Validation · 2026-07-21
The drawdown you have not seen
One thousand resamplings of the trade history. The question is never what the drawdown was. It is what it could have been.
A single equity curve is a sample of one. We take the trade history apart and reassemble it a thousand times. Each path is a plausible reordering of fills we already have, not a fantasy of fills we wish we had.
The −2.4% trough on Folio 04 is measured on daily NAV of the simulated track. Month-end closes understate the hole. Monte Carlo puts a distribution around it, so the mandate is written for the left tail, not the postcard.
We do not ask a drawdown to be small. We decide in advance where it ends.