Glossary

Monte Carlo simulation

Reshuffling or resampling a strategy's trade history many times to see the range of outcomes chance alone could have produced.

A single trade history is one path out of many the same trades could have taken, since the order trades happen in is partly luck. A Monte Carlo simulation reruns that history thousands of times, shuffling the order or resampling the trades, to show how much of the result was the sequence and how much was the trades themselves.

A wide spread of outcomes across the simulated runs, including some that lose money, means the original result depended more on a fortunate sequence than the headline numbers suggest.