Greetings -- Mike's comment is correct --
As for the value of Monte Carlo (MC) vs. Walk Forward Analysis (WFA). My view is that the two are not mutually exclusive, but rather are complimentary. Your out of sample (OOS) results from WFA are exactly the right kind of inputs for MC analysis. ------------------- I would make the statement even stronger. The input to a Monte Carlo Analysis _must_ come from strictly out-of-sample results. One way to get these is from the OOS runs of walk forward analysis. Another is the trades observed after the system being tested has been finalized. Either paper trades or actual trades count, provided the system has not been modified during that period. Thanks, Howard
