System analysis
Profitability Calculator
Evaluate the statistical quality of a trading system: expectancy per trade (R), theoretical linear projection, simulated outcome range (median and percentiles), loss streak probability, and drawdown stress. For system evaluation only — not a broker, lot-size, or income forecast calculator.
Inputs
Modeling aid: reduces effective win size to reflect execution drag. Not a mathematical truth.
For system evaluation only. Not a forecast of actual returns.
Core metric
Expectancy per trade (R)
+0.5 R
Expectancy (R)
Theoretical linear expectancy
Raw projection assuming constant execution and full trade frequency. Real outcomes vary due to variance, streaks, slippage, and missed trades.
These values assume constant execution quality, fixed risk, and full trade frequency. Real outcomes will vary due to variance, streaks, slippage, and missed trades.
Wins / month (expected)
22
Losses / month (expected)
22
Max safe risk (5% daily DD)
2.5%
Drawdown stress
Risk 1% vs 2.5% max
Drawdown stress — risk vs 5% daily DD threshold
Probabilistic outcome range
Simulated monthly returns (5,000 runs). Median and percentiles reflect variance, not linear expectancy.
Median monthly return
+22%
10th percentile
+10%
90th percentile
+34%
Probability of negative month
1%
Distribution of simulated monthly returns
Loss streak probability
P(exactly k consecutive losses) in next month
Expected max losing streak (approx.): ~7.04 · Profit factor: 2
Disclaimer
For system evaluation only. Expectancy and streaks are theoretical. Past results do not guarantee future performance. Not advice; use conservative risk and your own due diligence.