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Trading Strategy Monte Carlo Simulator

Test a trading strategy with Monte Carlo: enter a win rate and reward:risk, and see the range of outcomes over thousands of runs - profit odds, risk of ruin, drawdown, and equity curves.

Trading Strategy Monte Carlo Simulator

Positive edge

Equity curves

Median run 25-75% range Starting capital Ruin line
0 0 0 trades

Where the runs ended up

0 0

A positive edge does not guarantee a smooth ride. Two traders running the exact same strategy can end up in very different places purely by luck of the order their wins and losses arrive. This simulator runs your strategy thousands of times and shows the whole range of outcomes - not just the average - so you can see how often it profits, how deep the drawdowns get, and how often it would blow up.

How to Use It

  1. Enter your win rate and reward : risk (a win gains this many times what a loss costs - the same ratio the take profit & stop loss calculator gives you).
  2. Choose how you size each trade: a percent of your balance (compounding) or a fixed amount.
  3. Set the number of trades per run, how many simulations to run, your starting capital, and the drawdown that counts as ruin.
  4. Read the spread of results, the equity-curve chart, and the histogram. Press Run again for a fresh random draw.

What the Numbers Mean

The single most important figure is expectancy - the average result per trade, in units of risk (R). The trading expectancy calculator works this out on its own, including the break-even win rate:

expectancy=(win rate×R)−(1−win rate)\text{expectancy} = (\text{win rate} \times R) - (1 - \text{win rate})

If expectancy is positive the strategy makes money on average, but the chart shows why that is not the whole story:

  • Percentile range - the middle of the pack versus the lucky and unlucky tails.
  • Chance of profit - the share of runs that finished above where they started.
  • Chance of ruin - the share that fell past your drawdown line. Even a winning strategy can ruin an account if each trade risks too much.
  • Max drawdown - the deepest peak-to-trough fall along the way, which is what tests your nerve.

A Note on Risk

This is a simplified model - real trading has changing win rates, correlated trades, fees, and slippage, and past results never guarantee future ones. It is a thinking tool, not financial advice. Numbers are unit-agnostic; use whatever currency you trade in.

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