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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
58.5%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
17.55%
95th Pct Worst Drawdown
31.18%
Expected Value / Trade
+0.107R
Median Profit Factor
1.121
Final balance after 85 trades, across 2,000 simulations — 5th pct $745, 25th pct $899, median $1,048, 75th pct $1,244, 95th pct $1,647.
Strategy B
Probability of Profit
61.95%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
17.75%
95th Pct Worst Drawdown
30.31%
Expected Value / Trade
+0.317R
Median Profit Factor
1.301
Final balance after 58 trades, across 2,000 simulations — 5th pct $734, 25th pct $903, median $1,101, 75th pct $1,392, 95th pct $1,984.
