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Bridging the Gap Between Backtest and Real-Life Trading: Using Monte Carlo Simulations

Name: Bridging the Gap Between Backtest and Real-Life Trading: Using Monte Carlo Simulations
Uploaded: 2024-06-07T22:00:01Z
Channel: Brian McAboy
Description: This is a YouTube video titled "Bridging the Gap Between Backtest and Real-Life Trading: Using Monte Carlo Simulations" featuring Michael Mauboussin…

7 Jun 2024

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This is a YouTube video titled "Bridging the Gap Between Backtest and Real-Life Trading: Using Monte Carlo Simulations" featuring Michael Mauboussin discussing the differences between backtest results and real trading performance, emphasizing the use of data randomization and Monte Carlo simulations to better predict future outcomes. The content is a single-speaker explanation on trading strategy evaluation.

Traders complain the real live trading performance is not matching my backtest. It's not supposed to be because the backtest or everything we did with the backtest, it was on a certain order of data which will not repeat by itself in the future. So the first step we need to do once we have a robot strategy, we actually need to randomize the order of our backtest data. We can we need to so called bootstrap the data or create a Monte Carlo permutations and then simulate what the outcome of a different order will be like and then we have a good view on the future possible future performance. So it definitely is going to be little bit different than the Bectes data, but at least we can simulate.