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Monte Carlo Simulation
Bootstrap-resamples this strategy's own historical, NET-of-costs R-multiples (same trades the Trading Costs page uses) WITH replacement to build 2,000 alternate trade sequences, each as long as the real historical trade count — this captures the actual distribution's shape (fat tails, losing streaks, the real win rate) rather than assuming a clean win-rate/reward:risk model, and is cost-inclusive by construction. Starting balance $1,000, 1% of current balance risked per trade, compounding.
Caveat: bootstrap resampling assumes trades are independent (no serial correlation) — this project's own regime/walk-forward analysis found session and regime effects that mostly don't survive rigor, which supports independence as a reasonable approximation, but it isn't literally true for a trend-following-style structure strategy in real markets with regime persistence. Treat the figures below as a model of the historical trade distribution's dispersion, not a guarantee of future behavior.
Caveat: bootstrap resampling assumes trades are independent (no serial correlation) — this project's own regime/walk-forward analysis found session and regime effects that mostly don't survive rigor, which supports independence as a reasonable approximation, but it isn't literally true for a trend-following-style structure strategy in real markets with regime persistence. Treat the figures below as a model of the historical trade distribution's dispersion, not a guarantee of future behavior.
Strategy A
Probability of Profit
4.35%
Risk of Ruin (≤50% of start)
93.5%
Median Max Drawdown
88.58%
95th Pct Worst Drawdown
96.81%
Expected Value / Trade
-0.070R
Median Profit Factor
0.89
Final balance after 1,693 trades, across 2,000 simulations — 5th pct $39, 25th pct $95, median $174, 75th pct $341, 95th pct $939.
Strategy B
Probability of Profit
13.35%
Risk of Ruin (≤50% of start)
81.65%
Median Max Drawdown
82.05%
95th Pct Worst Drawdown
94.67%
Expected Value / Trade
-0.049R
Median Profit Factor
0.938
Final balance after 1,129 trades, across 2,000 simulations — 5th pct $73, 25th pct $167, median $326, 75th pct $650, 95th pct $1,874.
