Candles-Based Monte Carlo

Candles-based Monte Carlo tests how robust your strategy is by running backtests on slightly modified versions of the original market data. It uses candle pipelines to create different market scenarios while keeping the basic patterns of the original data.

How it works

1. Runs the original backtest on unchanged data
2. For each test scenario, uses a candle pipeline to modify the market data
3. Runs a full backtest on the modified data
4. Compares your original performance against all the modified-data results

Running a candles-based Monte Carlo session

Running a candles-based Monte Carlo session is similar to how you execute a backtest:

Number of Scenarios

The Number of Scenarios input determines how many modified versions of the market data to test against. Since each scenario runs a full backtest, this method is slower than trade-order shuffling.

We recommend at least 100 scenarios for candles-based Monte Carlo.

Candle Pipeline

The candle pipeline determines how the market data is modified for each scenario. Jesse provides two built-in pipelines — see the Candle Pipelines page for full details on each option and how to choose between them.

CPU Cores

Monte Carlo analysis can use multiple CPU cores for faster processing. By default, it uses 80% of your available cores. The more cores you allocate, the faster the analysis will complete.

Understanding the results

This method tests how your strategy works under slightly different market conditions:

• Steady performance across scenarios means you have a robust strategy that doesn't rely on specific historical price patterns.
• Big differences in results across scenarios means your strategy is sensitive to specific market patterns — a warning sign for overfitting.

See Interpreting Results for a detailed guide on reading the results table.