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monte-carlo

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Quantify backtest risk with Monte Carlo.

Data & Analytics#simulation#trading#backtest#risk-analysis#statistical-analysis#monte-carlo
Authorskrymer
Version1.0.0
Installs0

System Documentation

What problem does it solve?

Monte Carlo validation helps quantify path risk and edge confidence for a backtested strategy by running multiple randomizations and resampling against the Udgaard API, returning interpretable metrics for live-sizing decisions.

Core Features & Use Cases

  • Orchestrates Monte Carlo simulations against a saved backtest using the Udgaard API, supporting TRADE_SHUFFLING and BOOTSTRAP_RESAMPLING techniques.
  • Delegates interpretation to an analyst agent (monte-carlo-analyst) to generate final risk and sizing recommendations.
  • Requires a recent backtestId stored in memory; results are compared to the original backtest metrics to assess edge stability.
  • Useful for sizing and risk assessment before live deployment.

Quick Start

Run a backtest to obtain a backtestId, then invoke the Monte Carlo simulate API with a selected technique and that backtestId to generate a risk-analysis report.

Dependency Matrix

Required Modules

None required

Components

Standard package

💻 Claude Code Installation

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Please help me install this Skill:
Name: monte-carlo
Download link: https://github.com/skrymer/trading/archive/main.zip#monte-carlo

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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