Drawdown simulator
How deep the losing streaks can get, from your win rate and reward to risk.
- Expectancy per trade
- –
- Typical max drawdown (median)
- –
- Max drawdown, worst 5%
- –
- Chance to hit the limit
- –
- Median final balance (start = 100)
- –
The simulation assumes independent trades, a fixed reward to risk and a fixed percentage risk on the current balance. Real results are usually worse: losses cluster, and spreads and slippage cost money.
How the simulation works
The simulator plays 2,000 random sequences of trades with your win rate and reward to risk. Each trade risks a fixed percentage of the current balance, and each run records its deepest fall from a previous peak. The random sequence is fixed, so the same inputs always give the same results, and you can compare settings fairly.
How to read the results
- Expectancy: the average result per trade, in multiples of the risk (R).
- Typical max drawdown: the median run. Half of the runs did better, half did worse.
- Worst 5%: only one run in twenty fell deeper than this.
- Chance to hit the limit: the share of runs that fell at least as far as your drawdown limit.
Try this
- Keep the strategy the same and change only the risk per trade. The drawdown grows much faster than the average return.
- Lower the win rate by five points and watch how fragile a small edge is.