Monte Carlo

Stress-tests a system's soundness by simulating thousands of possible scenarios, not just the one that happened.

Open in app4 min

Monte Carlo analysis answers a key question: «was I lucky, or is my system genuinely solid?». It takes your trades and reshuffles and varies them thousands of times to build thousands of alternative histories. That way you see not just the result that happened, but the range of results that could have happened.

Monte Carlo analysis screen
Monte Carlo simulates thousands of variations to estimate likely drawdowns and the system's soundness.

What it's for

  • Estimate the worst likely drawdown: how much you could realistically lose in a bad streak.
  • See whether the profit curve holds in most scenarios, or only in the lucky one.
  • Size your trades realistically, knowing what can happen in the worst case.

Don't just look at the average scenario. Focus on the worst 5%: if your system survives there, you're better prepared for the reality of the market.