Risk analysis tools
Monte Carlo Simulator
Simulate 1,000 possible equity curves from your win rate and reward-to-risk ratio. See in a chart and in numbers how far the same method can vary, and how deep it can fall along the way.
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- Free
- Calculated in your browser
See the range before it happens
Result
Median final balance
-JPY
Runs that finished up
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Bottom 5% (bad case)
-JPY
Average max drawdown
-%
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How far the equity curves spread
The thick line is the median and the dashed lines above and below are the top and bottom 5% levels. The faint lines behind are individual runs, showing how widely the same setting can play out.
Distribution of the 1,000 results
| Rank | Final balance | Profit / loss | Return |
|---|
How to read this result
Median
The middle result of the 1,000 runs. The mean is pulled up by rare very large wins, so the median is closer to what you should expect.
Bottom 5%
One run in twenty finishes worse than this. Judge your risk setting by whether you could keep going after falling this far.
Average max drawdown
The average of the deepest fall in each run. Because a fixed percentage of the current balance is staked each time, the final balance depends only on how many trades were won and not on the order of wins and losses. What the order does affect is this drawdown - the deeper it is, the more moments there are where you would want to stop.
Method and specification
How the simulation works
Each trade stakes your risk percentage of the current balance. A win adds that amount multiplied by the reward-to-risk ratio, a loss subtracts it. This repeats for the number of trades you set, and the whole thing is run 1,000 times.
When to use it
Deciding on a risk percentage / seeing how far backtest results could vary
Assumptions and limits
It assumes the win rate and reward-to-risk ratio stay constant and that each trade is independent of the last. It cannot represent changing market conditions or clustered losing streaks.
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Frequently Asked Questions
What is a Monte Carlo simulation?
It decides each trade as a win or a loss at random according to your win rate, repeats that for the number of trades you set, and then runs the whole exercise 1,000 times. Even with the same win rate, how many trades you actually win differs every run. The median and the bottom 5% show you how wide that spread is.
Should I look at the median or the mean?
The median. When you compound, the mean is dragged upward by rare exceptional runs and ends up looking better than what is likely to happen. The median - the middle of the 1,000 runs - is much closer to a realistic expectation.
What does the bottom 5% mean?
It is the 50th worst of the 1,000 results. Roughly one run in twenty finishes below it, so use it to check that your plan survives that scenario.
Why does the same setting give a different result than before?
This page derives the random seed from what you enter, so the same inputs always give the same result no matter how often you open it. To see a different draw, press "Draw again". Changing any single input also produces a different draw.
Will my results match this?
No. It assumes the win rate and reward-to-risk ratio stay constant and that each trade is independent of the last. In real markets losing streaks cluster, and conditions change in ways that lower the win rate itself. Treat it purely as a way to see the range of outcomes.
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