Risk & sizing

Will your account survive the next 200 trades?

The same edge can compound at 2% per trade and blow up at 20%. This runs a Monte Carlo of your strategy to show your risk of ruin, expectancy and the Kelly fraction — not just a position size.

Your strategy

inputs

1Edge

Win rate (%)

Reward : risk (avg win ÷ avg loss)

Risk per trade (% of current equity)

2Horizon & ruin

Number of trades

Ruin at drawdown (%)

Ruin = the equity drop you can't come back from. 50% means the account halves; 100% means a full wipeout.

+ Position size (optional)

Account balance

Entry price

Stop price

Optional. Fill both prices to get a position size in units for your risk-per-trade setting.

The outcome

awaiting input

Enter your edge and horizon, then run the simulation to see your risk of ruin and the spread of possible equity curves.

Why 2% isn't a magic number

Most position-size calculators stop at one line of arithmetic: risk a fixed percent, divide by your stop distance, done. That hides the part that actually decides whether you survive — variance. A strategy with a real edge can still ruin you if you bet too large, because a run of losses compounds against a shrinking account faster than the edge can repair it.

That is what the simulation shows. Hold the edge fixed and only change the risk per trade, and the risk of ruin climbs from near zero to a coin flip. The Kelly fraction marks the sizing that maximizes long-run growth; betting above it raises your risk of ruin and lowers your growth at the same time — the worst of both. Most systematic traders size at a fraction of Kelly for exactly this reason.

Questions

What is risk of ruin?

The probability your account falls to a level you can't recover from before your edge plays out. It depends on win rate and reward-to-risk, but most of all on how much you risk per trade. A profitable system can still have a high risk of ruin if positions are too large.

Is risking 2% per trade safe?

There's no universal safe number. 2% is a common default, but safety depends on your win rate, reward-to-risk and horizon. The same edge can survive at 2% and have a coin-flip risk of ruin at 20%. Run your own numbers.

Does positive expectancy guarantee a profit?

No. Positive expectancy means the average trade makes money, but variance and over-sizing can ruin the account before that average is realized. Sizing above the Kelly fraction raises ruin while lowering long-run growth.

What model does this use?

A Monte Carlo over your trade horizon: each trade wins with your stated probability for a reward-to-risk multiple, or loses one unit of risk, sized as a fraction of current equity. It runs thousands of paths and reports how many hit your ruin threshold. It assumes independent trades and a stable edge — real markets violate both, so treat the result as a floor on risk, not a ceiling.