How to understand the conflit between performance and monte carlo simulation?

Y

yoyo2000

I have two systems and I perform them on the same market groups in the same period with the same position sizing rules.
And run the monte carlo simulations with their relating data separately.Thus I have two performance reports and two monte carlo simulation results.

the problem is there is a sharp conflit between those performance reports and mc simulations,that's,in performance reports,system A is superior than system B,but in mc simulations,system B is better than system A,how should I understand it?

and below are those two performance reports and mc simulations:
 

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Even I had faced a similar question. When I backtested, I got better results and when I ran Monte Carlo, I got results not as good as the backtest. The reason I thought could be, because Monte Carlo picks up trades completely randomly which might not be the case actually. There's not a significant chance of seeing a sharp decline right after seeing a sharp rise. Do share your thoughts.
 
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