Simulated Prices

Price simulation parameters

Simulation model:

Year type:

Time Step (

$\Delta t$ ):

Time Horizon, in years

Initial Price,

$\$$

Volatility (

$\sigma$ ), %

Long-Run Mean (

$\overline{P}$ )

Risk-Adjusted Discount Rate (

$\rho$ ), %

Interest Rate (

$r$ ), %

$H$ (half-life of

$x(t)$ ), years

Frequency (

$\lambda_u$ ) of up-jumps

Size of up-jumps

Implied Reversion Speed (

$\eta$ ), (per annum)

Accounting parameters

Settlement Interval (in periods)

Number of Units in Underlying Investment

Re-Investment Rules

Draw D. Threshold%

Reinvested Capital%

Investment Performance & Statistics

ROI , %

Max DrawD , %

Volatility , %

Sharpe ratio , %

AVG ROI , %

AVG MaxDD , %

AVG VOL , %

AVG Sharpe R , %

Benchmark Statistics (100% Reinvest.)