EA Risk of Ruin Calculator
What is the probability that my EA hits a given drawdown at this win rate, reward-to-risk and risk per trade?
Risk of ruin
Mathematical estimate — not a prediction
Estimated probability of ruin
—
Risk of ruin by risk per trade
Ruin probability grid
Probability of ever reaching each drawdown from the starting balance, at your win rate and RR.
Simulation check
Simulates random trade sequences over a fixed number of trades, which also shows drawdowns measured from the equity peak.
Methodology
Important: Estimation Only
This calculator provides mathematical projections based on the assumptions and historical/backtest statistics entered by the user. It is not a guarantee or prediction of future trading results. Actual EA performance may vary significantly due to market conditions, volatility, liquidity, spread, slippage, execution quality, commission, swap, news events, market sentiment, changes in market regime, broker conditions and differences between backtest, forward-test and live trading.
Past performance and backtest results do not guarantee future results.
How risk of ruin is calculated
Each trade moves the account up by the reward (RR × risk) or down by the risk. With risk as a percentage of the current balance, those moves are steps of a random walk in the log of the balance. Ruin is the walk ever falling to your chosen drawdown level.
Solve p·e^(−θ·w) + q·e^(θ·l) = 1, then P(ruin) ≈ e^(−θ·B)
Here w and l are the log-sized win and loss, and B is the distance to the ruin level. This Lundberg estimate is slightly conservative: in simulation the true figure is usually a little lower, which the simulation check on this page lets you confirm.
Worked example
A 55% win rate with 1.5R winners has an expectancy of 0.55 × 1.5 − 0.45 = +0.375R per trade. Risking 2% per trade, the estimated chance of ever falling 30% below the start is about 0.02%. At 5% risk it is about 4.1%, and at 10% about 24%, even though the edge is identical. The largest risk that keeps it under 1% is about 3.6% per trade.
That is the main use of the calculator: the same strategy can be comfortable or fragile depending only on position size. The "acceptable ruin" setting finds the largest risk per trade that stays inside your limit.
Frequently asked questions
What does risk of ruin mean for an EA?
Here, ruin means the account falling to a level you choose, such as 30% or 50% below its starting balance. The calculator estimates the probability of that ever happening if the EA keeps trading with the same win rate, reward-to-risk and risk per trade.
How is the risk of ruin calculated?
Each trade is treated as a step up or down in the account's log balance. The calculator solves for the Lundberg adjustment coefficient θ of that random walk and reports e^(−θ × barrier), a standard conservative estimate. An optional Monte Carlo check simulates thousands of trade sequences over a finite number of trades.
Why is the result 100% when my strategy loses money?
If the expected result per trade is zero or negative, the account drifts downward over time, so any drawdown level is eventually reached with certainty if trading continues indefinitely.
Does a low risk of ruin mean my EA is safe to run?
No. The estimate assumes the win rate and reward-to-risk stay constant and trades are independent. Real strategies change with market regimes, and backtest statistics are often better than live results, so treat the number as a lower bound on real-world risk.