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How likely are you to touch your ruin threshold?

Enter your win rate, your average win and loss and a ruin threshold: we compute the expectancy per trade, the chance of touching the threshold within the horizon, the maximum drawdown and the losing streak. No signup, no file.

Your figures

Optional fields may stay empty: whatever depends on them will show as Not measured.

The share of winning trades. For example 55.

In % of the balance per trade, or in R with your risk per trade.

Only when you write in R: how much of the balance you risk on each trade. For example 0.5.

In % of the balance (for example 0.8) or in R (for example 1.5).

In % of the balance (for example 0.5) or in R (usually 1).

How many closed trades sit behind your win rate. With it we also show the result at the lower end of its interval.

Reaching that share of the initial balance, or falling below it, at any point counts as touching the threshold. 50 % by default; for a challenge try 20 % or 30 %: the result shows those thresholds too.

How many trades each path walks. 500 by default; at most 2,000.

Frequently asked questions

What is the risk of ruin?

The chance that the balance reaches a threshold you set, or falls below it, at any point within a number of trades: for example, 50 % of the initial balance within 500 trades. Here it is computed on paths of independent trades built from your declared figures, with the classic formula next to it when the average win equals the average loss.

Why does it ask how many trades my history has?

Because a win rate measured on few trades has a wide interval: with 50 trades, a declared 60.0 % is compatible with 46.2 %. The calculator repeats everything at the lower end of the 95 % Wilson interval and shows both figures side by side.

How is it different from the drawdown?

The ruin threshold is measured from the initial balance; the drawdown, from the highest balance reached so far. The table shows the maximum drawdown of the median path and of the worst 5 % of paths (p95) within the horizon.

What it computes and assumes

  • Each path has independent trades: each one wins your average win with your win rate or loses your average loss. Fixed size, counted on the initial balance, as in the classic ruin formula.
  • Touching the threshold is reaching the share of the initial balance you set, or falling below it, on any trade of the horizon; the path walks on to the end so the drawdown is measured.
  • The maximum drawdown is measured from each path's own peak; the longest losing streak comes from longest_run_tail, Rigor's engine function for independent trades.
  • Every win and loss has the average size: no tails, slippage or costs. Real losses vary, so with a real history the threshold is usually touched more often.
  • The Wilson 95 % interval is the range of win rates compatible with your sample if trades are independent; with few trades it is wide.
  • We keep your figures in no database or file; since they travel in the link, the server's access log may hold the address requested. It is a calculation with declared figures, not an audit, a forecast or a sizing recommendation.

With your real history

With your real history, the report measures the streak, the drawdown and the ruin with your actual trades: upload your file. The report resamples your own days and compares your streak with your trades in random order.

Upload my file See a sample report

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