Trading Analytics — Monte Carlo Simulation

Monte Carlo Simulation is a probabilistic tool that projects the future performance of a trading account or portfolio based on its historical trade data. Instead of showing a single outcome, it runs thousands of simulations by randomly resampling past trades, producing a range of possible future scenarios and their probabilities.

The results can be saved as a PDF using the Save as PDF button in the top-right corner.

Data Source

Select whether to run the simulation on an Account or a Portfolio, then choose the specific account or portfolio from the dropdown. The simulation uses the full closed trade history of the selected source.

Simulation Method

Two sampling methods are available:

Bootstrap — resamples actual historical trades with replacement. Preserves the real return distribution of the strategy. Recommended for most use cases as it stays close to observed trading behaviour.

Parametric — generates synthetic trades based on the statistical parameters of the trade history (mean and standard deviation). Assumes a normal distribution of returns.

Simulation Parameters

Number of Simulations — how many independent simulation runs to perform. Options: 1,000 / 2,000 / 5,000. More simulations produce smoother distributions and more reliable probability estimates.

Future Trades to Simulate — how many trades ahead to project. Defines the time horizon of the simulation.

Starting Balance — the balance used as the starting point for all simulations. Leave blank to auto-detect from the current account balance.

Risk Thresholds

Target Balance ($) — set a target balance level to calculate the probability of reaching it across all simulations.

Ruin Threshold — Max Drawdown (%) — the maximum drawdown level considered as ruin. The simulation calculates the probability that drawdown exceeds this threshold across all runs.

Summary Cards

Four key metrics are displayed at the top of the results:

Expected Balance — the average final balance across all simulations, shown with the expected gain in currency and percentage.

Median Balance — the 50th percentile outcome. Half of all simulations end above this value, half below. A more conservative estimate than the average.

Probability of Ruin — the percentage of simulations where the maximum drawdown exceeded the defined ruin threshold.

Expected Max DD — the average maximum drawdown across all simulations. The 95th percentile max drawdown is shown below, representing the worst-case scenario in 95% of runs.

Equity Curve Fan

The main chart displays all simulation outcomes as an equity curve fan, showing the spread of possible trajectories over the projected number of trades. Five reference lines are drawn:

• 5th percentile (worst 5%) — the lower boundary of realistic outcomes
• Median (50th) — the most likely single outcome
• 95th percentile (best 5%) — the upper boundary of realistic outcomes
• 25–75% band — the interquartile range covering the central half of all outcomes
• 5–95% band — the full realistic range covering 90% of all outcomes

The wider the fan, the greater the uncertainty in future performance.

Final Balance Distribution

A histogram showing how final balances are distributed across all simulation runs. Bars to the left of the starting balance are shown in red (loss scenarios), bars to the right in green (profit scenarios). The shape of the distribution reveals how consistent and predictable the strategy is.

Max Drawdown Distribution

A histogram showing the distribution of maximum drawdown values reached across all simulations. This helps assess the realistic range of drawdown the strategy may experience going forward, and how likely severe drawdown scenarios are.

Simulation Statistics

A summary table of all key parameters and results from the simulation run:

• Simulations — total number of runs performed
• Historical Trades — number of trades used as the data source
• Method — sampling method used (Bootstrap Resample or Parametric)
• Avg Trade P/L — average profit or loss per trade from historical data
• Std Dev per Trade — standard deviation of trade results
• Projected Trades — number of future trades simulated
• 5th Pct Balance — worst-case balance at the 5th percentile
• Median Balance — 50th percentile final balance
• 95th Pct Balance — best-case balance at the 95th percentile
• Median Max DD — median maximum drawdown across all simulations
• 95th Pct Max DD — maximum drawdown at the 95th percentile (near worst-case)
• Prob. of Ruin — probability that drawdown exceeded the defined ruin threshold