Simulate 10,000 runs of a strategy to see how often it falls far enough to count as ruin, how the typical account ends and how bad the drawdowns get.
Chance of ruin
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Chance of finishing ahead
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Typical ending balance (median)
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Typical worst drawdown (median)
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Worst drawdown in the unluckiest 5% of runs
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Twenty simulated accounts
How it works
Even a winning strategy has losing streaks. Risk of ruin is the chance that a streak takes the account down far enough that you would stop trading it, which this calculator calls ruin.
Each simulated run takes the number of trades you enter. Every trade risks the same share of the current balance, wins the reward to risk multiple of it or loses it, and the run stops if it falls to the ruin level.
The formula
Each trade: Balance × (1 + Risk × R) on a win, Balance × (1 − Risk) on a loss
Ruin = the balance falls to (1 − Ruin drawdown) of where it started
Chance of ruin = runs that hit ruin ÷ 10,000
Worked example
A strategy that wins half the time with wins 1.5 times the size of its losses has a real edge. Risking 2% a trade over 200 trades, almost none of the 10,000 runs reach a 50% drawdown, and the typical worst drawdown is about 17%. Raise the risk to 10% a trade with the same edge and about 18% of runs hit the 50% ruin level, with a typical worst drawdown near 63%. The edge did not change; only the bet size did.
Risk of Ruin questions
Why use a simulation instead of a formula?
Formulas for risk of ruin need simplifying assumptions. A simulation handles any win rate, payoff and risk size directly and also shows drawdowns and ending balances.
Why does the result change slightly between settings?
Each setting runs a fresh set of 10,000 random sequences. The runs are seeded, so the same inputs always give the same answer.
What should I use for the ruin level?
Pick the drawdown at which you would stop the strategy. Many traders use 30% to 50%; a fund manager might use 20%.
For informational and educational purposes only. Not investment advice, and not a recommendation to buy or sell any security. Results are estimates from the numbers you enter.