Risk of Ruin Calculator

Apply statistical probability models (Ralph Vince / Perry Kaufman) to evaluate the probability of blowing an account based on win rate, payoff ratio, and risk %.

System Performance Parameters

Historical Win Rate (%):0%

Payoff Ratio (Avg Win / Avg Loss):0.00 : 1

Risk Per Trade (% of Equity):0.0%

0.5% (Conservative)1-2% (Prop Standard)5%+ (Extremely Dangerous)

Ruin / Account Blowout Threshold (%)

Most prop firms terminate accounts at 4% to 10% drawdown.

Statistical Probability of RuinHigh Risk of Blowout

Chance of Hitting 0% Drawdown

100.00%

100 consecutive losing R-units to trigger blowout

System Mathematical Expectancy:-1.00R per trade

Optimal Half-Kelly Sizing Cap:0.00% of capital

Streak Probability (Given 0% Win Rate)

3 Losses in Row:100.0%

5 Losses in Row:100.0%

7 Losses in Row:100.0%

10 Losses in Row:100.0%

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Ralph Vince & Perry Kaufman Probability of Ruin Math

Risk of Ruin is the statistical probability that an investor will lose enough capital to be forced to stop trading. Even with positive expectancy, excessive risk per trade guarantees eventual ruin.

Formula Definition:

Advantage = (Win_Rate * Payoff_Ratio - Loss_Rate) / (Win_Rate * Payoff_Ratio + Loss_Rate) Probability_Of_Ruin = ( (1 - Advantage) / (1 + Advantage) )^(Ruin_Units)

Trader Risk Best Practices

check_circleIf your system has negative mathematical expectancy, ruin is 100% inevitable.
check_circleKeeping risk per trade under 1.5% reduces mathematical probability of ruin close to 0%.
check_circleUse Half-Kelly sizing as a strict upper bound to prevent aggressive blowout volatility.

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