Risk of Ruin & Drawdown Simulator
The odds of a deep drawdown or ruin from your own win rate and risk.
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- Free preview: the risk of ruin in full, with the first rows of each table (up to 3) and a watermarked chart; every other figure is hidden.
- Locked until you unlock it: download and copy.
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Deepest drawdown from a peak, each simulated path
How far each simulated path fell from its own highest point. Your ruin line is counted from the starting equity instead, so it is not marked here.
Drawdowns and the gain to recover
Losing streaks
Equity at the end
How this was calculated
Locked in the free preview. Opens the ways to unlock this result.
Locked in the free preview. Batch runs unlock with a pass.
Locked in the free preview. Query results unlock with a pass.
For education only, not investment advice: no tool here tells you what to buy, sell or hold. Results use only the figures you enter, the files you load (read in your browser, never uploaded) and the published rules each page names. Check them against your broker's or exchange's own figures, and consider a licensed or registered adviser for advice on your situation.
About the Risk of Ruin & Drawdown Simulator
How likely is a losing run deep enough to stop you trading? This simulator works it out from your own win rate, payoff and risk per trade, or from your own list of trade results in R: the chance of reaching a ruin line you set (a drawdown, or an equity level) within the number of trades you choose, the exact odds of a losing streak of any length, and the spread of the deepest drawdown across thousands of simulated paths, with the gain each drawdown needs to recover.
Beside the simulated figure it gives the analytic answer for an unlimited number of trades: exact for fixed bets with a whole-number payoff (the gambler’s ruin), otherwise an upper bound, and for a fixed % of equity the bound that turns to certainty when the bet is too big for the edge. The simulation is seeded, and the seed is shown, so you can repeat any run.
It works in any currency and for any market: shares, futures, forex or crypto. It describes what your inputs imply under a stated model; it does not forecast your results. Nothing you type leaves your browser.
How to use it
- Enter your win rate and payoff (average win ÷ average loss, or the two averages), or switch to your own results and paste one R multiple a line.
- Enter your starting equity and the risk per trade: a % of equity (it shrinks after losses) or a fixed amount.
- Set your ruin line, a drawdown % or an equity level, the number of trades to look ahead and a losing-streak length.
- Keep the 10,000 simulations and the seed, or change them; the same seed always gives the same result.
- Read the risk of ruin, the streak odds and the drawdown percentiles; copy the summary or download the tables as CSV — with a pass, or after unlocking this result.
Examples
Win rate 50%, payoff 2R, 10 bets of capital above the ruin line, a fixed amount a trade
z = 0.618034 (the root of p·z³ − z + q = 0) · risk of ruin z¹⁰ = 0.8131%
Win rate 45%, payoff 1.5R, 10 bets above the line
At most 19.21% (an upper bound: the payoff is not a whole number); 20 bets: 3.69%; 50 bets: 0.026%
100 trades at a 50% loss rate
At least 5 losses in a row: 81.01% · at least 10: 4.41%
Win rate 40%, payoff 1R
Risk of ruin 100% over enough trades, whatever the bet size
Common uses
- See how deep a drawdown your risk per trade can lead to before you start.
- Compare 1%, 2% and 5% risk per trade on the same edge.
- Check how often a streak of 8 or 10 losses turns up in a year of trades.
- Resample your own results to see the spread of drawdowns they imply.
The formulas
- Fixed bets (the same amount every trade, payoff b): z is the root in (0, 1) of p·z^(b+1) − z + q = 0, and the chance of ever losing U bets is z^U: exact when b is a whole number (the equity then falls one bet at a time and passes every level), otherwise Lundberg’s upper bound e^(−R·U) with z = e^(−R). No edge (p·b ≤ q): 1. Sources: Feller, An Introduction to Probability Theory and Its Applications, vol. 1 (the gambler’s ruin); Lundberg–Cramér ruin theory (Asmussen and Albrecher, Ruin Probabilities).
