Risk of Ruin
The statistical probability that a trader will lose enough capital to be forced out of trading entirely, given their edge and risk per trade.
Risk of Ruin ≈ ((1 − Edge) / (1 + Edge))^N [simplified; Edge = Win Rate − Loss Rate]
Risk of ruin answers: "Given my win rate, R:R, and position sizing, what are the odds I eventually go broke?" It is the ultimate constraint on risk parameters — even a positive-expectancy system can have a non-zero risk of ruin if position sizes are too large.
Risk of ruin falls rapidly as position size decreases, and rises sharply as risk per trade increases. A system risking 1% per trade with positive expectancy typically has a near-zero risk of ruin; the same system at 10% per trade may have meaningful ruin probability.