📊 Distance to Ruin (DR)
Measures how many standard deviations separate you from ruin
Formula Used:
Where:
• B = Current Bankroll
• L = Loss Threshold
• μ = Expected Return
• σ = Volatility
• T = Time Horizon
🌊 Trading Reynolds Number
Determines if your strategy is laminar (smooth) or turbulent (chaotic)
Formula Used:
Interpretation:
• Re < 1: Laminar (smooth, sustainable)
• 1 ≤ Re ≤ 10: Transitional (monitor closely)
• Re > 10: Turbulent (high risk, psychological stress)
🎯 Kelly Criterion
Optimal position sizing for maximum long-term growth
Formula Used:
Fractional Kelly = L* × fraction
Where:
• μ = Expected return
• c = Transaction cost
• fraction = Risk reduction multiplier
⚙️ LPE: Required Bots Calculator
How many independent strategies do you need?
LPE Approach:
2. Solve quadratic for leverage L
3. Check DR and Reynolds constraints
4. Calculate minimum X bots needed
5. Portfolio drift = X × μ × L
6. Portfolio volatility = √X × σ × L
📈 Multi-Bot Portfolio Aggregator
Combine multiple strategies and see aggregate risk metrics
📚 Quick Reference: Interpretation Guidelines
Distance to Ruin (DR)
DR < 2: High ruin risk - reduce leverage or improve strategy
2 ≤ DR < 4: Moderate risk - acceptable but monitor closely
DR ≥ 4: Low ruin risk - comfortable trading zone
DR ≥ 6: Very safe - excellent risk buffer
Reynolds Number (Re)
Re < 1: Laminar flow - smooth equity curve, sustainable
1 ≤ Re ≤ 10: Transitional - choppy but manageable
Re > 10: Turbulent - high stress, prone to failure
Target: Keep Re below 1 for comfort
Adjusted SQN (aSQN)
< 0.5: Weak - likely noise
0.5-0.9: Marginal - needs improvement
1.0-1.4: Good - deployable with caution
1.5-1.9: Very good - scalable
≥ 2.0: Excellent - flagship quality
🔓 Open Source Philosophy
All formulas are displayed transparently. You can inspect the JavaScript source code to verify every calculation. We encourage independent verification and welcome feedback. This tool is designed to demonstrate that our framework is mathematically sound and replicable, not a black box. If you find errors or have suggestions, please let us know.
Disclaimer: This paper is for educational purposes only and does not constitute financial advice. Trading involves significant risk of loss. Past performance is not indicative of future results. Always conduct your own due diligence and consult a licensed financial advisor before making investment decisions.