← All Markets
Overview
Strategy A
Strategy B
Trade Viewer
Regime Analysis
Entry Filters
Trading Costs
Monte Carlo
Variant Model →
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
12.8%
Risk of Ruin (≤50% of start)
68.5%
Median Max Drawdown
67.98%
95th Pct Worst Drawdown
85.75%
Expected Value / Trade
-0.042R
Median Profit Factor
0.928
Final balance after 1,197 trades, across 2,000 simulations — 5th pct $172, 25th pct $314, median $482, 75th pct $731, 95th pct $1,347.
Strategy B
Probability of Profit
7.5%
Risk of Ruin (≤50% of start)
76.3%
Median Max Drawdown
70.9%
95th Pct Worst Drawdown
87.72%
Expected Value / Trade
-0.089R
Median Profit Factor
0.882
Final balance after 804 trades, across 2,000 simulations — 5th pct $146, 25th pct $263, median $400, 75th pct $614, 95th pct $1,186.
