Simulation
Probability of ruin
— %
Sample equity curves
—
Median ending return
—
Median max DD
—
95th-pct max DD
—
Edge per trade (R)
Ruin distance (risk units)—
Runs that survived—
Analytical estimate—
Independent approximation assuming non-compounded fixed units, so it will not exactly match the compounding Monte Carlo.
Compounded fixed-fractional risk. Simulated results do not guarantee future performance.
How it works
Monte Carlo, not a crystal ball
Each run replays your trades one by one: with probability equal to your win rate the equity grows by R × risk, otherwise it falls by your risk — always compounding on the current balance. We repeat the whole run thousands of times and count how often the balance breaches your drawdown limit. The analytical estimate is the classic fixed-fractional risk-of-ruin formula, shown only when your edge is positive.
RoR ≈ ((1 − A) / (1 + A)) ^ (drawdown ÷ risk), A = W − (1−W)/R
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