Risk of Ruin Calculator: Trading Survival Probability

Trading survival probability

Risk of Ruin Calculator

Calculate the exact probability that a fixed-risk trading model reaches a chosen ruin threshold within a finite number of independent trades.



Formatting only; no currency conversion is performed.


Capital available before the first modeled trade.


Ruin occurs when bankroll reaches or falls below this amount.


Use a fixed cash loss, including trading costs if appropriate.


Estimated probability of a winning trade, from 0% to 100%.


A value of 1.5 means each win earns 1.5 times the fixed loss.


Whole number from 1 to 1,000.

This model assumes independent trades, a constant win probability, a fixed cash loss and fixed average reward. It stops a path when the threshold is reached.


How this risk of ruin calculator works

The calculator evaluates every possible sequence of wins and losses up to the selected horizon. After each trade it combines paths with the same bankroll, removes paths that reached the ruin threshold and carries the exact remaining probability forward. This dynamic-programming method is deterministic; it is not a Monte Carlo estimate.

Win amount = fixed loss × reward-to-risk ratio

Expected value per trade = win probability × win amount − loss probability × fixed loss

Break-even win rate = 1 ÷ (1 + reward-to-risk ratio)

Risk of ruin = sum of the probabilities of all paths that reach bankroll ≤ ruin threshold at or before the selected trade.

Verified examples

Ten equal-payoff trades

A US$1,000 bankroll, zero threshold, US$100 fixed risk, 50% win rate, 1:1 reward-to-risk and ten trades can reach zero only through ten consecutive losses. The exact risk is 0.09765625%, survival is 99.90234375%, expected value is US$0 and the immediate ten-loss streak has the same 0.09765625% probability.

Positive edge with asymmetric payoff

A US$10,000 bankroll, US$2,000 threshold, US$200 fixed risk, 45% win probability, 2:1 reward-to-risk and 250 trades has expected value of US$70 per trade. The break-even win rate is 33.333333%, the edge is +11.666667 points and the expected P&L without the ruin stop is US$17,500.

Guaranteed ruin in the modeled horizon

A US$1,000 bankroll with US$100 fixed risk, zero threshold, a 0% win probability and ten trades reaches the threshold on trade ten. Risk of ruin is 100%. With a 100% win probability under otherwise valid inputs, risk of ruin is 0%.

Interpretation and limits

  • The result is an exact probability for the entered finite, fixed-stake model—not a prediction that markets will follow it.
  • Win probability and reward-to-risk are treated as stable and independent. Serial correlation, regime changes and fat tails are not modeled.
  • The cash loss and cash win remain fixed as bankroll changes. This differs from risking a percentage of current equity after every trade.
  • Amounts support two decimals; reward-to-risk supports two decimals; win probability supports four decimals; the horizon is limited to 1–1,000 trades.
  • The immediate loss-streak probability is for one streak beginning now. It is not the probability that such a streak appears anywhere in the full horizon.
  • Expected bankroll and expected P&L are analytical values without applying the ruin stop. They can differ from the average among surviving paths.

Risk note: Estimates based on historical averages can understate real losses. Slippage, gaps, changing volatility, leverage and execution failures may make actual outcomes worse. This calculator is educational and is not investment advice.

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