[jason1990]

So this is what those applied guys mean by "bootstrap?" (They really should write a book called "Statistics for Probabilists.")

Well, that looks like a very nice idea. The first thing I would be uncomfortable with is win rate. Doesn't this bootstrap method assume that my current empirical win rate is my true win rate? Certainly, win rate will have a big effect on the frequency of downswings, so being off on the measurement of win rate will mean you're off on the frequency of swings.

I guess this is what I meant by not having an accurate estimation of the true distribution. The empirical distribution will not be close enough to the true one to give accurate enough results. At least that's my guess.