I started trading three years ago with a small account size, grew rapidly fast (this is an understatement) and almost completely wiped out my account 100 times faster than it grew. I learned some very good lessons:

1). Trade Management/Optimization

2). Backtest backtest backtest

3). Learn to expect loss or you’re in the wrong profession.

4). Never trade an indicator that you don’t know backwards and forwards like the back of your #$%

5). Repeat 1,2, 3 and 4 over and over again

Additionally, this all started my exploration into coding as I have zero patients. I had a background in VBA coding, but had not coded in 7 years. During this time, I ended up purchasing an indicator which resulted in further reason to learn as I couldn’t believe it was even sold. I’m fairly certain that I can now code most indicators, which is a good thing, but this journey led me to fully believe trade management is way more important than the signal itself. My gestimate is 90% trade management 10% signal. So much in fact, the screenshot below is a back test with a randomized entry, randomized atr length and randomized atr multiples for trailing stop for each trade. While one back test isn’t statistical proof of anything, you can see there is something worth exploring.

There are versions of Monte Carlo simulations in excel which are free, but like I said I’m inpatient so I would rather see before transferring data from TOS to analysis. Personally, I like the probability of losing streak, max losing streak and Av trade loss. Once you have reasonable expectancy from the strategy, managing account % per trade becomes easier.

Additions and improvements are welcomed.

