Discussing the article: "Consecutive Loss Streak Analyzer and Risk-of-Ruin Calculator in MQL5"
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Check out the new article: Consecutive Loss Streak Analyzer and Risk-of-Ruin Calculator in MQL5.
This article presents an MQL5 script that extracts closed trade history, computes empirical win rate and payoff, and evaluates consecutive-loss probabilities using the geometric tail, plus risk of ruin from edge and position size. It plots a CCanvas ruin curve with a live marker at the chosen risk and prints a probability summary, including the account's worst historical streak in theoretical context.
Position sizing decisions usually start and end with average win rate. A trader may see a 45% win rate and choose a comfortable risk-per-trade percentage. Often, they never ask how likely a run of 5, 10, or 15 consecutive losses is. A losing streak like that is not a freak event. It is a predictable, quantifiable consequence of the win rate itself, and a large enough streak at a large enough risk-per-trade can breach a drawdown limit or wipe out an account outright.
This article builds a script that reads trade history and computes the empirical win rate, average win, and average loss. It then calculates losing-streak probabilities using the geometric distribution and risk of ruin at the current risk-per-trade using a standard win-rate/payoff formula. A CCanvas chart plots ruin probability against risk-per-trade, so a trader can see exactly how sharply that curve bends upward as position size grows.
Author: Ushana Kevin Iorkumbul