Monte Carlo simulation
What is the best tool or software to run a realistic Monte Carlo simulation for an MT5 EA?
I think it depends a bit on how “realistic” you want the simulation to be.
From what I’ve seen, many people either export their MT5 results and run Monte Carlo simulations in Python (for example using libraries like NumPy/Pandas), or use specialized backtesting tools that support randomization of trades, spreads, or execution.
The advantage of doing it yourself (e.g. in Python) is that you have full control over the assumptions, but it takes more effort to set up.
I could be wrong, but I haven’t really come across a single “standard” tool that everyone agrees on for this.
A quick search returned:
MQL5 Wizard Techniques you should know (Part 45): Reinforcement Learning with Monte-Carlo
Stephen Njuki, 2024.11.01 11:12
Monte-Carlo is the fourth different algorithm in reinforcement learning that we are considering with the aim of exploring its implementation in wizard assembled Expert Advisors. Though anchored in random sampling, it does present vast ways of simulation which we can look to exploit.and...
Applying the Monte Carlo method for optimizing trading strategies
Aleksey Nikolayev, 2018.08.07 16:34
Before launching a robot on a trading account, we usually test and optimize it on quotes history. However, a reasonable question arises: how can past results help us in the future? The article describes applying the Monte Carlo method to construct custom criteria for trading strategy optimization. In addition, the EA stability criteria are considered.
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