Monte Carlo Equity Projection
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Santiago Nicolas Pla Casuriaga
Global Investing builds professional-grade FX analytics tools for MetaTrader 5, complemented by a self-updating web terminal at globalinvesting.github.io. The web terminal covers live G10 pricing, CFTC COT positioning, carry trade rankings, central bank policy bias and OIS-implied rate expectations - 版本: 1.59
Monte Carlo Equity Projection runs a bootstrap simulation on your account's own closed-trade history and projects a percentile cone of future equity paths directly on the chart — no assumed return distribution, no external data feed.
Attach it to any chart and it reads your account's real closed deals via the native MT5 API, resamples them thousands of times with replacement, and plots the realistic range of outcomes your current statistics imply — not a fixed backtest line. All computation runs locally; there is no external server, no WebRequest, and no internet permission required.
Why resampling, not a single backtest
A backtest report shows one path: what happened, in the order it happened. It doesn't show what could have happened if the same trades had landed in a different sequence, or how much of the result rode on a handful of outlier wins or losses. Bootstrap resampling addresses this directly: it reshuffles the same population of closed trades thousands of times, producing a distribution of plausible equity curves instead of a single one. The width of that distribution — not just its median — is what indicates whether an edge is statistically robust enough to justify scaling up, or whether the current track record is too thin or too lucky to conclude much yet.
Methodology
The simulator draws from your closed deals with replacement (bootstrap resampling — no assumed return distribution), running a configurable number of simulations (default: 10,000) to project a configurable number of forward trades (default: 500). Percentile bands (p5, p25, p50, p75, p95) are plotted as a cone over the account equity curve, with faint background paths showing individual raw simulation runs.
Risk metrics strip
A full statistics panel sits below the cone:
- Account history — trades, win rate, profit factor, expectancy, standard deviation
- Returns (projected) — median (p50), scenario p5/p95, VaR 95%, CVaR 95%
- Drawdown & risk — average DD, DD p95/p99, Calmar ratio, worst losing streak at p95
- Probabilities — probability of gain, probability of DD >30%, probability of DD >50%, probability of ruin (balance falling below 20% of starting capital)
Checklist verdict
A configurable checklist (minimum trade count, profit factor, max tolerable p95 drawdown, max ruin probability, minimum probability of gain) rolls into a single tradeable / caution / needs review / not tradeable verdict, so you get a one-glance read on whether your current statistics support scaling up — or whether you need more data first.
Configurable inputs
- History filter — days of history to include (0 = all available), filter to this chart's symbol only
- Simulation — bootstrap simulations to run, trades to project, reference capital for % calculations, random seed
- Risk thresholds — minimum closed trades, minimum profit factor, max tolerable DD at p95, max ruin probability, minimum probability of gain
- Panel — full color customization (accents, background, border, dividers, text)
- One-click CSV export of results — saved to the shared MT5 Common\Files folder (accessible via File → Open Data Folder, one level up from the terminal-specific folder), named ESI_<symbol>_<date>.csv
Part of the Global Investing suite
Complements the Institutional Risk Manager and Global Investing FX Terminal — where the Risk Manager handles execution and the Terminal provides macro context, Monte Carlo Equity Projection answers a different question: given your actual trading statistics so far, what's the realistic range of outcomes ahead, and does your edge currently meet a bar worth scaling?
