u/JayCreator7

A strategy can have positive expectancy and still produce a drawdown large enough to make most traders quit or fail a prop challenge.

I think a lot of traders focus too much on win rate and not enough on sequence risk.

For example:

• same strategy
• same expectancy
• completely different psychological experience depending on trade order

For experienced traders:
How are you estimating realistic worst-case drawdowns for your systems? Did understanding your worst-case drawdown change the way you sized risk or viewed your strategy?

For newer futures/prop traders:
Are you accounting for worst-case drawdown when sizing risk, or mainly relying on win rate/expectancy?

I built a simple tool to estimate worst case drawdowns from a trade list.

You can paste your actual trades (in R) and it shows:

- Median outcome

- 95% / 99% drawdown

- Worst-case scenario

I originally built it because I didn’t trust averages and wanted to see how my real trade sequence behaves.

Would appreciate any feedback, especially if something feels unrealistic.

edgesimulate.com