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 — and the honest question 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, stated plainly: 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.

Drawdown is computed on the cumulative P&L path (additive, so no starting-capital assumption); the percentiles come from MathUtils.percentile. Deterministic given the seed. Research lane.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	MonteCarloTradeShuffle.Result

Method Summary

Modifier and Type	Method	Description
static MonteCarloTradeShuffle.Result	analyze(List<Trade> trades, int shuffles, long seed)

Methods inherited from class java.lang.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)

Parameters:

trades - the strategy's completed trades, ≥ 2; @param shuffles ≥ 100