Technical Analysis of STOCKS & COMMODITIES
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Monte Carlo Simulation
Position Sizing With Monte Carlo Simulation by Michael R. Bryant, Ph.D.
ARTICLE SYNOPSIS...Need to know how much to put on your next trade?
You can figure it out with 95% reliability using this
simulation technique.
Consider this: Jane and Joe started
trading the same Standard &
Poor's 500 futures trading
system at the same time. They
each be
ARTICLE SYNOPSIS...MONTE CARLO SIMULATION
Let us assume we have a specified string of profits and losses -- for example, the 1985-89 string of profits and losses for
the 25-market portfolio used in the article. The Monte Carlo simulation is the technique we use to determin