Monte Carlo Simulator

Monte Carlo simulation runs your trading statistics through hundreds of randomized scenarios to show the full range of possible outcomes. Even with the same win rate and risk:reward, the sequence of wins and losses creates dramatically different equity curves.

The fan chart shows percentile bands: the dark inner region is where 50% of outcomes fall (25th-75th percentile), and the lighter outer region covers 90% of outcomes (5th-95th). The purple median line shows the typical path.

This matters because backtesting only shows one historical sequence. Monte Carlo analysis reveals whether your strategy is robust across many possible orderings of the same trades, helping you prepare for drawdowns that haven't happened yet.

Read more about surviving losing streaks and use the Risk of Ruin Calculator to calculate your exact probability of account failure.

Each simulation walks your account through the number of trades you specify. On every trade, the simulator risks a fixed percentage of the current balance (fixed-fractional sizing), then flips a weighted coin using your win rate. A win adds the risked amount times your average win R-multiple; a loss subtracts the risked amount times your average loss R-multiple. Because sizing is a percentage of a changing balance, results compound — dollar risk shrinks during drawdowns and grows during run-ups.

This is repeated for up to 2,000 independent simulations, and the results are summarized as percentiles: median final balance, worst case (5th percentile), best case (95th percentile), median max drawdown, probability of profit (finishing above the starting balance), and probability of ruin — defined here as finishing below 50% of the starting balance, not hitting exactly $0.

The model's assumptions are deliberately simple: every trade is independent, your win rate and R-multiples stay constant, and there are no fees, slippage, or fat-tailed outlier losses. Real trading violates all three at times, so treat the output as a variance map, not a forecast. If you haven't measured your per-trade edge yet, start with the Expectancy Calculator — expectancy is the single number this simulation expands into a full distribution.

Using the simulator's default inputs: win rate 55%, average win 2.0R, average loss 1.0R, risk per trade 2%, 100 trades, 500 simulations, $10,000 starting balance.

Typical results (they vary slightly per run because every run draws fresh random sequences): median final balance ~$33,000–$35,000, worst case (5th percentile) ~$21,500, best case (95th percentile) ~$53,000–$56,000, median max drawdown ~10%, probability of profit ~100%, probability of ruin 0%.

Two things to notice. First, even with an identical edge, the 5th and 95th percentile accounts end more than $30,000 apart after only 100 trades — that entire gap is sequence luck. Second, these default inputs describe an unusually strong edge (55% win rate at 2:1 reward-to-risk), which is why every percentile finishes in profit. If your own numbers produce a picture this clean, the first thing to question is whether your win rate estimate comes from a large enough sample.

Worst case (5th percentile). This is the most important number on the page. One in 20 simulated accounts finished at or below it. If this figure sits below the drawdown level you could not psychologically or financially continue trading through, your risk per trade is too high for your edge — reduce it and re-run.

Median max drawdown. Half of all simulated accounts suffered a peak-to-trough drawdown deeper than this at some point. Expect to live through it — a drawdown of this size is the normal cost of running your strategy, not evidence that it stopped working.

Probability of profit and probability of ruin. Probability of profit is the share of simulations that finished above the starting balance; probability of ruin is the share that finished below half of it. If ruin probability is above 0% at your current sizing, treat that as a hard signal to size down — then use the Risk of Ruin Calculator to test survival against your own ruin threshold (such as a prop firm's 10% drawdown limit) rather than the fixed 50% used here.

Median vs. best case. Plan around the median, not the 95th percentile. The best case is what an identical strategy looks like with lucky sequencing — building expectations (or withdrawal plans) on it is how traders end up over-leveraged.