Median Final
—
P(Profit)
—
P(Target)
—
P(50% Loss)
—
Simulated Equity Paths
Terminal Value Distribution
Simulation Parameters
Ann. Return (μ)—
Ann. Vol (σ)—
Daily Drift—
Daily Vol—
Skewness—
Kurtosis—
Percentile Outcomes
5th (worst case)—
25th—
50th (median)—
75th—
95th (best case)—
Mean—
Risk Metrics
Max Drawdown (median)—
Sharpe (forward)—
P(Break Even)—
Method
Geometric Brownian Motion with historical bootstrap:
Each path draws daily returns from the actual return distribution (bootstrap resampling), preserving fat tails and skewness that normal distributions miss. The GBM component:
Confidence bands show 5th-95th percentile envelope. The median path represents the most likely outcome.
Each path draws daily returns from the actual return distribution (bootstrap resampling), preserving fat tails and skewness that normal distributions miss. The GBM component:
S(t+1) = S(t) × e^(μdt + σ√dt·Z) where Z ~ historical.Confidence bands show 5th-95th percentile envelope. The median path represents the most likely outcome.