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Monte Carlo trading simulator
See how far luck alone can move your strategy's results.
- Expected per trade
- +0.50R
- Kelly size
- 25.0%
- Half: 12.5%
Use a stock's history
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- Days up
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- Average up day
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- Average down day
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- Volatility
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- Max drawdown
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- Total return
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Median final balance, simulated
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- Best 5% of paths
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- Worst 5% of paths
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- Paths in profit
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- Paths down 50% at some point
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- Average max drawdown
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- Largest drawdown
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Simulated from your numbers, before fees.
How the simulation works
A Monte Carlo simulation plays out a strategy many times with wins and losses in a random order. Each trade risks a share of the current balance, wins at your reward to risk and loses what it risked.
Expected per trade = Win rate x Reward to risk - Loss rate
An example
A 50% win rate at 2:1 reward to risk gives 0.5 x 2 - 0.5 = +0.5R per trade. Over 100 trades it should grow on average, yet the best and worst paths end far apart, with drawdowns along the way. That spread is what the chart shows.
Questions
What is a Monte Carlo simulation in trading?
It plays out the same strategy many times with the wins and losses in a random order. Comparing the paths shows how far short-term results can differ from the long-run average, purely by chance.
How does win rate affect profitability?
Only together with reward to risk. A 40% win rate at 3:1 makes 0.4 x 3 - 0.6 = +0.6R per trade. A 60% win rate at 0.5:1 loses: 0.6 x 0.5 - 0.4 = -0.1R per trade.
What is probability of ruin?
The chance of losing so much that recovering becomes very hard. This simulator counts a path as ruined when it falls 50% from its peak. Even a profitable strategy carries this risk when too much is risked per trade.
What is the Kelly Criterion?
A formula for the share of an account to risk that gives the most long-term growth: (win rate x reward to risk - loss rate) / reward to risk. At a 50% win rate and 2:1, that is (0.5 x 2 - 0.5) / 2 = 25%. Many traders use half of it or less because the swings are large.
Why do profitable strategies sometimes lose money?
Variance. With a 50% win rate, any given 5 trades are all losses about 3% of the time (0.5 x 0.5 x 0.5 x 0.5 x 0.5), so over many trades long losing streaks do happen.
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For education only, not financial advice. Results depend on the numbers you enter.