Monte Carlo Trade Simulator
Paste your closed trades and find out how much of your track record is skill and how much is luck. Runs 10,000 resamples two ways: reshuffling which trades happened, and the order they happened in.
Why one backtest isn't enough
A backtest or a live record is a single path through a set of trades. Change which trades happened, or just the order they came in, and the equity curve looks different. Monte Carlo resampling runs that shuffle thousands of times so you can see the range of outcomes your edge could plausibly produce, not just the one you got.
The chance-of-loss number is the honest one to watch. A strategy that made money in your test but loses in 30% of resamples is leaning on luck. We hold our own published strategies to a 15% ceiling on this, and it fails plenty of them.
The order test matters because drawdown depends on sequence. The same trades with the losers clustered together produce a deeper dip. If your real drawdown sat near the bottom of the pack, your track record is flattering the strategy.
Common questions
What does a Monte Carlo simulation tell you about a strategy?
It separates the result you got from the results you could have got. By resampling your closed trades thousands of times it produces a distribution rather than a single number, so you can see whether a good backtest reflects an edge or a favourable ordering of the same trades.
How many trades do I need for this to mean anything?
Below about 30 trades the confidence intervals are so wide that almost nothing is ruled out. 100+ starts to be informative. This is a real constraint on low-frequency strategies, and it is why a strategy taking 30 trades a year needs several years of sample before its numbers carry weight.
What is a reasonable probability of loss?
The gate used on this site is that a strategy's probability of ending the out-of-sample period at a loss should stay low across resamples — anything approaching a coin flip means the observed profit is not distinguishable from ordering luck.
Why reshuffle the order of trades?
Because maximum drawdown depends heavily on sequence. The same set of trades in a different order can produce a materially deeper worst case, and the ordering you happened to observe is only one draw. Permuting the sequence shows the drawdown you should actually plan for.
Where we use this
We run this on every strategy before we publish it.
See the strategies that passed, and the ones that didn't.