Test your strategy before the market does.
Monte Carlo simulation takes your actual trade results and randomizes them thousands of times to reveal the full distribution of possible futures.
What a simulation tells you.
Best case (P90)
+48.2%
Top 10% of simulated outcomes
Median (P50)
+18.4%
50th percentile outcome
Worst case (P10)
−2.3%
Bottom 10% of outcomes
Ruin probability
3.1%
Paths hitting terminal drawdown
Based on example trade data (200 trades, +0.38R expectancy, 43% win rate). Your results will vary.
The four outputs you need.
Randomized Sequences
Your actual trades are shuffled into thousands of different orderings. Good and bad runs that haven't happened yet are simulated from your real distribution.
Percentile Bands
Output shows P10, P50, and P90 equity curves. The spread between these bands tells you how luck-dependent your results are.
Max Simulated Drawdown
The worst drawdown seen across all simulation runs. More informative than your historical max drawdown, which is just one sequence of events.
Ruin Probability
The percentage of simulated paths that hit a terminal drawdown threshold. If your ruin probability is above ~5%, your risk management needs review.
Why your max historical drawdown isn't enough.
If you've traded 200 trades, you've seen exactly one possible ordering of those results. Monte Carlo shows you what would have happened if your wins and losses arrived in a different sequence — which will happen in the future.
A strategy with a 12% historical max drawdown might have a 28% simulated worst-case drawdown at P5. If your prop firm rules allow only 10% drawdown, that's a problem your backtest didn't reveal — but Monte Carlo will.
Ruin probability is the percentage of simulations that hit a defined threshold (e.g., −20% or your prop firm drawdown limit). If 8% of simulations end your account, your position sizing needs to change.