Product / Free tools / GBM simulator
Median terminal
$194.8K
Loss probability
12.0%
Median max drawdown
38.0%
Assumed Sharpe
0.55
Simulated path sample
Showing 9 sampled paths from 250 simulated runs. The bold line is the median path across the full Monte Carlo set. Switch between dollars, multiples, and underwater drawdown depending on what you want to inspect.
The chart only draws a sampled subset so it stays readable. The summary cards and hover values still use the full Monte Carlo run, and the dashed baseline marks the exact starting line for the active mode.
Return / volatility interaction
Assumed Sharpe
0.55
Using return / volatility with zero risk-free rate.
Volatility drag
2.4%
Higher vol widens dispersion and reduces median compounding through 0.5σ².
Net log drift
9.6%
Approximate centerline growth after volatility drag.
What to look at
- How quickly the paths fan out as volatility and time horizon rise.
- Whether the loss probability still feels acceptable at your assumed drift.
- How volatility both increases drawdowns and drags on median compounding through μ - 0.5σ².
Model limits
- GBM does not capture jumps, regime shifts, autocorrelation, or structural breaks.
- This is for intuition-building, not for underwriting a live strategy.
- If your real strategy has path-dependent exits or leverage, the true distribution can be much worse.
Quick readout
10th terminal
$92.6K
90th terminal
$418.1K
Best terminal
$1.1M
90th max drawdown
53.1%