System robustness & variability
Monte Carlo Simulator
See how a positive trading system can still experience many different equity paths due to normal statistical variance. Simulated curves, median outcome, expected return range, and percentile drawdown zones. For systematic trading system evaluation only — not general investing.
Inputs
Suggested: trades/day × 20 if from system
Simulated equity curves
Cumulative return (%) over trades. Teal band = 5th–95th percentile. Green = median (highlighted path). Blue = sample paths. Re-run to see variance.
Simulation summary
Median outcome
+47%
Expected return range (5th–95th)
26% … 74%
Min / max end return
2% / 101%
Worst case drawdown
18%
Drawdown zone: 50% of sims had max DD ≤
6%
Drawdown zone: 90% had max DD ≤
11%
Percentile drawdown zones: Half of paths had max drawdown ≤ 6%; 90% had ≤ 11%; 95% had ≤ 11%. Worst single path: 18%.
Interpretation
- Teal band (5th–95th percentile): In 90% of runs, equity stayed within this range. Use it for realistic expectations over this many trades.
- Green line (median): The typical outcome. Compare to your target; if the median is weak, improve the system or reduce risk.
- Drawdown zones: Plan for the 90th percentile drawdown (11%), not just the median. Worst case (18%) is what can happen in an unlucky path.
- For systematic trading system robustness only. Not general investing or multi-asset. Results change each run due to randomness.
Disclaimer
Simulations are random; results change on each run. Theoretical model for system evaluation only. Past or simulated results do not guarantee future performance.