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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
56.1%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
18.85%
95th Pct Worst Drawdown
32.84%
Expected Value / Trade
+0.079R
Median Profit Factor
1.089
Final balance after 87 trades, across 2,000 simulations — 5th pct $728, 25th pct $880, median $1,033, 75th pct $1,222, 95th pct $1,562.
Strategy B
Probability of Profit
86.05%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
12.85%
95th Pct Worst Drawdown
23.15%
Expected Value / Trade
+0.713R
Median Profit Factor
1.83
Final balance after 47 trades, across 2,000 simulations — 5th pct $879, 25th pct $1,104, median $1,309, 75th pct $1,598, 95th pct $2,160.
