Risk of ruin
The estimated chance of losing a set share of the account within a year.
How to read it
An estimate from the strategy's history, not a promise — a regime the backtest never saw is not in it.
How to use it
A reality check on leverage and sizing.
Limitations
Rests on the strategy's own history; the Monte Carlo on trade order measures a related risk a different way.
In Kereon
Strategies. The strategy's own daily returns, replayed in random five-day blocks for 800 simulated years (the blocks keep losing streaks together). The share of those years in which the account at some point stood 50% below where it started.
Also called: risk of ruin.