Risk of Ruin
resamples your real R results thousands of times. chance of hitting your max drawdown, median outcome, kelly. no fake formula.
About this widget
the textbook formula assumes every win and loss is the same size. real results have fat tails, and fat tails are where ruin comes from. so this resamples your actual R outcomes. thousands of runs, your horizon, your risk per trade, sized fixed fractionally like a real account. output: probability of your defined max drawdown, median outcome, 5th and 95th percentile paths as a fan, typical worst drawdown, chance of ending below start. kelly with halves and quarters, because full kelly is maths, not advice. under 30 trades it says the sample is thin. there is a manual mode for systems you have not traded yet.
Reviews (0)
No reviews yet, be the first to share how it works for you.