What is the Range of Outcomes view?
An equity curve shows one path: the particular sequence of months that happened. It cannot tell you how much of the result came from the strategy and how much came from the order those months arrived in.
Range of Outcomes answers that. Switch the equity chart to it using the toggle above the chart, and instead of one line you get a spread of paths the same strategy could plausibly have produced, with the actual result drawn over the top.
How it is built
The strategy's own monthly returns are resampled 2,000 times to produce 2,000 alternative 46-year histories, each using the same pool of months in a different arrangement. The percentile bands show where those 2,000 paths sit at each point in time.
The resampling is done in blocks of consecutive months, not one month at a time, and that detail is the difference between a useful chart and a misleading one.
Real market declines are made of bad months arriving in a row. Draw months independently and those runs get scattered apart, so simulated portfolios recover between shocks and never experience a proper crash. The effect is not subtle. On a test series containing one sustained decline, independent-month resampling reported a typical worst drawdown of 34% where block resampling on the identical data reported 88%. Independent draws would have understated the risk by a factor of more than two.
Block resampling keeps those runs intact. Block lengths are random, averaging up to 24 months on a full history and scaling down on shorter ranges so there are always enough distinct blocks for genuine variety. The applied block length is shown beneath the chart.
Reading the chart
- The solid line is the actual historical result, identical to the one on the ordinary equity chart.
- The dashed line is the median simulated path: half the 2,000 finished above it, half below.
- The darker band covers the 25th to 75th percentiles, the middle half of outcomes.
- The lighter band covers the 5th to 95th, taking in all but the most extreme tenth.
The bands start narrow and fan out. That is the point of the picture. Early on, sequence has had little chance to matter; over decades it compounds into an enormous spread.
The four figures below the chart
Median Outcome is the ending value of a $10,000 starting balance at the 50th percentile, with the 5th and 95th beneath it. The gap between those two is usually startling, and it is worth sitting with. Every path used the same returns.
Median CAGR is the same idea in annualised terms.
Median Max Drawdown is the deepest peak-to-trough fall at the 50th percentile, with the 95th shown as the unlucky case. Expect this to be worse than the strategy's actual historical drawdown. The realised figure is one draw; the simulation asks what the same months could have done in a crueller order, and the answer is usually "quite a bit worse."
Actual vs Range is where the real backtest landed among the 2,000. This one is routinely misread, so it is worth being explicit: a middling number here is the correct and expected result. The simulation is built from the strategy's own returns, so it is centred on them by construction. A figure near the 50th percentile means the machinery is working. It is not a measure of skill, and a high number would not be good news, it would be a sign something was wrong upstream.
What responds to what
Range of Outcomes uses the selected date range, so narrowing the range changes both the bands and the figures. In this it differs from the Safe and Perpetual Withdrawal Rates, which always use full history.
The Inflation Adjusted, Trading Friction and Taxable Account toggles all feed the return series being resampled, so the bands respond to them as the ordinary equity chart does.
The view needs at least 60 months in the selected range.
The bands do not move between visits. The simulation uses a fixed starting point for its random number generator, so the same strategy over the same range always produces the same picture. Without that, the bands would shift slightly every time you touched a toggle and the chart would look untrustworthy for no reason.
What this tells you
That the strategy's historical result was, or was not, heavily dependent on the order in which its months arrived. If the actual path sits comfortably inside the bands and the median lands near it, sequence luck is not what produced the backtest.
It also gives you a realistic sense of dispersion. A strategy with a 15% historical CAGR whose 5th-to-95th band spans 8% to 22% is telling you something a single number cannot.
What it does not tell you
It is not a forecast. The distribution is centred on returns the strategy has already earned. It assumes those returns keep coming from the same process. If markets change, nothing in this simulation would know.
Two thousand paths are not two thousand pieces of evidence. They are one dataset rearranged 2,000 times. The apparent precision is real in the sense that the arithmetic is exact, and misleading in the sense that it all rests on one historical record. If that record is optimistic, every percentile shown is optimistic by the same amount, and nothing inside the method can detect it.
It cannot validate the strategy. Resampling takes the edge as given and only reshuffles it. It answers "was this sequence luck," which is a different and easier question than "does this strategy work." Establishing the second requires a test where the strategy is allowed to fail, which resampling is not.
It does not correct for having chosen this strategy. DMS publishes many strategies. Looking at a strong one in isolation, however rigorously, does not account for the fact that it stands out partly because it performed well.
Why it is not called "Monte Carlo"
It is a Monte Carlo simulation, and the tooltip says so. But the label invites a particular misreading, that thousands of simulations amount to thousands of independent observations, when they are one dataset restated many times. "Range of Outcomes" describes what is actually on screen: the spread of results consistent with this strategy's historical behaviour, including the unfavourable ones.