LEARN · TOOLS

Monte Carlo trading simulator

HYPOTHETICAL

See the range of outcomes a win rate and reward-to-risk can produce, including the drawdowns and losing streaks along the way.

Generated from the numbers you enter. Not a forecast, and not the result of any strategy.

Win rate % Share of trades that close in profit.

Reward-to-risk R Average win as a multiple of the amount risked.

Risk per trade % Share of equity lost when a trade hits its stop. Capped at 10%.

Trades per month /mo How often the rule trades.

Horizon mo How far ahead each run goes.

Cost per trade R Spread and commission per trade, as a share of 1R.

“Ruin” threshold % Falling below this share of the start counts as ruin.

Sizing Risk is a share of current equity.

Advanced

Starting balance Used only when the chart shows a balance.

Number of runs More runs give steadier percentages.

Expectancy: +0.075 R per trade after costs

Break-even win rate at 1.5R after costs: 42.0%.

Chance of falling below 50% of start – Share of runs that touched the ruin line at any point.

Longest losing streak – Half of runs had a losing streak this long or longer.

Maximum drawdown – The largest fall from a high point, within each run.

Chance of a drawdown deeper than % – Change the threshold to see how often deeper falls happen.

Ending equity – Median, with the 10th to 90th percentile range.

Chance of ending below start – Share of runs that finished under their starting equity.

Losing streaks are normal

Chance of at least one run of this many losses in a row over the horizon

5 losses in a row

–

8 losses in a row

–

10 losses in a row

–

15 losses in a row

–

From the same simulated runs as the chart above.

Reading the results

What expectancy is

Expectancy is the average result of one trade, measured in R: the win rate times the reward-to-risk, minus the loss rate, minus costs. At a 45% win rate and 1.5R with 0.05R of cost it is +0.075R, so a hundred trades average 7.5R between them. A positive number says the average is in your favour. It says nothing about the order in which wins and losses arrive.

Why the median is not “what you’ll get”

The median is the middle run: half did better and half did worse. Your own result is one draw from the whole spread, and the shaded band shows how wide that is. Two traders with identical numbers can finish a year far apart purely through the order of their trades.

Why drawdown depends on risk per trade more than win rate

Losing streaks happen at every win rate. What a streak costs is set by how much each loss takes. Halving risk per trade roughly halves the depth of every drawdown, while a few points of win rate barely change how long the worst streaks run. Move each slider and watch the drawdown tile.

What compounding does to the spread

With compounding, each trade risks a share of current equity, so gains grow the stake and losses shrink it. The best runs pull far ahead and the spread of outcomes widens, which is why the chart can switch to a log scale. Fixed sizing risks the same amount every trade, which keeps the spread narrower and the chart linear.

Questions

What is risk of ruin?

Risk of ruin is the chance that an account falls below a level you treat as unrecoverable, such as half its starting value, before the period ends. Here it is the share of simulated runs that touched the ruin line at any point. It depends mostly on risk per trade and on how long losing streaks run.

What win rate do I need at 2R?

Before costs, a reward-to-risk of 2 breaks even at a win rate of 33.3%, because 1 ÷ (1 + 2) = 0.333. Costs raise that: at 0.05 R per trade you need 35%, because (1 + 0.05) ÷ (1 + 2) = 0.35. The simulator shows the break-even win rate for your inputs under the expectancy figure.

How many runs does a simulation need?

Enough for the percentages to stop moving. At 5,000 runs a headline figure moves by about one percentage point between re-rolls; at 1,000 it moves by two or three. Very long horizons use fewer runs to stay fast, and the note under the chart says when that has happened.

Is this a prediction?

No. It shows the spread of outcomes the numbers you enter can produce if every trade is independent. It does not forecast any market or strategy, and real trading results can be worse than every run shown.

Where do I get my own win rate and reward-to-risk?

From a record of trades that follow one fixed rule: a backtest, or a long enough log of live trades. The win rate is the share of trades that closed in profit, and the reward-to-risk is the average win divided by the average loss. Figures from a handful of trades are too noisy to simulate.

Don’t guess the numbers: measure them.

A backtest in SixOne8 runs one fixed rule over years of history and reports its win rate and its average win and loss, which are the numbers this simulator asks for.

Start free How backtesting works

Hypothetical and illustrative only. Every figure on this page is generated from the inputs above under the stated assumptions. It is not investment advice. Past or simulated results do not predict future results. Trading carries risk of loss.