Risk of Ruin Calculator
A system with a positive edge can still blow up if you bet too big — variance, not the average, decides survival. Risk of ruin is the probability that a bad enough streak drops you below a drawdown you couldn't come back from. This estimates it by simulating thousands of possible runs.
A Monte-Carlo estimate: the odds of a 50% drawdown within 100 trades at this edge and bet size, assuming a constant edge and independent trades — real markets give neither, so treat it as a lower bound on how bad things can get.
It runs 5,000 simulated sequences of your trades. Average win and average loss are entered in R — multiples of what you risk on each trade — so an average win of 2R means a winning trade returns twice your per-trade risk. Each trade wins with your win rate (gaining risk% × average win of the current account) or loses (costing risk% × average loss), betting a fixed fraction of the balance each time. A run counts as ruin the moment the account falls to your drawdown threshold; the risk of ruin is the share of runs that got there.
A model, not a promise: it assumes a constant edge and independent trades. Real markets cluster losses and shift regimes, so treat the number as a floor on how bad it can get — the real risk is higher. Educational tool, not advice.
A calculator shows what a rule should do on paper. Whether a strategy actually beats simply buying and holding — costs on, losses shown, no hindsight — is a different question, and the only one that pays. Test one on real data, free, no sign-up.