Portfolio Monte Carlo
Run hundreds of simulated investing careers to see the range of outcomes your edge and allocation sizing actually produce — including the bad ones.
Set your inputs and run the simulation.
Track this automatically on your real positions
This runs one number, once. Yoseri applies the same math to every position you take — sizing, CLV and ROI computed for you, live on your dashboard. Free to start, no card.
The method.
What it does
It simulates your portfolio across many random sequences of the same positions, then reports the distribution: median outcome, best/worst cases, and the risk of ruin.
Why simulate
A positive edge doesn't guarantee a smooth ride. Variance can produce long losing streaks. Seeing the worst-case paths helps you pick allocation sizing you can actually stomach.
Reading risk of ruin
Risk of ruin is the share of simulated careers that fell below a critical portfolio level. Lower allocations (quarter Kelly, flat) shrink it; full Kelly inflates it.
- Bₜ— portfolio at step t
- f— fraction allocated per position
- b— net decimal return
- N— number of simulated careers
There's no single answer — the point is the whole distribution: median, 10th percentile, max drawdown and risk of ruin, not just the average.
5% edge, half-Kelly sizing, 500 positions, 1,000 simulated runs.
- 1.Each run replays 500 positions with your edge and its variance
- 2.Record ending portfolio, max drawdown and ruin for every run
- 3.Rank the 1,000 outcomes into percentiles
- Garbage in, garbage out — an inflated edge makes every percentile fiction.
- Independent draws understate risk when your positions are correlated.
- Judge a plan by its worst 10% of outcomes, not its average.
Educational only — not trading advice. Calculators and simulations are illustrative; past results and simulated outcomes don’t guarantee future returns. Position responsibly.
Kelly Calculator
EV Calculator
CLV Calculator