Risk simulator

The principle#

The simulator keeps your trades as they happened and changes one thing only: the size of your positions. Win rate and reward-to-risk therefore do not move; what changes the result is how you size those trades.

Run a simulation#

1. 1
   Laboratory > Risk Simulator.
2. 2
   Choose an account, or the All-Data account for all your accounts combined.
3. 3
   Choose a rule, Fixed risk, Martingale or Drawdown, and set it up.
4. 4
   Click Simulate.
5. 5
   Compare Before simulation and After simulation.

   Balance, return, maximum drawdown, average risk and Sharpe, side by side. See original goes back to your real history.

The three rules#

Fixed risk

The same risk, as a percentage, on every trade.

Martingale

A starting risk, a multiplier applied after a loss, another after a win, and a period after which risk returns to its starting value: per session, day, week or month.

Drawdown

A maximum drawdown per period (session, day, week or month), measured from the period's highest balance. Once exceeded, the next trades are skipped until the next period. Original sizes are kept: this rule cuts, it does not resize.

Risk of ruin#

From 30 closed trades, the simulator adds a Monte Carlo run on the chosen rule: it draws the simulation's gains at random, with replacement, thousands of times, and derives the probability of ruin and of losing 25% and 50% of the account. Below 30 trades it does not show it: the figures would not be reliable.

What the simulator tells you about its limits#

• Account at zero: if the rule wipes out the account, the simulator says so with the date, and does not simulate the following trades.
• Resized positions: risk is brought exactly to the setting only for positions whose opening stop is known. The others are brought to the account's average risk and keep their original spread; the screen shows the share concerned.
• Insufficient data: without an average RR or an initial deposit, positions cannot be resized. The history is then shown as is.