Class MonteCarloTradeShuffle

java.lang.Object

com.quantfinlib.backtest.validation.MonteCarloTradeShuffle

public final class MonteCarloTradeShuffle
extends Object

Monte Carlo trade reshuffling: the answer to "was my equity curve's shape luck?". A backtest reports one path: this strategy's trades in the order they happened, producing one max drawdown and one terminal equity. But the order is itself a sample. Reshuffle the same trade P&Ls into thousands of random sequences and you get the distribution of drawdowns and terminal wealth the strategy's own trades imply. The question then stops being "the backtest drew down 18%" and becomes "the 95th-percentile drawdown of my trade set is 31%, so plan for 31, not 18".

What reshuffling holds fixed and what it breaks: it preserves the multiset of trade outcomes (win rate, average win/loss, profit factor are invariant) and destroys their order, so it isolates "path/sequencing risk" from "edge". Its blind spot: it assumes trades are exchangeable, so it understates risk for a strategy whose losses cluster (serial correlation, regime dependence). A martingale that wins small and loses catastrophically looks tamer reshuffled than it is. For serially-correlated paths use BlockBootstrap on the return series; this class is the per-trade complement, and the two disagreeing is itself the signal that your trades are not independent.

The path compounds each trade's Trade.returnPct() (return on the capital committed at entry): wealth W_k = Π_{j≤k}(1 + r_j) from 1. Reshuffling currency P&L instead would be wrong for an all-in compounding book, where a trade's currency P&L depends on the equity at the time it was taken. Drawdowns are fractions of the running peak, terminal values are total returns. Percentiles come from Stats.quantile. Deterministic given the seed.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	MonteCarloTradeShuffle.Result	Drawdown distribution across trade-order shuffles.

Method Summary

Modifier and Type	Method	Description
static MonteCarloTradeShuffle.Result	analyze(List<Trade> trades, int shuffles, long seed)	Shuffles the trade order and records the drawdown distribution.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

analyze

public static MonteCarloTradeShuffle.Result analyze(List<Trade> trades,
 int shuffles,
 long seed)

Shuffles the trade order and records the drawdown distribution.

Parameters:

trades - the strategy's completed trades, at least 2

shuffles - number of shuffles, at least 100

seed - random seed