Monte Carlo (Polyline Traceback) [Kioseff Trading]

Hello!

This script "Monte Carlo (Polyline Traceback) [Kioseff Trading]" performs a Monte Carlo simulation using polylines!

By using polylines, and tracing back the initial simulation to its origin point, we can better replicate the ideal output of a Monte Carlo simulation!

Such as:

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The image above shows the output of a simulation (image sourced outside TV).

With this script, and polyline capabilities, we can come quite close on TradingView.

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The image above shows the indicator in action! Not bad considering the ideal output.

Of course, the script is quite heavy and tries its best to circumvent limitations :D

You might run into load time errors, in which case you might try applying the built-in setting "Force Script Load". This setting will cut-off the visuals for some simulations, but has a higher chance of passing load-time limitations!

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As shown in the image above, you can select to only show worst-case and best-case simulations. Using this option will reduce chart lag and improve load times.

Features
  • Monte Carlo Simulation: Performs Monte Carlo simulation to generate multiple future paths.
  • Asset Price: Can simulate future asset prices based on historical log returns.
  • Statistical Methods: Offers two simulation methods—Gaussian (Normal) distribution and Bootstrapping.
  • Adjustable Parameters: Offers numerous user-adjustable settings like number of simulations, forecast length, and more.
  • Historical Data Points: Option to specify the amount of historical data to be used in the simulation (price).
  • Best/Worst Case: Allows you to show only the best case / worst case outcome (range) for all simulations!


Thank you!
kioseffkiosefftradingmonte-carloMONTECARLOsimulationsstatistics

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