Example of Monte Carlo, plus source code

[Mark Johnson <janitor@xxxxxxxxxxxx>]

An example of Monte Carlo simulation is given in this article:

http://traderclub.com/discus/messages/18/1264.html?WednesdayFebruary2120011132am#POST3763

MC simulation was used to study this question:

Given a trading method that has 40% winning trades
and 60% losing trades.  Suppose a trader takes 1000
trades using this method.  How many losing trades
IN A ROW can the trader expect to encounter, in a
trial of 1000 trades?  (Answer: the expected value of
the number of losses in a row is 12.3 and the standard
deviation of the number of losses in a row is 2.5).