skills.rest
mahmoud20138
mahmoud20138COMMUNITY
Explore all skills by this author →
GitHub

risk-of-ruin

Compute risk-of-ruin, Kelly sizing, and Monte Carlo survival analyses for bankroll management.

10|2|Updated Mar 8, 2026
Search Tags:#risk-management#trading#sizing#monte-carlo#kelly#bankroll#risk-of-ruin
One-click install
npx skills add https://github.com/mahmoud20138/Tradecraft --skill risk-of-ruin
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-of-ruin
Source: https://github.com/mahmoud20138/Tradecraft/tree/main/plugins/tradecraft/skills/risk-of-ruin
Command: npx skills add https://github.com/mahmoud20138/Tradecraft --skill risk-of-ruin

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Provides quantitative risk analytics for traders by computing risk of ruin, the Kelly framework for sizing, and Monte Carlo survival estimates to inform bankroll management.

Core Features & Use Cases

  • Classical risk-of-ruin calculations for various win rates and payoff structures.
  • Kelly sizing guidance (full and fractional) to optimize growth while limiting drawdowns.
  • Monte Carlo survival analysis to simulate equity paths and determine ruin probabilities.
  • Practical sizing rules and thresholds to control risk and allocate capital.
  • Scenario planning with adjustable inputs like win_rate, average_win, average_loss, and risk_per_trade.

Quick Start

Run a quick analysis by providing your win_rate, average win, average loss, and risk per trade to obtain ruin probability and sizing recommendations.

Frequently Asked Questions about risk-of-ruin

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate risk of ruin for my trading strategy?▼

Calculate risk of ruin by inputting your win rate, average win, average loss, and risk per trade. The analysis computes classical ruin probabilities and survival estimates to guide bankroll management and capital allocation.

What is the best way to use Kelly sizing for bankroll management?▼

Kelly sizing optimizes bankroll growth while limiting drawdowns by calculating full and fractional Kelly bet sizes. Provide your win rate and payoff structure to receive optimal risk per trade recommendations for safer capital allocation.

Can I use Monte Carlo simulations to estimate trading survival probability?▼

Monte Carlo survival analysis simulates equity paths to determine ruin probabilities. Configure your win rate, average win, average loss, and risk per trade to generate scenario outputs and estimate survival across fixed fractional or volatility-adjusted sizing.

Does risk of ruin analysis work with fixed ratio and volatility-adjusted sizing?▼

Risk of ruin analysis supports fixed fractional, volatility-adjusted, and fixed ratio sizing models. These approaches guide capital allocation by computing ruin probabilities and practical survival rules tailored to your specific sizing method.

Why does my risk of ruin calculation require specific payoff and win rate inputs?▼

Risk of ruin calculations require specific inputs because ruin probability depends on the interaction between your win rate, average win, average loss, and risk per trade. Accurate inputs yield reliable Monte Carlo survival estimates and Kelly sizing guidance.

Related Skills

Explore More Data & Analytics Skills→
louloulinlouloulin
19

kelly-position

Compute optimal position sizing using the Kelly criterion for trading strategies.

Community
Advanced
winstonkoh87winstonkoh87
558

zenith-execution

Runs Monte Carlo risk assessment and optimizes position sizing for trading portfolios.

Community
Advanced
kmshihab7878kmshihab7878
6

financial-modeling

Computes risk metrics, Monte Carlo portfolios and constrained SLSQP optimizations for trading strategies.

Community
Advanced
modelscopemodelscope
4.4k

Creating Financial Models

Build financial valuation models with DCF, sensitivity analysis, and Monte Carlo simulations in Excel.

Official
Advanced