├── README.md
├── LICENSE
└── MT4_Results_To_MonteCarlo.py


/README.md:
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 1 | # Execute MonteCarlo Simulation on MetaTrader 4 Strategy Results
 2 | 
 3 | ## What does this do
 4 | 
 5 | The following python script allows Forex traders who run backtests through the MetaTrader 4 platform to run a Montecarlo Simulation on their results.
 6 | 
 7 | This script will do the following:
 8 | 
 9 | 1. Convert your `.htm` file to a `.csv` (this is because MT4 does not output results in a usable format).
10 | 2. Run a MonteCarlo Simulation on the results and provide you with the simulation results.
11 | 
12 | ## To Run
13 | 
14 | Put this script in the same folder as the backtest results (typically `StrategyTester.htm`) and then execute `py MT4_Results_To_MonteCarlo.py` and it will do the rest.
15 | 
16 | ## Requirements
17 | 
18 | * Python 3.4+
19 | * pip
20 | * `pip install pandas`
21 | * `pip install numpy`
22 | * `pip install pandas_montecarlo`
23 | 


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/LICENSE:
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 1 | MIT License
 2 | 
 3 | Copyright (c) 2019 Alexander Whipp
 4 | 
 5 | Permission is hereby granted, free of charge, to any person obtaining a copy
 6 | of this software and associated documentation files (the "Software"), to deal
 7 | in the Software without restriction, including without limitation the rights
 8 | to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
 9 | copies of the Software, and to permit persons to whom the Software is
10 | furnished to do so, subject to the following conditions:
11 | 
12 | The above copyright notice and this permission notice shall be included in all
13 | copies or substantial portions of the Software.
14 | 
15 | THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
16 | IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
17 | FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
18 | AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
19 | LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
20 | OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
21 | SOFTWARE.
22 | 


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/MT4_Results_To_MonteCarlo.py:
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 1 | import re
 2 | import pandas_montecarlo
 3 | import pandas as pd
 4 | import numpy as np
 5 | 
 6 | toExclude = "<td colspan=2></td>"
 7 | toFind = "class=mspt"
 8 | fileName = "StrategyTester"
 9 | dd = -0.1
10 | target = 0.1
11 | multiplier = 1
12 | 
13 | # The amount for the initial value
14 | initial = 1000
15 | 
16 | # Max number of simulations
17 | simLimit = 18500
18 | 
19 | # Read the MT4 Results HTM to memory
20 | with open(fileName + ".htm", "r") as f:
21 |     lines = f.readlines()
22 | 
23 | # Convert the HTM file to a legible CSV
24 | with open(fileName + ".csv", "w") as f:
25 |     for line in lines:
26 |         if toExclude not in line and toFind in line:
27 |             line = re.sub(r"<.*?>\s?\<.*?\>", ",", line)
28 |             line = line.split(",")
29 |             if initial == 1000:
30 |                 initial = float(line[-2])
31 |             f.write(line[-3] + ',' + line[-2] + '\n')
32 | 
33 | # Creates a Panda dataframe with the results and adds the log returns
34 | df = pd.read_csv(fileName + '.csv', names=['P/L', 'balance'])
35 | df['pct_change'] = df.balance.pct_change()
36 | df['log_ret'] = np.log(df.balance) - np.log(df.balance.shift(1))
37 | 
38 | # Generates the number of simulations based on the number of trades squared
39 | simCount = int((len(df.index)*len(df.index)) * multiplier)
40 | if simCount > simLimit:
41 |     simCount = simLimit
42 | 
43 | # Runs the simulations
44 | mc = df['log_ret'].montecarlo(sims=simCount, bust=dd, goal=target)
45 | 
46 | # Returns percentage statistics on the simulations
47 | print("===============")
48 | print(mc.stats)
49 | print("Profit:", initial*(1+mc.stats['min']))
50 | print("Max Drawdown:", initial*(1+mc.stats['maxdd']))
51 | print("Under ", str(dd*100) ,"% drawdown:", mc.stats['bust'] * 100)
52 | print("Over ", str(target*100) ,"% target:", mc.stats['goal'] * 100)
53 | print("===============")
54 | 
55 | # Plots the MonteCarlo Simulation
56 | mc.plot(title="Log Returns at " + str(simCount) + " Simulations")
57 | 


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