The Final Tape
Risk of ruin is the probability that a trading account hits a loss threshold (often total loss or max drawdown limit) before reaching a target, given your win rate, payoff ratio, and risk per trade. It is a survival question — not a single trade outcome.
Use the free calculator below to stress a drawdown limit across 20,000 random sequences — then understand survival and tails from your journal win rate, payoff, and streak structure.
Traders sizing up after a good month who want evidence on tail risk, and risk managers who need distribution-aware answers — not a single ruin probability from a textbook table.
Simulate how often a static or trailing drawdown limit is hit across 20,000 random trade sequences. Journal Monte Carlo modules below still run on your completed-trade tape.
Account & drawdown
Changing account size keeps this percent and updates the dollar cap. Risk is a percent of equity, so a fixed dollar stop on a smaller account is much harder to hit.
Drawdown type
A 2R win makes twice what you risk.
1R = a full stop; less if you cut early.
Risk of ruin
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Adjust the inputs above to simulate drawdown breach rates.
Simulation starting…
This tool runs 20,000 random sequences of trades using your win rate, average win, and average loss. Each sequence risks a fixed percent of the current balance per trade and stops early if the trailing drawdown limit is hit.
Trades are treated as independent. Real streaks, changing edges, fees, and slippage are not modeled. This is an educational tool, not financial advice. Past or modeled results do not guarantee future performance.
The free calculator above shows how often a drawdown limit is breached across thousands of paths. A single “risk of ruin %” still hides path variety — journal Monte Carlo adds drawdown depth and duration from your real trade statistics.
Independent-trade assumptions lie. Your journal captures serial correlation in outcomes through empirical win rate and payoff — simulations reflect your actual streak behavior better than naive formulas.
Model adverse win-rate shifts, sizing changes, and horizon extensions in scenario tools. See if your plan survives bad luck — not just average luck.
Drawdown analysis and Kelly modules use the same portfolio scope. Risk of ruin thinking feeds directly into how much you risk per trade.
As you log new completed trades, inputs refresh. Risk views stay tied to present edge — critical after strategy or regime changes.
Suppose 50% win rate, 1:1 payoff, risking 2% per trade. Textbook independent-trade models give a ruin probability; real journals add streaks — Monte Carlo on your tape may show worse 95th-percentile drawdowns than the formula suggests.
A 15% ruin estimate does not mean you lose 15% of trades — it means 15% of simulated paths breach your ruin threshold. For prop and personal accounts, compare that to your max allowable drawdown policy.
Using win rate from the last 20 trades only. Assuming independence when your strategy clusters losses. Sizing up after one green month without re-simulating.
These product modules run on your completed trades, one canonical tape, no spreadsheet re-entry.
How sizing and tail risk connect in practice.
See Monte Carlo Position SizingYes. The interactive tool on this page runs 20,000 random trade sequences with your account size, max drawdown (trailing or static), win rate, risk per trade, and average win/loss in R. Inside The Final Tape, Monte Carlo also simulates from your completed-trade statistics.
The free calculator reports the share of paths that hit your drawdown limit, plus survival, median ending balance, and median worst drawdown. Journal Monte Carlo emphasizes fuller distributions: drawdown depth, duration, and path variety on your tape.
Yes. Create a free account to inspect a fully populated, read-only environment. Every major module is visible — no credit card required. Upgrade when you are ready to journal your own trades.
No. The Final Tape is a performance operating system for review, analytics, and simulation. You log or import completed trades; the platform does not connect to brokers for execution.
This page includes a free 20,000-path Monte Carlo with trailing and static drawdown modes. The Final Tape goes further by pulling win rate and payoff from completed trades and keeping Monte Carlo, Kelly, and analytics modules aligned on the same statistics.
Yes — change risk per trade in the calculator (or compare the built-in half-risk result). Inside the platform, adjust risk parameters and scenarios in Monte Carlo before you trade live.
Last updated: 2026-08-29