σ
SABIO / Position Sizing Performance Visualization
forward-tested edge · trailing-DD challenge model
Win Rate
94.34%
Profit Factor
2.73
Sample
159
Edge / Trade
+0.4674%
built by
Dima Levshukov
MODEL LIVE
// Strategy Inputs
EDIT
Win Rate
94.34%
Forward-tested: 150 wins / 159 trades
Win % per Position
+1.00%
Loss % per Position
-8.00%
Account Size (USD)
$50,000
25K
50K
100K
150K
Avg Trade Duration
1.5 days
Used to estimate calendar time to 10% target
// SabioTrades Rules
Profit Target
Trailing DD
Max Daily Loss
Correlation ρ
ρ = 0 treats positions as independent. ρ = 1 means they all win or all lose together. Real markets sit somewhere between — 0.2–0.4 is a reasonable default for swing-traded equities/futures.
Optimal N
—
best risk-adjusted split
P(Pass)
—
reach +10% before −6% trail
Expected $ on Pass
—
at target hit
Est. Calendar Time
—
to reach +10%
Worst-Day Risk
—
vs −5% daily cap
// Position Split Comparison
N = 1 … 12
N
Capital / Pos
Acct Win
Acct Loss
EV / Trade
Trades to +10%
P(Pass)
P(Daily Bust)
E[$ Profit]
Score
// Pass Probability × Profit Curve
P(pass) vs N
// Daily-Bust Risk
corr-aware
// Monte Carlo Equity Paths · Optimal N
500 sims · 200 trades
Monte Carlo Results
Sims passing target
—
Sims hitting trailing DD
—
Sims hitting daily loss cap
—
Median trades to pass
—
Expected-Value Decomposition
Per-trade EV (account %)
—
Per-trade EV ($)
—
Implied profit factor
—
Risk-of-ruin (Kelly check)
—