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Research method

Risk of ruin

Risk of ruin is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.

Output
Research filter
Input
Account equity, volatility, stop distance and exposure
Horizon
Before entry and throughout the position
Best use
Keep a loss or exposure decision bounded before a trade is placed.

Registry evidence level: replicated. This is a navigation record, not a performance claim.

  • Input: Account equity, volatility, stop distance and exposure.
  • Output: filter.
  • Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph4

How the method is built, and where it has been read

Depends on

Read in the archive24 of 48 readings

1985Forced-close odds from monthly edge and leverageDrawdown and survival1986Constructing a pre-entry risk filter on price-ratio gridsDrawdown and survival1988Modified-martingale progression lists and ruin boundsSizing and leverage1988Limited-risk labels versus exposure and ruinDrawdown and survival1990Recovery sizing as a series procedureSizing and leverage1991Ratchet the halt floor and stage exposure against cashDrawdown and survival1992Sizing capital from degraded records and volatilitySizing and leverage1992Filter size by expected value and ruinSizing and leverage1992Risk of ruin and exposure caps as a pre-trade filterDrawdown and survival1993Evaluating filter-trigger trailing exits after breakoutsEntry and exit rules1993Constructing price-change Markov transition matricesStatistical tests1994Starting capital from worst-case portfolio walk-forwardsSizing and leverage1994Bound small-account risk before adding leverageSizing and leverage1995Risk of ruin as a pre-entry position filterDrawdown and survival1995Filter leverage by sequence-loss oddsSizing and leverage1996Grading track records by drawdown, expected value, and ruinDrawdown and survival1998When quieter returns lose their survival edgeDrawdown and survival1999Pre-trade size filters for expectancy and ruinSizing and leverage1999Loss response versus a precommitted trading processDecision process1999Reauthorize ruin and drawdown filters after a winning stretchDrawdown and survival2000Sold premium, survivorship, and ruin boundsOptions and volatility2001Monte Carlo drawdown risk and volatility position sizingDrawdown and survival2001Bounded crash risk with capital units and optimal fDrawdown and survival2001Alertness is a size filter, not a moodDrawdown and survival
This registry entry describes a research method. It is not investment advice and does not make a performance claim.