Risk of Ruin & Monte Carlo Drawdown Calculator
Simulate finite trade sequences with fractional risk, costs and reproducible seeds. Compare initial-capital loss with peak drawdown.
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Fractional risk uses remaining equity before each trade. R is that trade’s risk amount. Risk is recalculated after every gain or loss.
Enter assumptions and calculate to see a result.
Your next step
Inspect market ranges and open interest
Range analysis shows market ranges and open-interest structure. It is not a connected strategy backtester and does not validate your assumed win rate.
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Results depend on your inputs and the assumptions shown by this calculator. Reference links explain the model; they do not supply a live price feed. Fees, execution and changing market conditions can affect actual outcomes.
Methodology and assumptions
Fractional risk uses remaining equity before each trade. R is that trade’s risk amount. Risk is recalculated after every gain or loss.
Costs are deducted on every trade in units of its risk amount, not as a percent of account equity.
Ruin means crossing the selected loss threshold, not reaching exactly zero. Initial-capital loss and peak-to-trough drawdown are different events.
The same seed and assumptions reproduce the same paths. Sensitivities share random draws for comparison.
Wilson intervals describe finite simulation sampling error conditional on your assumptions. They do not cover uncertainty in win rate, payoff, costs or future market conditions.
Trades are independent with fixed binary payoffs and a fixed win probability. Serial dependence, regime changes, fat tails, liquidity and margin liquidation are not modeled.
1,000–20,000 paths; up to 2,000 trades; at most 20 million path-trades per scenario. Loss multipliers must stay positive; extreme numerical ranges are rejected.
Range analysis shows market ranges and open-interest structure. It is not a connected strategy backtester and does not validate your assumed win rate.
E(t+1) = E(t) × [1 + f × (R₊ − c)] ; E(t+1) = E(t) × [1 − f × (R₋ + c)]
Frequently asked questions
Does “ruin” mean exactly zero capital?
Ruin means crossing the selected loss threshold, not reaching exactly zero. Initial-capital loss and peak-to-trough drawdown are different events.
Does the confidence interval validate my strategy?
Wilson intervals describe finite simulation sampling error conditional on your assumptions. They do not cover uncertainty in win rate, payoff, costs or future market conditions.