Risk of ruin calculator
Probability of hitting a loss limit within a number of trades, computed exactly.
Example inputs, not market prices: change them to your trade.
Result
How it is computed
P(ruin) = sum of the probabilities of every win/loss path that touches the ruin level within N trades
Each trade wins the payoff ratio or loses the risk. The probability is computed exactly over every path of wins and losses, not by simulation, for fixed or compounding risk.
Worked example
Inputs
- Win rate (%)
- 45
- Average win / average loss
- 1.5
- Risk per trade (%)
- 1
- Ruin level (% loss from the start)
- 10
- Position sizing
- Fixed (% of starting capital)
- Number of trades
- 200
Result
Probability of ruin
17.02%
- Probability of survival
- 82.98%
- Losses in a row to ruin
- 10
Computed on the server by the same code as the form above (calculator table 2026-10-04.1).
Questions
What ruin level should I use for a prop firm?
The maximum loss of the program, for example 10 % of the initial capital.
Why does it differ from the classic formula?
The classic formula assumes endless trading and a payoff of 1. This one uses your number of trades and your payoff ratio.
Fixed or compounding risk?
Fixed risks a % of the starting capital; compounding risks a % of the current capital and never quite reaches zero.
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A calculation, not a forecast. Not investment advice.