Prop firm challenge simulator: drawdown rules and pass odds

The odds panel is a Monte Carlo simulation of one challenge. It plays 10,000 separate attempts. In each one a trade wins at your win rate and pays your average win in R, or loses one unit of risk. Your trades per day group the trades into days, and an attempt ends when the balance reaches the profit target, touches a loss limit, or runs out of the days you allowed.

The rules it applies

A static limit sits a fixed distance under the starting balance. An intraday trailing limit follows the highest equity the account has reached, while an end-of-day trailing limit moves up only from each day's closing balance. A day-start limit is measured from that day's opening balance. All four are checked after every trade, because a firm closes the account when the limit is touched, not at the end of the day. A daily loss limit, if you set one, either fails the account or stops trading until the next day; the panel starts from “fails the account” and shows which one it used. With a minimum number of trading days, an attempt that reaches the target early keeps trading at the same risk until the minimum is met, and the panel counts how many of those then breach.

What the model assumes, and what it leaves out

There is no tick data behind it. Each winning trade is assumed to peak at its close and each loser to go straight to its stop, which is the kindest case for an intraday trailing limit; traders who let winners run and give some back can raise that share in the panel. Many futures firms stop trailing once the floor reaches the starting balance. That level is a setting you choose, since the firm data we hold does not record it yet. Consistency rules, fees, slippage, news spikes and the losing streaks real traders go through are not modelled, and the panel prefills a firm's rules only from the figures on its own page, each with the day we read it.

How we check the maths

With a static limit, a fixed dollar risk and wins the same size as losses, the panel becomes the gambler's ruin problem, the arithmetic behind any risk of ruin estimate, and that has an exact answer. At a 50% win rate, with the target 20 risk units away and the limit 10 units away, the formula gives 33.3% and the simulation 33.7%. Our tests keep the simulation within 1.5 points of the formula on eight such cases. The random numbers come from a fixed seed shown under every result, so the same inputs always return the same figures.

A worked example

Take a $100,000 account with a 10% profit target and a 6% intraday trailing max loss. The trader wins 45% of trades, wins average 1.5R, and risks $500 a trade, 3 trades a day for up to 30 days (seed 20261009). About 32 in 100 simulated attempts reached the target first, 24 hit the trailing limit first and 44 were still running after 30 days. The attempts that passed took a median of 22 days. At $1000 a trade, the same seed gives 44 passes and 56 breaches in 100: more attempts finish inside the month, and more of them finish on the wrong side.