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# Trading Strategy Simulations
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This directory contains Python scripts for simulating and analyzing advanced trading techniques.
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## Scripts
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### 1. martingale_simulation.py
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Analyzes the statistical properties and risk of martingale strategies.
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**Key Analyses:**
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- Ruin probability calculations
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- Position size growth
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- Required capital analysis
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- Monte Carlo simulations
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**Usage:**
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```bash
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python martingale_simulation.py
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```
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**Output:**
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- `martingale_analysis.png`: Comprehensive analysis plots
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- Console output with statistics
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### 2. trailing_stop_analysis.py
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Compares fixed stop loss vs trailing stop loss performance.
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**Key Analyses:**
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- Return distribution comparison
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- Sharpe ratio improvement
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- Exit timing analysis
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- Sample price path visualization
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**Usage:**
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```bash
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python trailing_stop_analysis.py
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```
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**Output:**
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- `trailing_stop_analysis.png`: Comparison plots
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- Console output with performance metrics
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### 3. partial_exit_analysis.py
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Analyzes the statistical benefits of partial exits.
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**Key Analyses:**
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- Variance reduction calculation
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- Sharpe ratio optimization
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- Optimal exit percentage
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- Return distribution comparison
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**Usage:**
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```bash
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python partial_exit_analysis.py
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```
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**Output:**
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- `partial_exit_analysis.png`: Analysis plots
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- Console output with optimization results
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### 4. grid_trading_analysis.py
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Analyzes grid trading performance in different market conditions.
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**Key Analyses:**
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- Mean-reverting vs trending market performance
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- Optimal grid spacing
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- Trade frequency analysis
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- Profit distribution
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**Usage:**
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```bash
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python grid_trading_analysis.py
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```
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**Output:**
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- `grid_trading_analysis.png`: Market condition comparison
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- Console output with performance metrics
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## Installation
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```bash
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pip install -r requirements.txt
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```
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## Running All Simulations
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```bash
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# Run all simulations
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python martingale_simulation.py
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python trailing_stop_analysis.py
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python partial_exit_analysis.py
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python grid_trading_analysis.py
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```
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## Output Location
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All figures are saved to `../figures/` directory:
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- `martingale_analysis.png`
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- `trailing_stop_analysis.png`
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- `partial_exit_analysis.png`
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- `grid_trading_analysis.png`
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## Mathematical Foundations
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These simulations implement:
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- Geometric Brownian Motion for price simulation
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- Ornstein-Uhlenbeck process for mean-reverting prices
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- Monte Carlo methods for statistical analysis
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- Kelly Criterion for position sizing
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- Sharpe ratio and other risk-adjusted metrics
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## Notes
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- Simulations use random number generation - results may vary slightly between runs
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- For reproducible results, set random seeds in scripts
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- Adjust parameters in each script to match your trading conditions
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- Results are illustrative - actual trading results will vary
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