BacktestFolio · Glossary

Stationary Bootstrap

In plain language

Instead of shuffling each individual month at random, Bootstrap samples consecutive sequences of history: if a month was part of a positive trend, the next sampled month is more likely to come from the same context. It better preserves real market structure compared to a Random Walk.

Technical definition

Monte Carlo method that samples blocks of consecutive historical months of variable length (mean 5 years), preserving dependence between nearby months; each simulated year comprises 12 months.