Monte-Neo

Verify a trading strategy before you trust it.
Look-ahead probes · fee-aware next-bar economics · Deflated Sharpe · MCP server for coding agents
MIT · Python 3.11+ · Numba (Metal / MLX optional)

Current: v0.19.0 · Docs site · Verifier API · Agents · Changelog

What this is

Coding agents can now turn a trading idea into a backtest in minutes. Those backtests often fail in the same ways:

• they read future bars (look-ahead);
• they ignore fees and slippage;
• they report the best of hundreds of tried variants.

Monte-Neo is an independent verifier. An agent, a CI job or a human calls it before claiming that a strategy works. It returns a verdict (PASS, PASS_WITH_WARNINGS, NEEDS_MORE_EVIDENCE or REJECT), the checks behind it, concrete next_actions and a reproducible strategy-verdict/1 certificate.

$ uv run python examples/verify_quickstart.py
leaky: REJECT  certificate b4dfa9beee5515d2
  lookahead_truncation     lookahead   fail  truncation probe: LEAK DETECTED
  lookahead_perturbation   lookahead   fail  future-perturbation probe: LEAK DETECTED
  lookahead_static_lint    lookahead   fail  static lint: negative_shift
  implausible_accuracy     lookahead   fail  next-bar hit rate 1.000
  net_profitability        economics   fail  net total return -41.26% after costs
  deflated_sharpe          statistics  fail  deflated Sharpe 0.000 over 10 trial(s)
  -> The signal at bar t changes when later bars are removed: compute features only from rows <= t ...
causal: REJECT  certificate cc4c852ef6c99626
  net_profitability        economics   fail  net total return -3.88% after costs
  ...

Both strategies run on a synthetic random walk, so neither has a real edge. The leaky one is caught by all four look-ahead checks. The causal one is never accused of look-ahead: it is rejected only because it loses money after costs.

Works where agents work:

• MCP server monte-neo-mcp, for Claude Code (plugin), Codex, Gemini CLI, Cursor or any MCP client;
• CLI with CI exit codes;
• GitHub Action;
• Python API.

See Use from agents.

Not a goal: replace live-trading platforms. The verifier checks backtest methodology, not future profit. It is not investment advice.

Why Monte-Neo

Install

From PyPI (recommended):

pip install monte-neo                 # research-core (slim)
pip install "monte-neo[mcp]"          # MCP server for coding agents (monte-neo-mcp)
pip install "monte-neo[apple]"        # Metal / MLX (Apple Silicon)
pip install "monte-neo[plot]"         # charts
pip install "monte-neo[data]"         # Binance downloader / websocket
pip install "monte-neo[full]"         # kitchen-sink local parity

From git:

pip install "git+https://github.com/NeoZorK/Monte-Neo.git"
pip install "monte-neo[apple] @ git+https://github.com/NeoZorK/Monte-Neo.git"

In-repo (contributors):

git clone https://github.com/NeoZorK/Monte-Neo.git
cd Monte-Neo
uv sync --extra apple --extra plot --extra data --group dev

See PACKAGING.md · Export API · Policy triage.

Requirements: Python 3.11+ on macOS or Linux. The verifier and research bar run on Numba CPU. Metal and MLX are optional ([apple] extra).

Quick start: verify a strategy

from monte_neo.verify import verify_strategy

report = verify_strategy("btc_1h.csv", strategy="my_strategy.py", n_trials=12)
print(report["verdict"], report["certificate_id"], report["next_actions"])

my_strategy.py defines signal(df), which returns one position per bar: +1 long, 0 flat, -1 short. Details: Verifier API.

Quick start: research engine

uv sync --extra apple --extra plot --extra data --group dev
uv run monte-neo
uv run pytest tests -n auto
# After an export_sma_sweep JSON:
# uv run monte-neo --policy-triage path/to/export.json

Research export (recommended)

from monte_neo.backtest import (
    ExecutionModel,
    export_sma_sweep,
    synthetic_ohlcv,
)

ohlc = synthetic_ohlcv(100_000, seed=42)
model = ExecutionModel(commission_bps=5.0, slippage_bps=5.0, warmup_bars=50)
out = export_sma_sweep(
    ohlc["open"], ohlc["high"], ohlc["low"], ohlc["close"],
    combos=16,
    model=model,
    device="auto",  # Metal when safe; else cpu_numba (see fallback_reason)
)
print(out["device"], out.get("fallback_reason"), out["combos"])

Single bar backtest

from monte_neo.backtest import (
    ExecutionModel,
    frame_to_ohlc,
    run_bar_backtest,
    sma_signal,
    synthetic_ohlcv,
)

ohlc = frame_to_ohlc(synthetic_ohlcv(5_000, seed=42))
model = ExecutionModel(
    commission_bps=5.0,
    slippage_bps=5.0,
    size_fraction=0.25,
    sl_pct=1.0,
    tp_pct=2.0,
)
sig = sma_signal(ohlc["close"], fast=10, slow=40)
out = run_bar_backtest(
    ohlc["open"], ohlc["high"], ohlc["low"], ohlc["close"], sig, model=model
)
print(out["total_return"], out["metrics"]["max_drawdown"], len(out["trades"]))

More: docs/guides/quick-start.md · backtest engine · FAQ

How to use (research workflow)

1. Load or synthesize OHLCV (synthetic_ohlcv / your frame → frame_to_ohlc).
2. Set an ExecutionModel (fees, SL/TP, sessions, side mode).
3. Sweep with export_sma_sweep / export_batch, or a single export_single.
4. Check device, signal_device, and fallback_reason when using auto.
5. Optional depth: equity_stride, journal, plan_research_bytes / memory on exports.
6. Paper OMS (monte_neo.oms) only when you need event-lane validation — not for sweep cps claims.

Devices: auto · metal · cpu_numba (and MLX where signal paths allow). Oversized Metal jobs demote to Numba instead of hanging (v0.14.1+).

Features (honest)

Project structure

Monte-Neo/
├── src/monte_neo/
│   ├── verify/        # Strategy verifier (look-ahead, costs, Deflated Sharpe)
│   ├── mcp/           # MCP server for coding agents
│   ├── backtest/      # Research bar engine + export
│   ├── oms/           # Paper OMS + accel
│   ├── core/          # Generator / Metal bridges
│   ├── data/          # Market data downloaders
│   ├── monte_carlo/   # MC methods
│   ├── metrics/       # Trading metrics
│   ├── cli/           # Interactive CLI
│   └── visualization/
├── integrations/      # Claude Code plugin, Codex / Gemini / Cursor configs
├── tests/             # unit, integration, traps (verifier Trap Suite)
├── docs/
└── docker/

Screenshots / demos

More under docs/assets/. Runnable script: examples/export_sma_sweep_quickstart.py.

Contributing

See CONTRIBUTING.md · docs.

Security

Report vulnerabilities privately — see SECURITY.md (GitHub Security Advisories preferred; do not open public issues for exploitable bugs).

License

MIT — see LICENSE.

Public repository: https://github.com/NeoZorK/Monte-Neo