Edge and noise

Where: Journal → Analytics → Analytics → System → Edge and noise

Read your edge

1. Click the Analytics tab and pick System in the family selector. It opens Edge and noise.
2. Read the tiles at the top.
3. Check Rolling expectancy: the average of your last 40 trades, over time.

Run the Monte Carlo

1. In Monte Carlo, drag Horizon between 5 and 200 trades.
2. Read the band: p95 (1 path in 20 does better), p5 (1 in 20 does worse) and typical.
3. Pick a single account in the account selector to draw your account limit. With several accounts the line is 2× your worst drop.

What's on the screen

1. Expectancy ± 95% CI: your average R per trade and its 95% range. If the range crosses zero, you can't yet say you win. See expectancy.
2. SQN (100): average over noise. Below 1.6 is fragile, 2.5 or more is good. See SQN.
3. Recovery factor and Kelly: recovery factor is your net over your worst drawdown. Kelly is the size that would maximize growth: a ceiling, never a target.
4. Worst drop · 50 trades: the drop 1 simulated path in 20 reaches over your next 50 trades.
5. Rolling expectancy: the 40-trade average with its band.
6. Monte Carlo: 300 reshuffles of your own trades. See Monte Carlo simulation.
7. P&L distribution per trade: how your results are spread.

FAQ