimate Algorithmic Trading System

262
GENETIC OPTIMIZATION, WALK FORWARD
FIGURE 8.9
AmiBroker Monte Carlo settings dialog.
trades suggest this important correlation is ignored when trades are jumbled. If
you think about it, it sort of makes sense when dealing with a trend-following
algorithm. Trend-following trades can follow a cyclical pattern—one large winner
due to a trend, followed by a series of small losers that occur in the absence of a
trend. You can see that the small losers are a consequence of the dissipation of the
trend. This series of trades, big winner, small losers demonstrates a level of trade
interdependency. The Turtles felt like a loser might follow a winner and therefore
utilized the Last Trade Was a Loser filter. There has been much research on this topic
and the consensus has been that if serial correlation existed, it only applied to the first
subsequent trade. All other trades were independent events. If serial correlation is
a concern, a Monte Carlo simulation on equity curve segments would be a solution.
Each segment would contain the same series of trades and therefore maintain the
correlation. Since we are dealing with a large majority of alternate paths I don’t
necessarily think you need to concern yourself with serial correlation. So just go
www.rasabourse.com