Prop trading accounts are essentially path-dependent call options. The player/customer purchases a game with limited downside (i.e. the combine/Eval cost and funded account costs) and theoretically uncapped upside. Not every path with the same terminal account value is an admissible path (due to drawdown rules etc) and therefore the option payout is path- dependent. Pricing this option thus necessitates a monte carlo simulation of the possible account paths.
PropAlphaEvalSolver is a simulation tool for estimating the expected full payout of a trading strategy on a prop account. This tool is designed to work with a single trading setup, considering specific parameters such as a defined order bracket, known win percentage, and average maximum favorable excursion (MFE). It factors in costs and rules of the prop trading account. The front-end is powered by Streamlit. Created by Prop Alpha (www.prop-alpha.com) in collaboration with vespatrades.
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Clone the repo:
git clone https://github.com/Prop-Alpha/PropAlphaEvalSolver.git
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Navigate to the directory:
cd PropAlphaEvalSolver
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Install the required packages:
pip install -r requirements.txt
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Run the Streamlit app:
streamlit run streamlit_app.py
After running the Streamlit app, users will be presented with an interface where they can input their strategy's parameters, initiate the Monte Carlo simulation, and retrieve the results.
We welcome contributions from the community! If you'd like to contribute:
- Fork the repository.
- Create a new branch.
- Make your changes and submit a pull request.
This is free and unencumbered software released into the public domain.
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