Monte Carlo-Lab
Monte Carlo-Lab (MCL) very quickly computes a large number of randomized simulations based on baseline backtest results to give you insight into the probability of achieving various profit objectives.
$49.95 / Lifetime OR included in Premium subscription
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#Monte Carlo-Lab Monte Carlo-Lab (MCL) performs Monte Carlo analyses on Wealth-Lab historical simulations. These analyses consist of very quickly computing a large number of randomized Runs based on the original simulation results or raw trades, providing insight into the trading system's potential in the future by giving you an idea of the probability of achieving various profit objectives.

A Monte Carlo analysis can answer such questions such as ...

  • What is the largest loss I can expect from the system within a 1-year period?
  • What is the expected average monthly profit and drawdown of the system?
  • What is the chance that the system will generate a loss over a specific time frame?
  • What is my chance of realizing a 20% profit using a 5% of equity position size as opposed to a fixed $5,000 per trade position size
Click here for more information on the Monte Carlo-Lab Extension.

Screenshots

Scramble the Equity Curve!
An Equity Curve Scramble captures the effect of multiple positions reacting to events in the baseline equity curve and translates them to randomized Monte Carlo equity curves. Everyone has time for an equity curve analysis - it's lightning quick!
Choose a Trade Randomization
Choose from 4 Trade Randomization methods to create new historical simulation from your backtest's list of raw trades. Apply options such as trade recycling or maintain date clustering to more accurately simulate real-world price shock events.
Bar by Bar Returns
Discover and analyze the distribution of bar-by-bar returns for all loaded trades.
Monte Carlo Analysis
Don't rely on a single simulation to determine if your strategy is ready to trade! The Monte Carlo visualizer gives you distributions and statistical measures for 5 analysis targets to better define the robustness of your system.
Monte Carlo Probabilities
Quickly visualize the overall probability dynamic of the system that was exposed by the Monte Carlo simulation. Tell your spouse what the chances are to make 20% per year with your Wealth-Lab strategy!

Change Log

Wealth-Lab 8 Build 8 - 11/22/2024
  • Fixed a bug preventing MC-Lab from working with Advanced Position Sizers employing Max Risk % position sizing.
Wealth-Lab 8 Build 7 - 2/9/2024
  • Target .NET8.
Wealth-Lab 8 Build 6 - 1/18/2024
  • Added futures support.
  • Added Percentage to Skip Trade feature.
  • Added Drawdown Graph.
Wealth-Lab 8 Build 5 - 8/21/2023
  • Short trades are now correctly processed.
Wealth-Lab 8 Build 23 - 3/22/2023
  • Rebuild to adapt to change in WL8 framework.
Wealth-Lab 8 Build 2 - 4/21/2022
  • Adaptation for new LimitClose Order Type.
Wealth-Lab 8 Build 1 - 4/10/2022
  • Initial WL8 release.
Wealth-Lab 7 Build 4 - 12/10/2021
  • Fix for Probability Curves for Drawdowns being inverted.
Wealth-Lab 7 Build 3 - 11/30/2021
  • Minor changes to take advantage of better data loading mechanisms in WL7 Build 37.
Wealth-Lab 7 Build 2 - 9/29/2021
  • Sort order is now retained when list results are copied to clipboard.
Wealth-Lab 7 Build 1 - 8/7/2021
  • Baseline release.

Discussions