Best caseP90
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Status—
Failure / horizon—
Max drawdown—
Longest loss streak—
Trades (W / L)—
Target reached—
Monte Carlo / Kelly criterion
Kelly Risk Simulator
Estimate full Kelly from win rate and payoff, scale it to a safer fraction, then watch how trade order changes growth, drawdown and survival across hundreds of bot paths.
Fractional Kelly sizingRisk recalculated from current equity
Kelly risk used—after fraction and cap
Risk of ruin—paths below the ruin floor
Chance of target—paths reaching the growth goal
Median final balance—at the horizon
Bot paths tested—independent trade sequences
All simulated equity paths
All botsBest path · P90Median path · P50Worst path · P10
Hover or tap to inspect any bot path and its P/LLog scale · months
Three outcome cases
Cases are selected by final-balance percentile, not hand-picked paths.
Median caseP50
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Status—
Failure / horizon—
Max drawdown—
Longest loss streak—
Trades (W / L)—
Target reached—
Worst caseP10
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Status—
Failure / horizon—
Max drawdown—
Longest loss streak—
Trades (W / L)—
Target reached—
Purpose
Scale risk to the strength of the edge.
The Kelly formula estimates the growth-maximising fraction of equity from win probability and payoff. This simulator uses fractional Kelly and a hard risk cap so you can compare long-run growth with the drawdowns produced by different trade sequences.
Full Kelly is mathematically aggressive and depends on perfectly estimated inputs. Estimation error, changing edge, costs and correlated losses can make real drawdowns much worse. Fractional Kelly does not remove risk.
01
Enter a measured edge
Use realised win rate and average reward:risk from enough trades to reduce estimation noise.
02
Reduce the Kelly fraction
Quarter or half Kelly intentionally trades some theoretical growth for lower position size and usually lower volatility.
03
Check the poor sequence
If the P10 path or ruin probability is unacceptable, lower the Kelly fraction or the maximum risk cap.