Abstract
This paper presented an overview of the Stationary Bootstrap method of nonparametric methods. Multitudes of re-sampled data were generated to conquer the limitations of historical simulation method.The trends of different indexes based on Stationary Bootstrap Method were constructed to test the performance of VBPI strategy under different market conditions and compare its performance with CPPI strategy.Test of the significant difference of performance between CPPI and VBPI disclosed that with sufficient samples, confidence level of 99%, insured ratio of 99% or 98% and window period equivalent to adjustment duration at 20 days, VBPI strategy outperformed CPPI strategy in various test indicators.
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