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As systematic and algorithmic traders, we have a number of tools and processes we can use to test and validate trading strategies.

For example, in-sample/out-of-sample testing, walk forward analysis, cluster analysis and a bunch more.

(And don’t forget all the fancy named techniques that have been lumped in with Machine Learning that are sometimes just rebadged techniques that have been around for ages already!)

Anyway, one of the tools that we have at our disposal is Monte Carlo analysis.

When you’re using a tool it can be good to understand how it works...

What are it’s strengths?

What are it’s weakness?

Today I’m goin

111: Managing Monte Carlo

Better System Trader