Risk lab: what 200 trades could look like
Thousands of simulated trade sequences from your own win rate and reward-to-risk, run in your browser. See the range of outcomes, the drawdowns and the losing streaks that come with your edge.
What the Risk Lab shows
Enter a win rate, your average win and loss in R (multiples of the amount you risk), and the share of your account you risk per trade. The lab runs thousands of 200-trade sequences in your browser and draws the middle path in green, the middle half of all paths in the darker band, and nine in ten paths in the lighter band. The tiles below give the median ending balance, the range, how many paths ended in profit, how often the account fell 20% or 30% from a peak, and the typical worst losing streak.
How to read it
Look at the bottom of the light band first. That is a realistic bad run for a rule with exactly this edge, before you add mistakes or a changing market. If you could not live with that drawdown, reduce the risk per trade and run it again. The green line is not a forecast; it is the middle of many possible futures.
Break-even win rate and expectancy
Expectancy per trade = W × Average win − (1 − W) × Average loss
With an average win of 2.93R and an average loss of 1.07R, break-even is 1.07 ÷ 4.00 = 26.75%. At a 30% win rate the expectancy is 0.30 × 2.93 − 0.70 × 1.07 = +0.13R per trade. That edge is real but thin: in the simulation a meaningful share of paths still dip 20% from a peak somewhere in 200 trades.
Worked example: same edge, different risk
Keep the win rate at 30% and the averages at 2.93R and 1.07R, then compare 1% and 3% risk per trade. The median ending balance rises with risk at first, but the drawdown tiles rise much faster, and at higher risk more paths touch the ruin level. This is why sizing is usually decided by the drawdown you can survive rather than by the return you hope for.
Method
- Each trade wins the average win with probability W, otherwise loses the average loss.
- With compounding on, each trade risks the chosen percentage of the current balance; with it off, of the starting balance.
- A seeded random generator (mulberry32) makes runs repeatable: the same seed and inputs give the same chart. Re-roll to see another set of paths.
- The work runs in a Web Worker so the page stays responsive.
Frequently asked questions
What is a Monte-Carlo simulation?
The Risk Lab plays your trading rule thousands of times with random order of wins and losses. Each path uses the same win rate, average win and average loss, so the spread between paths shows how much luck alone can change your results.
Why does the median end lower than the average expectancy suggests?
Losses compound against a smaller balance. Risking a fixed percentage means a loss followed by a win of the same size leaves you slightly below where you started. The median of the paths reflects that; the analytical check is exp(n × (W·ln(1 + f·win) + (1 − W)·ln(1 − f·loss))).
What does the ruin level mean?
It is a balance you would treat as the end of the account, set as a percentage of the start. The lab counts how many paths ever touch it.
Why should I use average win and loss after costs?
Fees, spread and slippage are paid on every trade. If you leave them out, the lab will show a better edge than you have. The Trade Planner sends net figures automatically.
Can the simulation predict my results?
No. Real trades vary in size, your win rate can change, and markets have streaks that a coin-flip model does not capture. Use the lab to understand ranges and drawdowns, not to forecast returns.
Written and maintained by Mantu Kumar
Mantu builds the TradeProfy calculators and checks every formula with worked examples. Each page lists its data sources and assumptions. TradeProfy explains costs and maths but never tells you what to buy or sell.