Drawdown simulator
How deep a normal losing run goes at your size.
Free risk tools
Monte Carlo returns simulator
What could the next year look like? Your own returns, drawn again at random into 2,000 futures: the range, the chance of a loss and the falls on the way.
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- Nothing you type is stored
Your returns
The futures
Over the next 12 months, the middle future ends +6.4%; nine in ten land between -6.8% and +20.4%.
- Ending lower
- 22% of the 2,000 futures end below where they started.
- The falls on the way
- The typical deepest fall inside the 12 months is 4.4%; one future in twenty falls 10.5% or more. Your own record's deepest fall was 4.9%.
- Your limit
- 6% of the futures fall 10% or more from a high at some point: plan the size and the nerve for it.
- Read it with care
- Each future draws your past returns again at random, so it assumes the next months look like the last ones, shuffled. It keeps their size and mix but not streaks or changes in the market. Costs you did not take off are not in it.
2,000 futures of 12 months drawn from your returns, by rank of luck. The 5% row is the bad end for both: 5% of futures end below that total, and 5% fall that far or further on the way. The middle is marked.
| Rank | Total return | Deepest fall |
|---|---|---|
| 5% | -6.8% | 10.5% |
| 25% | +1.0% | 6.7% |
| 50% | +6.4% | 4.4% |
| 75% | +12.0% | 3.1% |
| 95% | +20.4% | 1.4% |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
One record, many possible futures
A track record is one path out of many the same strategy could have taken. Drawing its returns again in a different order shows the others: how wide the range of results is, how often a sound record still loses over a year, and how deep the falls on the way can go. The deepest fall in your own record is usually not the worst one to plan for.
Simulate trades from a win rate and a reward instead with the drawdown simulator, check whether the record is skill or luck with the probabilistic Sharpe ratio, and see the time spent below a high with the time under water calculator.
Not advice. Arithmetic on the returns you type; past returns do not promise future ones.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.