Your strategy doesn't have one future — it has thousands. This runs 1,000 of them and shows how many end in a blown account.
Expectancy tells you the average future. Monte Carlo shows the distribution — and trading is survived in the distribution, not the average. The same 45%-win, 1:2 strategy is a completely different animal at different position sizes: try 1%, then 5%, then 10% risk and watch the ruin number. The strategy never changed. Only the sizing did.
This is the mathematical reason every professional framework caps risk at 1–2%: not because pros are timid, but because ruin is an absorbing state — one visit and the game is over, no matter how good the strategy would have been afterwards. Log your real numbers in the trading journal, then feed your measured win rate and average R back into this simulator.
Testing with a guessed win rate. Until you have 50+ journaled trades, your "60% win rate" is a feeling, not a number — simulate 10 points lower to be honest. Ignoring the drawdown line: a strategy can end profitable AND pass through a −40% drawdown you would never psychologically survive — check median max drawdown against the recovery math. Assuming independence saves you: real losses cluster (news, regime shifts), so real ruin odds are slightly worse than simulated.