Drawdown Simulator — Monte Carlo
Test the robustness of your trading strategy with 200 Monte Carlo simulations. Visualize the maximum drawdown, final capital range and probability of ruin before risking real money.
Understanding drawdown and Monte Carlo simulation
What is drawdown?
Drawdown measures the maximum decline of your capital from a peak (peak-to-trough). A 30% drawdown means your account lost 30% from its all-time high. It's the key indicator for assessing the real risk of a strategy.
The Monte Carlo method
Monte Carlo simulation generates hundreds of random scenarios from the same parameters (win rate, R:R, risk per trade). Each scenario produces a different equity curve, allowing you to visualize the range of possible outcomes rather than a single backtest.
Risk of ruin
Risk of ruin is the probability that your capital falls below a critical threshold (here 50% of initial capital). Even a strategy with a high win rate can have significant ruin risk if the risk per trade is too large. This simulator quantifies that danger.
Using the results
If the simulated max drawdown exceeds your psychological tolerance, reduce your risk per trade. If the probability of ruin exceeds 5%, your strategy needs adjustment. The overlaid equity curves visually show you the dispersion of possible outcomes.