EA Risk Simulator — Monte Carlo Equity Curve + Ruin Probability
Monte Carlo simulation of fixed-fractional sizing. Plug in your EA's win rate, R:R, and risk-per-trade — get back an equity-curve fan chart plus probability of every outcome that matters for EA deployment.
The EA Risk Simulator runs Monte Carlo simulations of fixed-fractional EA sizing across 2,000 runs of 500 trades each. Outputs include the equity-curve fan (5/25/75/95 percentiles), probability of hitting 50% drawdown, probability of hitting 75% drawdown, probability of finishing in profit, and median terminal return.
Important limitations
- Independent trades. The model treats each trade outcome as independent. Real EAs have correlated streaks.
- Constant edge. The win rate and R:R stay fixed across the simulation.
- No commission overlay. The win rate input must already account for trading costs.
Use the result as a lower bound on risk. Not financial advice. Always backtest on a demo broker for 2-4 weeks before live deployment.
EA Risk Simulator FAQ
How is this different from the Risk of Ruin calculator?
Risk of Ruin returns a single number — the probability the strategy hits a fixed drawdown threshold. The Risk Simulator returns the full distribution: an equity-curve fan chart, probability of 50% AND 75% drawdown, probability of finishing in profit, and the median terminal return.
Why are the bands so wide for some strategies?
Wide fans indicate strategies whose realised outcome depends heavily on sequencing — a few unlucky losing streaks early can blow up an otherwise positive-expectancy strategy. Narrow fans indicate high consistency.
Is the simulation deterministic?
Yes — the simulator uses a fixed Mulberry32 seed so the same inputs always produce the same output. Change the inputs to vary the run.
What assumptions does the model make?
Independent trades, constant edge, fixed-fractional sizing, no commission overlay beyond what's baked into the win rate. Use the result as a lower bound on risk; reality is usually worse.