Trading Blox supports Monte Carlo Simulations. The Monte Carlo preferences section controls the overall simulation.

There are seven items which control the Monte Carlo simulation and output:

Iterations

This controls the total number of separate alternate equity curves which are used to generate the reports. Bigger is better but bigger takes longer. We recommend leaving these set to 2000 for a 10 year test.

Maximum Equity Curves to Graph

This controls how many equity curves out of the total number of iterations will be graphed on the Monte Carlo Equity Curve Graph. You can set this to the same as iterations but this might result in it being impossible to see any distinct equity curves since they will all write over each other.

Sample with Replacement

This controls how the alternate equity curves are generated. If you check this it means that we will randomly select a portion of the equity curve and the same portion might be selected more than once. This setting will result in differing end points for the equity curve.
 
If this setting is not checked it will result in a simple reordering of the equity curve since each section of the initial equity curve will only be selected once and only once.
 

Sample Grouping Days

This controls how many consecutive days at a time are selected from the initial equity curve. A setting greater than one will preserve some of the serial correlation in the initial equity curve.
 

Confidence Level

This setting controls where the confidence lines are placed the graphs. It is a percentage which can range from 1 to 100. It also controls the value for the Confidence Level report. For example, if you set this to 85, we will report the MAR, CAGR%, Sharpe Ratio, R-Squared value, maximum drawdowns and length at the 85th percentile. In other words that value where 85% of the simulations had worse performance. This is fairly obvious from the graphs and is easier to understand when you look at it than by reading this.
 

Use a Fixed Random Number Seed for Repeatable Results

If this is checked then the value of the next field will be used to seed the random number generator. Effectively, this means that the sequence will repeat each time. If unchecked then a new random seed will start the random number sequence which means that each sequence will be different.

You can use this to determine if the number of iterations is sufficient. For smaller numbers of iterations, less than a few thousand, you will get different graphs and confidence level values if you have a different set of random numbers. If this happens it is a sign that the number of iterations is insufficient.

Random Number Seed Value

The value to use to start the random number sequence. Not used if the above is not checked.