TRADING • SURVIVAL • MONTE CARLO
Calculadora de Riesgo de Ruina
Estima supervivencia, drawdowns y riesgo de ruina de una estrategia a lo largo de muchas operaciones.
ESTIMATED RISK OF RUIN—
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Sample equity paths
A small sample from the same reproducible simulation set. The dashed line is the configured ruin threshold.
Risk per trade comparison
Same strategy assumptions, four risk levels. This is often more useful than reading one probability in isolation.
What this result means
Risk of ruin is conditional on the assumptions and the chosen definition of ruin.
MODELCompounding risk model
Each trade risks the selected percentage of current equity. Wins and losses are modeled as average R-multiples, so position size adapts as equity changes.
RUINA configurable capital-loss threshold
Here, “ruin” means equity reaches the chosen percentage loss from starting capital. It is not a universal mathematical definition and it is not bankruptcy probability.
How the simulation works
Independent trade outcomes with constant win probability and average R outcomes.
Expectancy
E[R] = Win rate × Avg win R − Loss rate × Avg loss RRisk
Risk amount = Current equity × Risk per tradeWin
Equity += Risk amount × Avg win RLoss
Equity −= Risk amount × Avg loss RThe model assumes independent trades and stable win rate / R-multiples. Real strategies may have regime changes, serial correlation, slippage, gaps, variable sizing and execution effects.
RISK WORKFLOW
Move from one trade to strategy survival.
Position Size controls one trade. Risk of Ruin asks what repeated exposure could do across a long sequence.
1
Position SizeDefine risk per trade
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2Liquidation PriceMap the risk boundary
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3Futures PnLEvaluate a trade outcome
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4
Risk of RuinStress-test survival