-mcdon030

Code:

```
## Monte Carlo : Trade System Expectancy
## orginial excel source https://www.daytradinglife.com/
## Author: Mcdon030
## Date: 10/14/2020
script Rev{
input v1 = 0.0 ;
input v2 = 0.0;
def bn = BarNumber();
def lbar = HighestAll(if IsNaN(close) then 0 else bn);
def va1 = compoundValue(1, fold id = 1 to lbar with t = 0 while t == 0 do if GetValue(v1, -id) then id else 0,0);
plot for = GetValue(v2, -va1);
}
declare upper;
input startinCapital = 1000;
input RiskPercent =.02; #
input WinningPercet = 93.44;
input RR = 2; # hint: (AVG Wins) / (AVG Losses)
input commission = 0.0;
input Runs = 500;
def x = Compoundvalue(1,x[1]+1,1);
addlabel(yes, "Starting Capital " + startinCapital ,color.white);
addlabel(yes, "RiskPercent " + RiskPercent,color.white);
addlabel(yes, " WinningPercet " + WinningPercet,color.white);
addlabel(yes, "RR " + RR,color.white);
addlabel(yes, "commission " + commission,color.white);
addlabel(yes, " Runs " + Runs ,color.white);
##Statistical Probabilty Of Consec. Wins & Losses.
def SProbva =(100-WinningPercet)/100;
def SProbvb = 1- SProbva;
def probConLossStreak = log(Runs)/-log(SProbva );
def probConWinsStreak = log(Runs)/-log(SProbvb );
## incomplete internal code
script BinomialDist{
input n = 500;# input('Number of trials: ');
input x = 5; # input('Exact number of successes: ');
input p = 95;# input('Probability of success: ');
def m1 = log(n);
def m2 = log(p);
def m3 = log( n-x);
def r = exp(m1 - m2 - m3 + x*log(p) + (n-x)*log(1-p));
plot binom = r;
}
def binomd = binomialdist(Runs,232,.9344);
def cnt = Compoundvalue(1,if x==1 then 1 else if x[1]>=Runs then 0 else x,1);
addlabel(yes, "Prob Cons. Losses " + probConLossStreak ,color.light_red);
addlabel(yes, "Prob Cons. Wins " + probConWinsStreak ,color.white);
addlabel(yes, "Prob Cons. Wins " + binomd ,color.white);
## end Probability
##################### start run and random counts
def rand = round(100*random(),2);
def rand1 = Compoundvalue(1,if cnt!=cnt[1] then rand else if cnt!=0 then 0 else rand1[1],0);
def isloss = if cnt>cnt[1] && cnt!=00 && rand1> WinningPercet then 1 else 0;
def isWin = if cnt>cnt[1] && cnt!=00 && rand1< WinningPercet then 1 else 0;
def countloss = Compoundvalue(1, if isLoss then countloss[1]+1 else countloss[1],0);
def countWin = Compoundvalue(1, if isWin then countWin[1]+1 else countWin[1],0);
def countloss2 = Compoundvalue(1, if isLoss then countloss2[1]+1 else if iswin then 0 else countloss2[1],0);
def countwin2 = Compoundvalue(1, if iswin then countwin2[1]+1 else if isloss then 0 else countwin2[1],0);
def maxsecloss = highestall(countloss2);
def maxsecWin= highestall(countwin2);
## end counts
def capital = Compoundvalue(1, if isWin then ((1+RiskPercent*RR)*capital[1])-commission else if isloss then ((1-RiskPercent)*capital[1])-commission
else capital[1],startinCapital);
#def riskpercentc =startinCapital*RiskPercent;
#def outcome =Compoundvalue(1, if cnt!=cnt[1] && cnt!=00 && rand<WinningPercet then 1 else if cnt!=cnt[1] && cnt!=00 && rand>WinningPercet then 2 else 0,0);
#def WL = Compoundvalue(1,if isWin then riskpercentc*RR-commission else if isloss then -riskpercentc-commission else wl[1],close);
################################################## loss ##################################################
def capitalloss = if isloss then (capital- capital[1])-commission else capitalloss[1];
def Totalloss = Compoundvalue(1,if isloss && countloss==1 then capitalloss
else if isloss && countloss>=2 then Totalloss[1]+capitalloss else Totalloss [1],capitalloss);
def MaxLossRev = if countloss2==highestall(countloss2) then 1 else 0;
def MaxLossRev_= Rev(capitalloss,MaxLossRev);
def MaxConlossa = Compoundvalue(1,if MaxLossRev_ then capitalloss else MaxConlossa[1],capitalloss);
def MostConloss = Compoundvalue(1,if isloss && MaxConlossa[1] then capitalloss[1]+ MaxConlossa else MostConloss[1],0);
def ACtualLosingPercent = countloss/(countloss+countWin);
def AvTradeloss = Totalloss/countloss;
def AvTradeLossPercent =AvTradeloss/Totalloss ;
################################################## END loss ##################################################
################################################## Win ##################################################
def capitalwin = if iswin then ( capital[1]-capital)-commission else capitalwin[1];
def Totalwin= Compoundvalue(1,if iswin && countwin==1 then capitalwin
else if iswin && countwin>=2 then Totalwin[1]+capitalwin else Totalwin[1],capitalloss);
def MaxWinRev = if countwin2==highestall(countwin2) then 1 else 0;
def MaxWinRev_= Rev(capitalwin,MaxWinRev);
def MaxConWina = Compoundvalue(1,if MaxWinRev_ then capitalwin else MaxConWina[1],capitalWin);
def MostConWin= Compoundvalue(1,if isWin && MaxConWina[1] then capitalwin[1]+ MaxConWina else MostConWin[1],0);
def ACtualWinningPercent = countwin/500;
def AvTradeWin = Totalwin/countwin;
def AvTradeWinPercent =AvTradeWin/TotalWin;
################################################## END Win ##################################################
## labels
AddLabel(1," Total Losing TRade : " +countloss, Color.light_red);
AddLabel(1," Total Losses : " +asDollars(Totalloss),Color.light_red);
AddLabel(1," Actual Losing % : " +aspercent(ACtualLosingPercent ), Color.light_red);
AddLabel(1," Av. Trade Loss : " +asdollars(AvTradeloss), Color.light_red);
AddLabel(1," Av. Trade Loss % : " +aspercent(AvTradeLossPercent),Color.light_red);
AddLabel(1," Most Consc. Loss Streak : " +(maxsecloss),Color.light_red);
################################################################################
AddLabel(1," Total Winning TRade : " +countwin, Color.light_green);
AddLabel(1," Total Wins : " +asDollars(Totalwin),Color.light_green);
AddLabel(1," Actual Winning % : " +aspercent(ACtualWinningPercent), Color.light_green);
AddLabel(1," Av. Trade Win : " +asdollars(AvTradewin), Color.light_green);
AddLabel(1," Av. Trade Win % : " +aspercent(AvTradeWinPercent), Color.light_green);
AddLabel(1," Most Consc. Win Streak : " +(maxsecwin),Color.light_green);
AddLabel(1, "Capital : " +capital , Color.green);
## end
```