Historical Trade Estimates and Monte Carlo Buy-and-Hold Projections

Summary

This indicator compares two ways to estimate outcomes over a chosen holding period. Its historical calculation samples past entry points at intervals, measures returns at the end of the duration, and optionally applies fixed take-profit and stop-loss levels. It reports estimated dollar and percentage return, dispersion, win rate, and Sharpe ratio using a user-supplied position size and risk-free rate.

The Monte Carlo section estimates recent average log-return drift and volatility, annualizes them according to timeframe and asset type, then simulates terminal buy-and-hold returns. It displays the simulated expected return and a one-standard-deviation price range alongside the historical estimate. These are model-based summaries, not forecasts with demonstrated accuracy: the simulation assumes recent trend and volatility are informative for the selected horizon, while historical samples may overlap and omit trading costs. The document provides no empirical validation, and its projections depend on input choices and statistical assumptions.

Key ideas

• The historical estimate samples past trades over a user-defined duration and can apply fixed profit and loss thresholds.
• The indicator reports estimated return, variability, win rate, and Sharpe ratio for historical and simulated outcomes.
• Monte Carlo returns are generated from recent estimated drift and volatility over the selected horizon.
• The projection displays an expected price and a one-standard-deviation range.
• The document gives no validation of forecast accuracy, and results depend on assumptions and input settings.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.