Strategy Variation Chart
New LabMonte Carlo strategy simulator calculating optimal position sizing from maximum drawdown caps.
How to use this Strategy Variation Chart
Define initial capital, win rate, risk-to-reward ratio, risk per trade, and number of simulated trades. Run Monte Carlo simulation paths to visualize variance and see different percentile bands for strategy outcome variation.
Simulation Controls
Change seed to test a different random path sample.
Equity Curve Simulation (Sample Paths)
95% Simulation Percentile BandEducational only. Not financial advice. Results are simplified estimates based on the inputs you provide. They do not include brokerage, taxes, slippage, liquidity, bid-ask spread, margin rules, dividends, early exercise, exchange-specific contract rules, or emotional execution mistakes. Use this as a learning and planning tool, not as a trade recommendation.
Strategy Variation Chart Guide
This tool uses Monte Carlo simulation to reverse-engineer optimal position sizing. Instead of guessing a risk percentage, you define your system stats and your absolute maximum pain point (Max Drawdown Cap), and the simulator tells you what risk per trade safely respects that cap.
How to use this tool
- 1Enter your account capital to view path spread differences in rupees.
- 2Enter your system win rate and average risk-to-reward ratio.
- 3Set the maximum drawdown you can emotionally and financially tolerate.
- 4The tool simulates thousands of paths and finds the highest risk percentage that keeps 95% of paths above your drawdown cap.
- 5Review the simulated equity paths and the Sample Path Spread to understand how wide your outcomes can vary based purely on luck.
Key metrics
Estimated Risk per Trade
The highest percentage you can risk while keeping the 95% worst-case path above your drawdown cap.
How to use it: Use this as an absolute maximum ceiling for your risk per trade.
Sample Path Spread
The rupee difference between the luckiest and unluckiest simulated paths.
How to use it: Shows why judging your skill over 200 trades is difficult; two traders with the same exact edge can have wildly different returns.
Estimated Risk of Ruin (simplified approximation)
The mathematical chance of hitting your drawdown cap if you use the calculated estimated risk size.
How to use it: This should be very close to 0%. If it is high, your system edge might be too weak to support your drawdown limits.
Formulas used
Simulation Percentile Band (95%)
Excludes top 2.5% and bottom 2.5% of pathsRemoves statistically improbable lucky and unlucky runs to show the core expected outcomes.
Example
A trader with a 45% win rate and 1.5 R:R wants to limit drawdown to 20%. The simulator might recommend risking no more than 0.8% per trade. Even at that optimal risk, the best and worst paths over 200 trades could differ by ₹2,50,000, proving that variance plays a huge role in medium-term returns.
Common mistakes to avoid
- • Do not assume your results will perfectly track the middle of the chart.
- • Do not exceed the Estimated Risk per Trade unless you are prepared to hit a drawdown worse than your cap.
- • Do not confuse the single worst path with the 95% simulation band line.