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SCUTA

Interactive tool

Expectancy Simulator

Stress-test an edge: one random run trade by trade against the spread of 1,200 runs, plus the breakeven hurdle and the losing streak to plan for.

Illustrative only. Outputs are not forecasts, fills, or advice. Risk disclosures

How to use · Expectancy Simulator

Stress-tests a trading edge two ways: a Monte Carlo equity sim that rolls your win rate, reward:risk and risk per trade across a run of trades, plus the deterministic longest losing streak to expect at that win rate.

Steps

  1. 01Set the account balance: the equity the sim compounds from. Each trade risks a % of the current balance, not a fixed dollar amount.
  2. 02Dial in the edge: win rate, reward:risk (R) and risk % per trade. These are the strategy's three levers.
  3. 03Set the trade count: how many trades to simulate (252 is roughly one trading year).
  4. 04Read the stats, scan the trade-by-trade table, then the equity curve. Click any table row to mark that trade on both charts. Each run is one random sequence; press Randomize run to re-roll and see how much variance the same edge produces.
  5. 05Scroll to Losing streaks to see the longest run of losers to expect at this win rate, so a cold streak doesn't make you ditch a sound system.

Reading the output

Trade-by-trade table
The full run, one row per trade: starting balance, the amount risked (a % of that balance), profit or loss, ending balance, and cumulative total profit and total gain. Click any row to highlight that trade on both charts, or export the whole ledger as CSV.
Final balance / return
Where one random run of your trade count ended. It swings from run to run, and that spread is the lesson.
Monte Carlo band
The shaded band on the equity curve spans the 5th to 95th percentile of 1,200 runs with the same inputs, so the highlighted run can be read against the realistic range.
Max drawdown
Deepest drop from a running equity peak in that run, as a %. The pain you would have to sit through.
Expectancy / trade
Average profit per trade as a % of balance. Positive means the edge makes money over many trades; negative means no amount of discipline saves it.
(win rate×R−loss rate)×risk%(\text{win rate} \times R - \text{loss rate}) \times \text{risk\%}
Breakeven win rate
Minimum win rate to break even at this reward:risk. Below it you bleed; above it you profit.
breakeven=11+R\text{breakeven} = \dfrac{1}{1 + R}
Expected losing streak
Statistically expected longest run of consecutive losers across the sample at your win rate.
ln⁡N−ln⁡(loss rate)\dfrac{\ln N}{-\ln(\text{loss rate})}

Tips

  • Each run uses real randomness: the same inputs give a different curve every time. Randomize a dozen times to see the realistic range, not one lucky path.
  • Risk is fixed-fractional: a % of the live balance, so wins compound and losses shrink the next bet.
  • A positive expectancy can still draw down hard. Size risk % so the worst streak here is survivable.
  • The streak math assumes independent trades. Real strategies cluster, so treat it as a floor, not a ceiling.

Inputs

$
%
: 1
%
Positive edge

48% win rate clears the 35.7% breakeven for a 1.8:1 payoff.

Final balance

—

From $25,000.00

Net return

—

This run

Max drawdown

—

From a running peak

Expectancy / trade

+0.26%

As % of balance

Breakeven win rate

35.7%

At 1.8 : 1

Net profit

—

—

Equity curve

Band: 5–95% of 1,200 runs · median —

Trade-by-trade results

— · click a row to mark it on the charts

Trade #ResultStarting balanceRisk amountProfit / lossEnding balanceTotal profitTotal gain

Drawdown

Max — · 1,200-run mean —

Losing streaks

Expected worst

7

At a 48% win rate over 80 trades, brace for up to 7 losses in a row.

This run's longest: —

Worst streak by win rate · 80 trades

Win rate and trade count drive both views.

Questions this tool usually raises

What is trading expectancy?
Expectancy is the average amount you can expect to win or lose per trade over many trades, shown here as a fraction of balance. A positive number means the strategy makes money in the long run; a negative one means it loses, no matter how disciplined you are.
E=(win rate×R−loss rate)×risk%E = (\text{win rate} \times R - \text{loss rate}) \times \text{risk\%}
Why does the equity curve change every time I look at it?
The equity sim is a Monte Carlo: it rolls a random win or loss for each trade, weighted by your win rate. One run is a single possible future. Press Randomize run repeatedly to see the full spread of outcomes the same edge can produce, or read the shaded band for the range across 1,200 runs.
What is a breakeven win rate?
The lowest win rate that still breaks even at your reward:risk ratio. At 2:1 reward:risk you only need to win about 33% of the time; at 1:1 it is exactly 50%. Win above the line and you are profitable; below it you bleed even with perfect execution.
breakeven win rate=11+R\text{breakeven win rate} = \dfrac{1}{1 + R}
How is the longest losing streak calculated?
From probability, not the simulation: it is the expected longest run of consecutive losses across N trades, rounded to whole trades. It tells you the cold streak to plan for, so a normal run of bad luck doesn't make you abandon a sound system.
longest losing streak≈ln⁡N−ln⁡(loss rate)\text{longest losing streak} \approx \dfrac{\ln N}{-\ln(\text{loss rate})}
What does risk % per trade actually do?
It is the share of your current balance staked on each trade, not a fixed dollar figure. Wins grow the next position and losses shrink it: fixed-fractional sizing. A higher risk % compounds faster but deepens drawdowns and raises the odds of ruin.
Can I use this for prop-firm or funded accounts?
Yes. Set the account balance to your drawdown allowance and watch Max drawdown against the firm's limit. If realistic runs routinely breach it, your risk % is too high for that account.