Trading Blox supports Monte Carlo simulations and reporting of various types. These can be activated for Single Run and Small Tests. They are not active for Large Tests: The Monte Carlo Simulation reports include:

 

Equity Curve Graph

A log-scale of the different equity graphs overlaid on the test equity curve.

 

Returns Graph

A curve of the distribution frequency and accumulated percentiles of the various returns. This graph won't be useful unless you check Sample with Replacement as the returns will be the same without that checked.

 

Sharpe Graph

Same as above but with CAGR% for each alternate equity curve.

 

MAR Graph

Same as above but with MAR for each alternate equity curve.

 

R Squared Graph

Same as above but with R-Squared for each alternate equity curve.

 

Drawdown Graph

Same as above but with the maximum drawdown, second largest, and third largest for each alternate equity curve.

 

Drawdown Length Graph

Same as above but with the longest drawdown, second longest, and third longest drawdown for each alternate equity curve.

 

Confidence Level Report

A text-based percentile report which will be run as part of the normal performance settings. It shows the values of the performance statistics at the percentiles specified by the confidence level above. NOTE: You must also have Trading Performance and Statistics checked for this report to work.