Model, not market data
With no edge at all, a larger fraction risked per trade makes ruin more likely
The Sharpe ratio is the average return above a risk free rate, divided by the standard deviation of returns. It rewards returns that are smooth relative to their swings and says nothing about one bad month. Two strategies with the same Sharpe can have very different worst falls, so a Sharpe figure alone is not enough.
Max drawdown is the largest fall from a previous peak to a later low in the equity curve. It is the number a trader lives through. A fall of half the account needs the remaining half to double to recover, so deep falls cost more than their size on paper.
Kelly sizing gives the fraction of capital to risk on a bet with win probability p and payoff ratio b: p minus (1 minus p) divided by b. It maximises long run growth on the assumed inputs. The inputs are estimates from a past sample, and full Kelly accepts large swings, so many users take a smaller fraction.
Risk of ruin is the chance that the account falls to a set floor before the strategy has got through its run. The chart is a model, not market data. It runs a fair coin with an even payoff, so there is no edge at all, and the chance of ruin comes from the size alone. The capital question shows how a single lot changes the size that a given account can carry.
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study