Trade-sequence Monte Carlo simulator
Resample your closed-trade results to see how the order of the same trades changes drawdown and final return.
Use the free toolTrade-sequence Monte Carlo
Resample your closed-trade results with replacement to see how much the order of the same trades changes drawdown and final return. Uses the SuperQuant backtest engine's seeded bootstrap.
Turn on JavaScript to calculate. Nothing you type is sent to SuperQuant.
Method. With replacement, each resample draws the same number of trades from your list at random and records final return and maximum drawdown. The block bootstrap instead copies runs of consecutive trades (mean block length 2, 5 and 10) sized against current equity, so losing streaks stay together. Percentiles describe resampled history only; serial correlation, regime change and execution differences are not modeled.
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What does this worksheet include?
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