Automatic Differentiation (AD) allows to determine exactly the Taylor series of any function truncated at any order. Here we propose to use AD techniques for Monte Carlo data analysis. We discuss how to estimate errors of a general function of measured observables in different Monte Carlo simulations. Our proposal combines the $Gamma$-method with Automatic differentiation, allowing exact error propagation in arbitrary observables, even those defined via iterative algorithms. The case of special interest where we estimate the error in fit parameters is discussed in detail. We also present a freely available fortran reference implementation of the ideas discussed in this work.
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