Prop-firm evaluation maths (generic rules). 20000 simulated evaluations per cell. 2026-10-08T20:43:36.358Z
Base rules: account $50000, target $3000 (6%), max drawdown $2000 (4%), 4 trades/day, min 5 days, no time limit.
Cost levels as a share of risk per trade: commission only 2.9%, commission + 1 tick slippage per fill 15.4%.

[1] Check against theory: zero-edge walk, no costs, $20 steps, static drawdown. Pass probability should equal D / (T + D)
  target $3000, drawdown $2000: simulated 39.6% vs formula 40.0% (still open 0.0%)
  target $3000, drawdown $3000: simulated 49.0% vs formula 50.0% (still open 0.0%)
  target $4000, drawdown $2500: simulated 38.2% vs formula 38.5% (still open 0.0%)
  target $6000, drawdown $3000: simulated 33.1% vs formula 33.3% (still open 0.0%)
  target $3000, drawdown $1500: simulated 31.1% vs formula 33.3% (still open 0.0%)

[2] Coin-flip trader (1:1, 50% wins, commission-only costs = 2.9% of risk): pass probability
risk/trade   static     trailing-EOD   trailing-intraday
$100        12.0%      8.8%           8.5%   (median days to pass 126/99/100; still open 1.3%/0.0%/0.0%)
$200        22.9%      15.9%          14.9%   (median days to pass 39/29/28; still open 0.0%/0.0%/0.0%)
$400        28.2%      19.7%          17.6%   (median days to pass 13/10/10; still open 0.0%/0.0%/0.0%)
$800        28.6%      21.6%          17.8%   (median days to pass 6/5/5; still open 0.0%/0.0%/0.0%)

[3] Effect of costs on pass probability (trailing end-of-day drawdown)
  risk $200, no costs                                 pass 25.1% breach 74.9%
  risk $200, commission only                          pass 15.6% breach 84.4%
  risk $200, commission + half a tick slip each side  pass 3.6% breach 96.4%
  risk $200, commission + 1 tick slip each side       pass 0.5% breach 99.5%
  risk $400, no costs                                 pass 26.8% breach 73.3%
  risk $400, commission only                          pass 19.9% breach 80.1%
  risk $400, commission + half a tick slip each side  pass 10.5% breach 89.5%
  risk $400, commission + 1 tick slip each side       pass 4.5% breach 95.5%

[4] Adding a daily loss limit ($400 risk, trailing EOD, commission-only costs)
  daily limit none: pass 20.8% breach 79.2% (of which daily-limit breaches 0.0%)
  daily limit $1500: pass 18.1% breach 81.9% (of which daily-limit breaches 30.4%)
  daily limit $1000: pass 13.1% breach 86.9% (of which daily-limit breaches 54.5%)
  daily limit $800: pass 3.7% breach 96.3% (of which daily-limit breaches 96.3%)

[5] Fee economics, illustrative. Pass probability used: 19.7% (coin-flip, $400 risk, trailing EOD, commission-only)
  fee $100 per attempt -> 5.1 attempts per pass on average -> about $508 in fees per pass (before any funded-stage losses)
  fee $150 per attempt -> 5.1 attempts per pass on average -> about $762 in fees per pass (before any funded-stage losses)
  fee $250 per attempt -> 5.1 attempts per pass on average -> about $1270 in fees per pass (before any funded-stage losses)

[6] Historical replay: start a fresh evaluation at every trade, 365-day window, MES-sized (ES pnl / 10), generic rules (static / trailing EOD).
    Minimum 5 trading days = 5 days with a closed trade. Only starts with a full 365-day window before the data end (2026-09-25); the rest are left out.
  The RSI(2) Dip Buyer, variant B (long only) (412 trades, 359 starts with a full window, 53 left out; results identical without the 5-day minimum):
     static        pass 0.0% (0) / breach 0.0% / expired after 12 months 100.0%; median to pass null calendar days, null trading days
     trailing EOD  pass 0.0% (0) / breach 0.0% / expired after 12 months 100.0%; median to pass null calendar days, null trading days
     avg trade 6.3 $, worst -398 $, best 378 $ (MES-sized)
  Supertrend, ST60-L (long only) (672 trades, 574 starts with a full window, 98 left out; results identical without the 5-day minimum):
     static        pass 31.5% (181) / breach 18.8% / expired after 12 months 49.7%; median to pass 261 calendar days, 68 trading days
     trailing EOD  pass 31.5% (181) / breach 50.9% / expired after 12 months 17.6%; median to pass 261 calendar days, 68 trading days
     avg trade 14.8 $, worst -833 $, best 1514 $ (MES-sized)
  Supertrend, ST60-LS (classic) (1339 trades, 1146 starts with a full window, 193 left out; results identical without the 5-day minimum):
     static        pass 30.0% (344) / breach 52.4% / expired after 12 months 17.6%; median to pass 184 calendar days, 75 trading days
     trailing EOD  pass 22.4% (257) / breach 74.7% / expired after 12 months 2.9%; median to pass 183 calendar days, 72 trading days
     avg trade -2.1 $, worst -1687 $, best 2207 $ (MES-sized)