risk-of-ruin

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.