Advanced Analytics Pro
Advanced Analytics Pro — the "Avanzado Pro" tab of the Performance hub — models your system with Monte Carlo simulations (500 runs), computes the real Kelly Criterion and estimates Risk of Ruin from your actual trades.
The essentials
- You need ≥10 trades to compute. With fewer the panel shows 'Insufficient data'.
- Kelly tells you how much capital to risk per trade; Half-Kelly is the prudent recommended version.
- Monte Carlo shuffles your trade history to display P5/P25/P50/P75/P95 bands of your future equity.
- Risk of Ruin: probability of ending in the red, beating your historical drawdown, or doubling it.
Kelly Criterion
- Kelly %
- Optimal capital fraction per trade. Green if >0, red if ≤0 (no edge).
- Half-Kelly %
- Half of theoretical Kelly. Recommended in practice to absorb estimation imperfection.
- Avg win
- Average in USD of your winning trades.
- Avg loss
- Average in USD (absolute) of your losing trades.
How to read the Kelly verdict
- ≤0%: your system has no statistical edge. Fix the strategy before touching sizing.
- 0–5%: moderate edge. Half-Kelly as the practical max.
- 5–15%: good edge. Half-Kelly as the prudent ceiling.
- >15%: theoretical Kelly is dangerously high if applied fully. Use ¼-Kelly or less.
Monte Carlo (500 simulations)
- P5 (worst 5%)
- 5th percentile of final P&L. What you could lose in the worst 5% of scenarios.
- Median (P50)
- The expected central result. Half the simulations finish above, half below.
- P95 (best 5%)
- 95th percentile. What you could gain in the best 5% of scenarios.
- Real historical
- Your actual curve overlaid. Should sit inside the P25–P75 band.
- P5–P95 bands
- Red band (P5–P25, worst), neutral (P25–P50), light green (P50–P75), green (P75–P95). Your historical equity should travel inside P25–P75.
Risk of Ruin
- Ends in the red
- % of simulations finishing with negative P&L. <10% very healthy, >30% concerning.
- Beats historical streak
- % of simulations exceeding your worst historical drawdown. <10% acceptable, >30% blows up sizing.
- Severe damage (×2 DD)
- % of simulations doubling your worst historical drawdown. If high, sizing is unsustainable.
Final P&L distribution
Histogram of the 500 Monte Carlo final P&L values. Red bars are negative scenarios, green bars positive. A distribution centered on positive with a short left tail = robust system. Long left tail = high risk of long losing runs.
Tips
- Filter by account or date range (From/To) on the top right to isolate a specific setup.
- With fewer than 30 trades, Kelly and Ruin are directional — don't bet on them.
- If your historical equity falls outside the P25–P75 band, you've had luck or bad luck with that sample.
- Half-Kelly as the ceiling: if your Kelly is 8%, trade at 4%. It cuts volatility without sacrificing much return.
Important
Simulations assume your edge is stationary — that your win rate and W/L ratio don't change in the future. A strategy change invalidates the results. If you change rules, recalculate.
Related
Funding Simulator Pro
The Funding Simulator — the "Simulador" tab of the Performance hub — estimates your probability of passing a challenge with the firm rules (target, total DD, daily DD) and projects a 24-month scaling plan with multiple simultaneous challenges.
Track Record Pro
Track Record — a tab of the Performance hub — is a printable page ready to share with prop firms, potential clients or your trading résumé. One screen with header, KPIs, equity curve, monthly P&L, session×day heatmap and your last 100 trades. Verified accounts only: every trade must have entered through automatic sync.
Advanced Statistics
The Statistics sub-tab of Performance → Metrics: the highest level of detail. Complements the standard analysis with advanced ratios, distributions, and a full per-symbol table.
Risk per trade
Amount in USD (or %) you risk on a single trade. The most important money-management metric and the most abused by inconsistent traders.