Tools / Win rate, expectancy and risk of ruin

Risk of ruin calculator: win rate, expectancy and drawdown

Enter your win rate and your average win and loss in R. See the expectancy, how long a losing streak to expect and how bad a run of trades could get.

FREE TOOL

How bad can a run of trades get?

Enter your win rate and your average win and loss in R. See the expectancy, the losing streak to expect and a simulated risk of ruin and drawdown.

Expectancy and profit factor
Losing streak odds
2,000 simulated paths

▶ Free lesson: what is R in trading

Win rate (%)

Average win (R)

Average loss (R)

Risk per trade (% of account)

Number of trades to simulate

Losing streak to check (trades)

Count it as ruin if the account falls by (%)

Simulation of 2000 random sequences. Same inputs always give the same result.

How it works

Expectancy (R) = win rate × average win − (1 − win rate) × average loss
Profit factor = (win rate × average win) ÷ ((1 − win rate) × average loss)
Break-even win rate = average loss ÷ (average win + average loss)
Chance of N losses in a row = (1 − win rate)^N

Expectancy is the average result per trade in R, the amount you risk. A positive number means the system makes money over many trades. It does not say anything about how bumpy the road is, so the calculator also runs 2000 random sequences of trades with your win rate and payoff, and reports the median and the bad-case drawdown and the share of paths that fall below your ruin level.

The simulation assumes every trade is independent and your inputs are exact. Real markets cluster, and small samples overstate edge. Treat the output as a floor on how much worse things can get, not a forecast.

Related

Kelly criterion calculator

Drawdown calculator

What is R?

Guide: what to record in a journal

Questions people ask

How do you calculate risk of ruin?

There is no single exact formula for real trading, because wins and losses differ in size. This calculator simulates 2000 random sequences of trades from your win rate, average win, average loss and risk per trade, and counts how many fall below the ruin level you set.

What is a good risk of ruin?

As low as you can make it. Many traders aim for well under 1% over a long run of trades. It falls quickly when you cut the risk per trade, and a negative expectancy makes it rise towards 100% whatever the size.

What is expectancy in trading?

The average amount you make per trade, measured in R. With a 45% win rate and a 2:1 payoff it is 0.35 R: on average you make 35% of what you risk on each trade.

How long a losing streak should I expect?

Longer than most people think. With a 45% win rate, about 6 or 7 losses in a row is normal over 100 trades.

What is risk of ruin?

The probability that a run of losses takes your account below a level you cannot recover from. It rises quickly with the risk per trade and falls with a real edge.