Your numbers
What it says
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The Monte Carlo simulator reorders your results to show how deep the drawdown could have been.
What is included
- The calculator, with your own numbers
- The formula written out
- A worked example you can reproduce
- Where grid, martingale and DCA bots break the maths
Who it is for
- People running or testing a trading bot
- Anyone sizing a position or checking costs
- Readers learning how the numbers work
- Not advice, and not for placing trades
Key facts
- Paste the profit or loss of each closed trade as a number, separated by commas, spaces or new lines, with losses as negative numbers. The tool works out the statistics a good backtest report states.
- Expectancy is the average result per trade. Profit factor is gross profit divided by gross loss. A profit factor above 1 means wins outweighed losses in this list, before anything the list leaves out.
- Max drawdown is the largest fall from a peak in the running balance. The longest losing streak is the most losses in a row. Both are the numbers people are least ready for.
- The tool does not test a strategy or fetch prices. It describes a list you already have, and a list of 30 trades describes very little.
- Everything is worked out in your browser and no trades are sent anywhere.
What each number means
Enter the result of every closed trade, as the profit or loss in money or in any single unit, such as points or R. The tool does not care about the unit, as long as the same one is used for every trade. Then it reports eight things.
- Win rate is wins divided by all trades. It means little on its own, as covered in the win rate calculator.
- Average win and average loss show the shape of the results. A win rate of 40% can be fine if wins are twice the losses.
- Expectancy is the total divided by the number of trades. It is the average result per trade, see expectancy.
- Profit factor is gross profit divided by gross loss, see profit factor.
- Max drawdown is the largest fall in the running balance from a peak, see max drawdown.
- Longest losing streak is the most losses in a row. It tells you how long a bot can feel broken while working as designed.
A worked example
The default list has 12 made-up trades on a $5,000 account: 50, -30, 40, -30, -30, 60, -30, 80, -30, -30, 45, -30. There are 5 wins totalling $275 and 7 losses totalling $210, so the total is $65, the expectancy is $5.42 a trade and the profit factor is 1.31. The balance peaked at $5,110 and its deepest fall from a peak was $60. These numbers look fine, and they come from twelve trades, which is not enough to say anything about the next twelve.
Profit factor = gross profit / gross loss
Drawdown at a point = highest balance so far - current balance
What the tool cannot tell you
- Whether the list is complete. A list with the worst trades left out gives better numbers. See survivorship bias.
- Whether costs are in. If the results are before spread, fees and slippage, every number here is too kind. See slippage.
- Whether the rule was tuned to the list. A rule fitted to this history will look good on it. See overfitting and forward testing.
- Whether the trades are separate. A grid that closes ten positions at once is one event, not ten.
Use it to describe a list honestly, then use the Monte Carlo simulator to see how much worse the same results could have been in a different order. This is a calculator for education, not advice.
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FAQ
Frequently Asked Questions
What does a backtest analyzer do?
It takes a list of trade results and works out the statistics a backtest report should show, such as win rate, expectancy, profit factor and max drawdown.
How do I enter my trades?
Type or paste the result of each closed trade as a number, separated by commas, spaces or new lines, with losses as negative numbers. Use the same unit for every trade.
Is this a backtesting tool that tests my strategy?
No. It describes a list of results you already have. Testing a strategy needs price data and a rule, and the analyzer does not fetch either.
What is a good profit factor?
Above 1 means wins outweighed losses in the list. Beyond that there is no single good value. It depends on the number of trades, the costs and whether the list was fitted to the past.
Are my trades sent anywhere?
No. The numbers are worked out in your browser.
Are the numbers on this page real?
Example numbers are made up to show how the maths works, and the page says so. A figure only counts as exact when the page says it was calculated on a stated date. Nothing you enter in a calculator leaves your browser.
Can I use this to decide whether to run a bot?
It can show whether a bot's numbers hold together and how much an account can lose. It cannot say what the market will do, and it is not advice. Use it to ask better questions, then read the terms of your own broker or exchange.
Is this financial advice?
No. It is a calculator and general education. It does not consider your situation, and its output is only as good as the numbers you enter.
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