Monte Carlo Risk Geometry Simulator [Aslan]Thanks to @KioseffTrading for the polyline retracing system and the plotting system as a whole🙏
♦️ What This Script Does
This is a Monte Carlo simulator for visualising and calculating the probability of a return based on risk geometry of the model (Risk %, RR, WR). It assesses the probability of returns by generating hundreds or thousands of possible outcomes using your win rate, risk-reward, and position sizing. Each line you see is a different plausible “future,” showing how your account could realistically evolve.
🔶 How To Use It
Input your strategy stats, run a large number of simulations, and focus on three things: how wide the equity curves spread, how deep drawdowns get, and the percentage of profitable outcomes. Then adjust your model and repeat.
🔷 Application in Prop Firm evaluations
Using the threshold system, you can see what risk geometry is most likely to pass a prop firm evaluation. Suprisingly, the most probable geometry for passing an eval can sometimes have a negative expected value!
♦️ Bottom Line
This script helps you move from “how much can I make?” to “how likely am I to profit?”
🔎 Monte Carlo Simulations Explained
Monte Carlo simulations are a method of modeling uncertainty by running many random versions of the same system to see all possible outcomes. In trading, instead of assuming one fixed result, it repeatedly simulates sequences of wins and losses based on your strategy’s statistics (like win rate and risk-reward). This creates a distribution of potential equity curves, showing not just what did happen, but could happen. It’s essentially a way to test probability and survival under randomness rather than relying on a single backtest. Monte Carlo simulations are widely used on quant trading desks around the world to model uncertainty, test strategy robustness, and estimate the probability distribution of trading outcomes under real-world randomness. Indicator
Machine Learning Supertrend [Aslan]Hey everyone 👋, This is an indicator I've been working on for a long time. Its not really finished yet, but I think it has huge potential.
It uses a SuperTrend foundation layer with momentum filtering, volume confirmation, and, most importantly, an adaptive engine that continuously adjusts its own parameters based on recent performance. It fires entry arrows on the chart while running a background simulation to score how the current settings are performing — then quietly adjusts itself over time.
Two systems run in parallel: the signal engine that produces the arrows you see, and a background test matrix that opens and closes simulated trades to feed the optimizer. The optimizer adjusts parameters, which produces better signals, which feeds back into better learning.
The Core Concept
At its heart this is a SuperTrend indicator — a volatility band that flips bullish or bearish as price crosses it. Signals fire either when that flip occurs (Reversal mode) or when price pushes to a new extreme within the current trend (Breakout mode).
On top of this, three adaptive learning layers run continuously:
Global Optimizer — rolling window of recent trade results that proposes parameter changes based on win rate, Sortino ratio, and profit factor
Micro-Batch Processor — a faster layer that groups results into mini-batches for quicker adjustments
Regime Grid — a 2D memory map that remembers what settings worked under similar market conditions (trend strength × volatility) and biases proposals accordingly
The Most Important Settings — Start Here
Band Width (Group ②) — Default: 1.4
The single most impactful setting in the entire indicator. Controls how wide the SuperTrend bands are. Lower values (1.0–1.2) create tight bands that flip often, giving more signals but more noise. Higher values (2.0–3.0) only flip on large structural moves, giving fewer but stronger signals. If your chart feels too noisy, raise this first. Higher values result in more trend following signals, while lower ones result in more contrarian signals.
Lookback Window (Group ②) — Default: 30
How many bars back the indicator scans when detecting new highs and lows. Lower values (10–15) react to minor swings and fire frequently. Higher values (50–100) only react to large structural pivots. Tune this alongside Band Width — they work together.
Signal Type (Group ①) — Default: Reversal
Pick one and stick with it. Reversal catches turning points when a trend exhausts. Breakout rides momentum to new extremes.
Reactivity / Master Dial (Group ⑥) — Default: 10
Controls how aggressively the adaptive engine responds to new information. Value of 1 = very conservative, slow to adapt, stays close to your base inputs. Value of 20 = aggressive, adapts quickly and can drift far from base settings. Start at 10 and only raise it if the market you're trading changes character frequently.
Signal Spacing (Group ①) — Default: 10
Minimum bars between any two signals. Prevents clustered rapid-fire entries in choppy zones. Lower on fast timeframes (3–5 on 1-min), higher on daily charts (20–30).
Group-by-Group Reference
① Signal Mode
Signal Type — Reversal catches trend exhaustion flips. Breakout rides momentum to new extremes. Pick one.
Require Fresh Pivot — When on, a signal only fires if price made a genuine new high/low first. Off = more signals, more noise.
Signal Spacing — Minimum bars between signals. Tune per timeframe.
② Volatility Envelope
Lookback Window — Bars scanned for new highs/lows. Lower = more reactive, more signals.
Smoothing Period — ATR calculation period. Lower = faster reaction to volatility, more band flips.
Band Width — ATR multiplier for band width. The most impactful setting in the indicator. Lower = more signals, higher = fewer stronger signals.
Price Basis — Which price source feeds SuperTrend. hlcc4 (default) is smoothest, close is most reactive.
True Range Mode — On = RMA-smoothed ATR (standard). Off = EMA-smoothed, faster but noisier.
③ Momentum Filter
Active — Toggles RSI filtering. Off = more signals but no momentum confirmation.
Length — RSI period. Lower = more volatile RSI, filter triggers more easily.