- A fixed % of equity f: log equity moves by ln(1 + f·b) or ln(1 − f), so the chance of ever falling to a share s of the start is at most s^R, R solving p·(1 + f·b)^(−R) + q·(1 − f)^(−R) = 1; it is certain when the expected log growth p·ln(1 + f·b) + q·ln(1 − f) is zero or below.
- Losing streaks: the exact probability of at least k losses in a row within n trades, by dynamic programming over the length of the current streak (no simulation).
- Simulation: each trade is a win with probability p (or one of your results, drawn at random); risk of ruin = the share of paths that reach the ruin line within your number of trades, with its 95% interval (Wilson). Generator: mulberry32 with the seed shown. How a simulation is described follows FINRA Rule 2214.
Reading the results
- Risk of ruin: the share of simulated paths that reached your ruin line within your number of trades. The interval beside it is the simulation’s own error: more simulations make it narrower.
- Any number of trades: the analytic figure for fixed bets, and for a fixed % the bound. A small number of trades usually gives a smaller figure than an unlimited one.
- Losing streaks: the chance of at least that many losses in a row somewhere in your trades, and how much equity such a streak takes at your risk.
- Deepest drawdown: the largest fall from a peak on each path; the 95th percentile means 5 paths in 100 fell further. The gain to recover a fall of d is 1 ÷ (1 − d) − 1: a 50% fall needs +100%.
What it leaves out
- Changes in your edge: the model keeps the same win rate and payoff on every trade; real results drift, cluster and depend on the market.
- Trades that depend on each other, several positions at once, gaps and slippage beyond your average loss (a list of your own results includes them).
- Costs and taxes unless they are in your averages or your results.
- Your own rules after a drawdown (cutting the risk, stopping): the simulation keeps trading the same way.
Limitations
- Results are hypothetical: they show what your inputs imply under the model, change with your inputs, and for the simulation with each seed.
- Up to 50,000 simulations and 10,000 trades, at most 100 million simulated trades in all.
- Each trade is independent and identically distributed: streaks of real trading can be longer when results cluster.
- A result list needs at least 10 results, in R (each result ÷ the amount you risked on it).
Privacy
Everything happens in your browser. What you enter or open here is not uploaded or stored by MySmartCoPilot.
Frequently asked questions
What do I get without a pass?
Without a pass, Risk of Ruin & Drawdown Simulator shows the risk of ruin in full, with the first rows of each table (up to 3) and a watermarked chart; every other figure is hidden. Until you unlock it, the result can’t be downloaded or copied. A Pro, Premium or Ultimate pass, a one-time payment that never renews, unlocks the full result. The pricing page lists the passes and their prices.
What is the risk of ruin?
The probability that a run of losses takes your equity down to a line you set (a drawdown, or an equity level) at which you would stop trading. It depends on your win rate, your payoff and above all on how much you risk a trade.
How is the risk of ruin calculated?
Two ways, side by side. The simulation plays out your number of trades thousands of times with your win rate and payoff (or your own results) and counts the paths that reach the line. The analytic figure solves p·z^(b+1) − z + q = 0 for z and raises it to the number of bets between your equity and the line: 0.618034¹⁰ = 0.8131% for a 50% win rate, a payoff of 2 and 10 bets.
What are the chances of 10 losses in a row?
Within 100 trades at a 50% loss rate, 4.41%; at least 5 in a row, 81.01%. The calculator works it out exactly for your loss rate, streak length and number of trades, by dynamic programming rather than a simulation.
Why is a fixed % of equity safer than a fixed amount?
Because each loss is a share of what is left, the amount at risk shrinks as equity falls, and equity can never reach zero. It can still fall a long way: with a bet too big for the edge, the expected growth of equity turns negative and a deep drawdown becomes certain over enough trades.
Why does the result change with the seed?
The seed starts the random numbers of the simulation. Another seed gives other paths and a slightly different figure inside the interval shown; the same seed always gives the same result, so a run can be checked.
Can I use my own trade results?
Yes: choose your own results and paste them as R multiples, one a line (a win of twice the risk is 2, a full loss −1). The simulation then draws each trade from your list, so their spread, gaps included, is kept; past results do not predict future ones.