← All Markets
Overview
Strategy A
Strategy B
Trade Viewer
Regime Analysis
Entry Filters
Trading Costs
Monte Carlo
← Original 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
46.4%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
20.69%
95th Pct Worst Drawdown
34.75%
Expected Value / Trade
+0.035R
Median Profit Factor
1.007
Final balance after 81 trades, across 2,000 simulations — 5th pct $706, 25th pct $843, median $975, 75th pct $1,162, 95th pct $1,568.
Strategy B
Probability of Profit
60.95%
Risk of Ruin (≤50% of start)
0.0%
Median Max Drawdown
21.17%
95th Pct Worst Drawdown
34.63%
Expected Value / Trade
+0.548R
Median Profit Factor
1.447
Final balance after 47 trades, across 2,000 simulations — 5th pct $676, 25th pct $838, median $1,125, 75th pct $1,571, 95th pct $2,610.
