Development of an Expert Adviser applying the Casino Winning Strategy "Monte Carlo Method" for Lot Sizing
Introduction
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On the other hand, since the increase in the amount of bets is gradual, the possibility of bankruptcy is small.
Therefore, I have been thinking for a long time that I can trade with an advantage by applying this to Forex lot sizing, and I have succeeded in systematizing it this time.
We have already been conducting a real forward for about 8 months, and it has shown very good performance.
In this article, I would like to introduce the Expert Advisor (EA) that I developed by applying the Monte Carlo method.
Advantages and disadvantages of the Monte Carlo method
First of all, I will explain the advantages and disadvantages of applying the Monte Carlo method to Forex.
Advantages: The profit and loss curve rises beautifully
Disadvantages: The drawdown becomes deeper
The figure below is an example of a profit and loss curve for a lot sizing system using the Monte Carlo method.
You can understand the advantages and disadvantages of the above.
As shown in this graph, if it goes well, the profit and loss curve will rise almost in a straight line.
However, if you lose money, the lot will swell, so of course money management is important.
It is also important to devise ways to prevent losses from being concentrated.
Explanation of Montecarlo EA
Now, I will explain the "Montecarlo EA", which applies the Monte Carlo method to lot sizing.
Strategy Overview
In addition to the use of the Monte Carlo method for lot sizing, Montecarlo EA also has the following features:
1. In order to take advantage of the lot sizing according to the Monte Carlo method, all positions are executed at 50 pips for take profit and stop loss (designed with a risk-reward ratio of 1:1).
2. In order to prevent the lot from increasing due to consecutive losses, it consists of a total of 19 charts of 6 EAs with different logic and multiple currency pairs, and also implements a unique algorithm for further decentralization.
3. All six logics are advantageous logics that can make a profit without lot fluctuations.
As you can see, there are many ways to make use of the Monte Carlo method.
Next, let's take a look at performance (back-test, live trading).
Back-test
The following is a summary of the back-test for 19 charts using Quant Analyzer.
We have been able to draw a steadily rising asset curve.
However, this back-test has not been able to reflect the effect of the decentralization algorithm described above.
Therefore, it is likely that DD tends to be smaller than back-test.
Now, let's check the performance of real trading that can demonstrate the effectiveness of the decentralized algorithm.
Live Trading
Below is the performance of real trade.
It has been eight months since we started operation, and we have been able to draw a profit and loss curve that is steadily rising according to the theory.
The revenue is also impeccable at 88%.
However, since this EA uses the Monte Carlo method, it is natural that the asset curve will rise steadily.
Now, let's take a look at what kind of performance it would be if we didn't use the Monte Carlo method.
Below is the asset curve on a pips basis.
The drawdown period is longer than that of the curve using the Monte Carlo method, but it is still rising steadily.
From this, we can see that it is not an EA that wins only by lot sizing.
Conclusion
In this article, we have described an EA that applies the Monte Carlo method to lot sizing.
If you are interested in "Montecarlo EA" after reading this article, please check out the following sales page.
We hope that this article and EA will help you have a comfortable trading life.
EA page is here
[Reference]
Monte Carlo method has a slower lot change than the Martingale method which also used as a winning strategy in casinos, and DD is suppressed.
The following is a comparison of the back-test when the Monte Carlo method and the Martingale method are performed with the same logic, so please refer to it.
In the Monte Carlo method, the maximum lot is suppressed to 37 times the initial lot, but the Martingale method is swollen to 1024 times, and the maximum DD is also overwhelmingly larger in the Martingale method.
Monte Carlo method
Initial lot: 0.03
Maximum lot: 1.1 (37x)
Martingale method
Initial lot: 0.01
Maximum lot: 10.24 (1024 times)