Hot Zone Memory — How many bars back it checks whether RSI was overbought (for sell confirmation). Higher = more lenient.
Cold Zone Memory — Same concept for oversold / buy confirmation.
RSI Hot/Cold Levels (set in Group ⑬) — Overbought/oversold thresholds. Default 70/30. Wider = more signals, tighter = fewer.
④ Flow Analysis
Sample Depth — Bars averaged to define "normal" volume.
Surge Threshold — Volume must exceed this multiple of average to count as a surge (1.2 = 20% above average).
Require Surge — When on, signals only fire with volume confirmation. Dramatically reduces count but greatly improves quality. Worth enabling.
⑤ Signal Quality
Key Levels Only — Only signals at major structural turning points fire. Fewer signals — suited for swing traders.
Key Level Depth — ATRs the price range must span to qualify as a key level. Only matters when Key Levels Only is on.
⑥ Master Dial
Reactivity (1–20) — The meta-knob for the entire adaptive engine. Controls batch size, adaptation speed, deadband sensitivity, and EMA alpha simultaneously. If you only change one adaptive setting, change this.
Micro-Batch Processing — Enables the faster mini-batch learning layer. On = quicker adaptation.
Live Pressure Sensor — Tracks cumulative up/down-tick volume flow on live bars to bias the optimizer's step size. Only affects live charts.
⑦ Auto-Tune Engine
Enable Auto-Tune — Master switch. Off = fixed parameters forever, just a traditional indicator.
Use Background Test Matrix — Runs the 5×5 simulated trade grid. Must be on for any adaptation to occur.
Lock Envelope to Base — Forces plotted bands to use your original inputs visually even if internal parameters have drifted. The signal engine always uses adapted values regardless.
⑧ Optimizer
Most users don't need to touch these — the defaults work well.
Step Size — Base learning rate. Higher = faster but potentially overshooting adaptation.
History Depth — Rolling window of trades used to compute statistics. Higher = slower but more stable learning.
Win Ceiling / Floor — Win rate thresholds that trigger parameter tightening or loosening.
Momentum Smoothing — EMA blend factor for applying new proposals. Higher = faster-acting changes.
Update Cooldown — Minimum bars between parameter updates. Prevents rapid oscillation.
Deadband Width / Period — Proposed changes must exceed these thresholds before being applied. Filters micro-jitter.
Anchor Revert Interval / Strength — Every N bars, parameters drift back toward your base inputs. Safety mechanism against unbounded drift.
P&L Cap per Trade — Clips outlier trades at this USD value before learning from them. Prevents one giant win/loss from distorting statistics.
⑨ Risk Guard
Max Entries / Session — Stops new signals after this many trades in a day.
Session Loss Limit — Pauses trading if cumulative session P&L drops below this USD amount.
Base Pause After Loss — Bars to wait after a losing trade. Prevents revenge trading.
Streak Limit — Pauses after this many consecutive losses.
Scale Pause by Loss Size — Larger losses trigger proportionally longer pauses.
Enforce on Test Matrix — Applies risk rules to the background simulation too. Usually leave off so the matrix always has fresh data.
⑩ Context Memory (Regime Grid)
Enable Regime Grid — Activates the market-context memory system.
Regime / Volatility Bins — Resolution of the grid on each axis. More bins = finer resolution but slower confidence buildup per cell.
Neighbor Blend Radius — How much adjacent grid cells blend into each other. Higher = smoother but less precise.
Decay Half-Life — How quickly older data in a cell loses weight. Lower = faster forgetting.
Max Grid Influence — How much the regime grid can dominate the global optimizer. 0.65 = up to 65% grid contribution.
⑪ Decay Traces
Short-term fading trade memory that specifically monitors for large adverse moves to tighten stops.
Enable Trace Buffer — Activates short-term memory.
Fade Rate — Energy reduction per bar. Higher = only very recent outcomes matter.
Adverse Move Threshold — MAE in ATR units above which a trade is flagged as a tail event.
Guard Tighten Cap — Maximum stop tightening allowed from tail-event feedback.
⑫ State Snapshot
Restore String — Paste a previously exported snapshot here to reload learned parameters and grid cells across reloads.
Export Now — Toggle on to emit the current learned state as an alert string. Toggle off afterward.
Import on Next Bar — Applies the Restore String on the next confirmed bar.
Risk Management (TP/SL Overlay)
Show TP & SL — Toggles the visual overlay.
TP/SL for — Which signal type drives the levels — Contrarian, AI Supertrend, or Both.
TP 1/2/3 — Take-profit multipliers relative to the stop distance. Set any to 0 to disable that level.
Quick Tuning Guide
Too many noisy signals? Raise Band Width → raise Lookback Window → raise Signal Spacing → enable Require Surge → enable Key Levels Only.
Too few signals? Lower Band Width → lower Lookback Window → lower Signal Spacing → disable Require Surge → disable Key Levels Only → widen RSI Hot/Cold levels.
Want faster adaptation? Raise Reactivity toward 15–18 → lower History Depth → lower Decay Half-Life.
Want more stability? Lower Reactivity toward 3–5 → raise History Depth → raise Anchor Revert Interval.
Starting fresh on a new instrument? Let the indicator run for at least 50–100 bars before evaluating, then use Export Now to save the learned state so it survives a chart reload. Indicator
