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u/JayCreator7

r/propfirm r/FuturesTrading r/Daytrading r/Trading r/algotrading
▲ 1 r/propfirm

Do you use Monte Carlo Analysis?

I’m trying to get an idea of how many traders use Monte Carlo. I’ve found it useful but I don’t see it mentioned much in the subreddits I’ve visited.

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u/JayCreator7 — 20 hours ago
▲ 2 r/Trading

Do you use Monte Carlo Analysis?

I’m trying to get an idea of how many traders use Monte Carlo. I’ve found it useful but I don’t see it mentioned much in the subreddits I’ve visited.

View Poll

reddit.com
u/JayCreator7 — 20 hours ago
▲ 1 r/Daytrading

Do you use Monte Carlo Analysis?

I’m trying to get an idea of how many traders use Monte Carlo. I’ve found it useful but I don’t see it mentioned much in the subreddits I’ve visited.

View Poll

reddit.com
u/JayCreator7 — 20 hours ago
▲ 1 r/propfirm

I'll generate a trade analysis report for anyone who sends their trade log. Let's start a thread to compare strategy results

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u/JayCreator7 — 15 days ago
▲ 0 r/algotrading

I'll generate a trade analysis report for anyone who sends their trade log. Let's start a thread to compare strategy results

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u/JayCreator7 — 15 days ago
▲ 3 r/Daytrading

I'll generate a trade analysis report for anyone who sends their trade log. Let's start a thread to compare strategy results

reddit.com
u/JayCreator7 — 15 days ago
▲ 2 r/Trading

I'll generate a trade analysis report for anyone who sends their trade log. Let's start a thread to compare strategy results

reddit.com
u/JayCreator7 — 15 days ago
▲ 8 r/Daytrading

EdgeSimulate: Using Real Trade History to Estimate Future Drawdowns

Hey everyone,

I originally built EdgeSimulate for my own strategy development.

Many Monte Carlo calculators rely on a few simplified inputs such as win rate, reward-to-risk ratio, and number of trades. While useful for quick estimates, I wanted to analyze my actual trade history and compare multiple Monte Carlo methods using the same trade list.

Features include:

  • Shuffle, Bootstrap, and Block Monte Carlo simulations
  • Risk of Ruin and recovery time analysis
  • Historical regime diagnostics and losing streak analysis
  • Trade frequency and year-by-year performance analysis
  • Automatic block size recommendations
  • Interactive charts and visualizations
  • Saved simulations and dashboard access
  • Professional PDF report exports

For this walkthrough, I uploaded one of my own futures trading trade lists containing multiple years of data.

Users can upload their trades, select number of simulations, and select Shuffle/Bootstrap Monte Carlo

See how future drawdowns compare to historical results by simulating thousands of alternative trading paths.

Risk of ruin estimates the probability of reaching various drawdown levels, while recovery analysis shows how long it may take to return to new equity highs.

Beyond returns and drawdowns, trade frequency provides insight into how active a strategy is and how long periods of inactivity may last.

Review annual returns, drawdowns, expectancy, and efficiency metrics to determine whether a strategy's edge has persisted over time.

Analyze losing streaks, drawdown duration, rolling expectancy, and equity high frequency to better understand the regimes that drive strategy performance.

Preserve historical streaks and market regimes with Block Monte Carlo simulations and automatically generated block size recommendations.

Visualize the path of a strategy, including periods of growth, stagnation, and recovery, rather than relying solely on final returns.

Compare returns, drawdowns, recovery times, and risk metrics side by side to identify the strongest risk-adjusted strategy.

Export your analysis as a professional PDF report containing Monte Carlo results, recovery statistics, risk metrics, charts, and historical diagnostics for future reference or sharing.

https://preview.redd.it/85ezrwg07b7h1.png?width=732&format=png&auto=webp&s=718be6b2b627972597ac611abd6bb0fb48f61851

I'd love feedback from other traders.

Are there any risk metrics or analyses you wish existed but can't find in current trading software?

Website: EdgeSimulate.com

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u/JayCreator7 — 22 days ago
▲ 3 r/FuturesTrading

A strategy can have positive expectancy and still produce a drawdown large enough to make most traders quit or fail a prop challenge.

I think a lot of traders focus too much on win rate and not enough on sequence risk.

For example:

  • same strategy
  • same expectancy
  • completely different psychological experience depending on trade order

For experienced traders:
How are you estimating realistic worst-case drawdowns for your systems? Did understanding your worst-case drawdown change the way you sized risk or viewed your strategy?

For newer futures/prop traders:
Are you accounting for worst-case drawdown when sizing risk, or mainly relying on win rate/expectancy?

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u/JayCreator7 — 2 months ago
▲ 1 r/Trading

I built a simple tool to estimate worst case drawdowns from a trade list.

You can paste your actual trades (in R) and it shows:

- Median outcome

- 95% / 99% drawdown

- Worst-case scenario

I originally built it because I didn’t trust averages and wanted to see how my real trade sequence behaves.

Would appreciate any feedback, especially if something feels unrealistic.

edgesimulate.com

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u/JayCreator7 — 2 months ago