Monte Carlo simulator for trading
Put in your win rate, your average win and loss in R and what you risk per trade. It plays 2,000 possible futures and shows the chance of profit, the risk of ruin, the drawdowns and losing streaks you should expect, and your odds of passing a prop firm evaluation.
1R is what you risk on a trade. A trade that makes twice what it risks is a 2R win. Use your journal's averages after fees; a stop that always gets hit is an average loss of 1.
Give the number of trades your win rate was measured over and each run draws its own win rate from the range that sample leaves. 50 trades is a wide range. Leave it empty to take the win rate as exact.
What a Monte Carlo simulation does
one run = that coin, flipped 200 times, with your size on each flip
Your strategy is a weighted coin. A 52% win rate with 1.6R wins and 1R losses makes 0.35R a trade on average, and that number says nothing about the order the wins and losses arrive in. Five losers in a row happen. Twelve happen too, just less often. The order decides how deep your drawdowns get and whether you survive to see the average.
The simulator flips that coin 200 times, 2,000 times over, and lines the results up. The middle run is what you should plan for. The bottom 1 in 20 is what you have to be able to sit through, because sooner or later it happens to you.
How to read the numbers
| Number | What it is | Red flag |
|---|---|---|
| Runs that end in profit | The share of futures where the account finished above where it started. | Below 70% with a positive expectancy usually means the sample of trades is too short to show the edge, or the risk per trade is too big. |
| Expectancy per trade | What one trade makes on average: win rate × average win, minus loss rate × average loss, in R and in dollars. | Zero or negative. No sizing, no streak and no account size changes that. |
| Risk of ruin | The share of runs that fell below your ruin line, 30% down by default. | Anything above 5%. One run in twenty hitting ruin is not a strategy you can size up. |
| Max drawdown, worst 1 in 20 | The deepest peak-to-trough drop in the unluckiest 5% of runs. | More than you'd actually sit through. Most traders quit a method at half the drawdown the maths says is normal. |
| Longest losing streak, 1 in 20 | The longest run of losers in the unluckiest 5% of runs. | If you'd change your rules after that many losses, you'll change them during a normal streak. |
| Median end balance | The middle run: half did better, half did worse. | Only slightly above the start after hundreds of trades: the edge is real but thin, and fees will eat into it. |
The two to decide on before the open are the drawdown and the streak. Write down the drawdown you'll actually sit through and the number of losers in a row you'll take before you stop for the day. If the worst-1-in-20 numbers above are bigger than what you wrote, cut the risk per trade until they aren't. That's the whole use of the tool.
Your win rate is a guess until you have 100 trades
Most simulators take your win rate as a fact. It isn't. A 52% win rate measured over 40 trades is a coin that could really be anywhere from about 38% to 66%, and the difference between those two is the difference between a strategy that works and one that doesn't. Fill in how many trades your stats come from and the simulator draws a different win rate for every run from that range, so the spread you see is the one you're actually facing.
The fix for a wide range is boring: more trades of the same setup, logged the same way. Over 100 trades the range is about plus or minus 10 points. Over 300 it's plus or minus 6. Until then, size as if your win rate were at the bottom of the range, not the middle.
Prop firm evaluations: the odds are worse than they look
Turn on the prop firm option and enter the firm's profit target and maximum drawdown. The simulator counts how many runs reach the target before they hit the drawdown, and how many trades it took. Two things surprise most traders the first time they do this.
- A positive expectancy is not a pass. A strategy that makes money over 200 trades can still fail an evaluation half the time, because the drawdown limit is hit during a normal losing streak before the edge has had time to show.
- Trailing drawdown is much harsher than a fixed one. When the limit follows your peak, every good run raises the floor under you, so the same strategy with the same risk fails more often. Tick the trailing box and compare.
- Risk per trade decides it. With a $2,500 drawdown, risking $250 a trade means ten losers end it, and ten in a row is normal at a 50% win rate over a few hundred trades. Risking $100 changes the odds completely.
Daily loss limits aren't simulated, so the real odds are a little lower than the tool shows. The sizing that survives an evaluation is in how to pass a prop firm evaluation.
The number nobody puts in: your mistakes
Every simulator assumes you trade the same way on trade 150 as on trade 1. You don't. The runs on this page have no revenge trades, no size-ups after two losses and no trades outside the plan, and those are exactly the trades that turn a 10% drawdown into a 25% one in real life.
So run it twice. Once with your overall numbers, and once with the numbers from the trades that followed your plan. If the second set has a better win rate and a better average win, which it almost always does, the gap between the two simulations is what your discipline is costing you, in the drawdown you have to sit through and the odds of passing the next evaluation. That gap is what rules with a number in them are for.
Get the inputs from the win rate calculator, the profit factor calculator and the position size calculator, or straight from your journal.
Questions people ask
Import your trades and Actal works out the numbers this simulator needs, overall and for the trades that followed your plan. Free during beta, no card.
Made by Joakim Jusell, futures trader and coach at Jusell Trading Academy.