The chance a strategy suffers a drawdown you could not live with, from its win rate, reward-to-risk and the share of the account risked per trade. Simulated over thousands of random trade sequences.
Edge per trade: +0.13R. Fees are not included; subtract them from the reward : risk.
Each simulated account starts at 1 and takes your number of trades. Every trade wins with your win rate, adding risk × reward:risk of the current account, or loses risk of it. We track the deepest fall from any peak and count the accounts whose fall reached your threshold. The random sequence is fixed, so the same inputs always give the same answer.
The probability that a run of losses takes your account down by a set amount (here, a drawdown from its peak) before the strategy's edge has time to play out. Even a profitable strategy has one; risking less per trade is what brings it down.
Closed-form risk-of-ruin formulas assume fixed bet sizes and an infinite horizon. Real accounts risk a percentage of current equity and trade a finite number of times. Simulating thousands of random sequences with your exact numbers answers the question you actually have.
That depends on the drawdown you can tolerate. Use this tool backwards: lower the risk per trade until the chance of your pain-threshold drawdown is small enough to accept.
This tool covers one position. Risk X-Ray aggregates your whole book into true effective leverage and a liquidation-cascade map.
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