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I’ve been looking at the Prop Firm model through a quantitative lens lately and wanted to get your take on a specific theory.

The idea is to view the entire process as a Double Barrier Option. You're essentially paying a premium via the entry fee for a convex payoff, with a Max Drawdown acting as the lower barrier and the Profit Target as the upper barrier.

I keep hearing this claim that because the risk-reward profile is so highly convex, you can actually "get away" with using retail strategies that would be EV negative in a normal live environment. The logic is that if you treat each challenge as a separate bet in an options portfolio, you just need to manage your bankroll to fund enough attempts until one hits.

I have a few questions for the quants in here:

First, how would you even begin to mathematically calculate the Pass Rate for a strategy that is fundamentally EV negative? Are we just talking about a Gambler’s Ruin or Monte Carlo simulation here?

Second, is there a way to actually identify a strategy that "fails slowly" enough to exploit this leverage among the usual retail noise, or is that a mathematical dead end?

Finally, does this strike you as a legitimate way to approach variance, or is it just more "Guru" marketing designed to hand-wave away the reality of ruin probability?

Looking forward to some technical insights.
May 08, 2026 · 10:27 AM · 71 views · Commons
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Dog FOUNDER
@dog Solaris Traders · May 08, 2026 · 03:37 PM
FOUNDER
I ran some Monte Carlo simulations (using the rules of LucidFutures Flex 50k) with a coin‑flip strategy that has 0 EV. The simulation suggests that it could be profitable in the very long run, but only if you buy a lot of accounts, it’s basically hoping for one very lucky account to make a lot of profit. In my simulations, around 25% of accounts passed the evaluation phase, and of those, only about 35% actually received a payout. The overall expected value across all accounts is still positive, but the problem is that you’d need to buy hundreds of accounts to catch that one lucky path (The lucky path could also never show up). So my opinion is that not really a good strategy unless you have an actually positive EV. This is based on a 0‑EV strategy and the risk parameters (also when to withdraw, etc) I chose, so if you have any suggestions or see any flaws, or is should use a different prop firm, I’m happy to hear them so I could improve it. Also if you have any more questions about the data dont hesitate to ask.
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@niclab · May 11, 2026 · 05:09 AM
Hey, I looked into this as well and ran some ideas through Claude. What I discovered is applying a quantitative approach is the correct way to model the risk and reward metrics needed to feed the Monte Carlo to ensure a pass. However, you need to start with a strategy that has some edge and you optimize the strategy to the specific prop firm.

If starting in the other way around, by building a strategy based on a prop firm, you leave the highly optimized strategy to break on a market regime shift that wasnt accounted for in the backtest.

Find a simple strategy that has some positive EV, and you right it might not even be feasible outside a prop environment and then optimize for the specific prop firm.

An example is the opening range breakout or one of those youtube guru strategies. You can also experiment with something as simple as a VWAP momentum type of play, just to gather a baseline edge and then go down the prop firm specific optimization.
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@sylphoros · May 09, 2026 · 08:52 AM
I've heard this notion before too. And I've also ran some monte carlo simulations, and based on what I've noticed, you cant actually just get away with a 0 EV, or -EV strategy. The reason is because of all the small rules that they add. For example the EOD MLL, will force you down a lucky path if you strategy is 0EV or -EV, or force you to have +EV to be able to pass with lower risk. Even after getting passed that, you also face the problems with consistency %, and even the requirement for certain number of profitable days or even the minimum payout you need. all of these force out most retail strategies.
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@quantguild
Roman Paolucci Mod Trader FOUNDER
@quantguild · May 08, 2026 · 11:47 AM
Trader FOUNDER
I can expand later on but this feels like martingaling roulette to me, the sample path of the few is not the sample path of many and gaming negative EV in a non-ergodic system isn’t something that has a black or white answer, my thoughts for now thanks for sharing!
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Dog FOUNDER
@dog Solaris Traders · May 08, 2026 · 11:40 AM
FOUNDER
I personally think it could possible to make it profitable, but you’d need to buy a lot of accounts to get one "hit". Using Monte Carlo simulation and a coin‑flip strategy (50% win rate and 1:1 risk/reward), it has about a 25% chance of passing the evaluation phase, which is pretty decent, while the EV is still 0. But passing the evaluation doesn’t necessarily mean you’ll get a payout. So my final tought is that it could be possible but you would need a lot of accounts that keep blowing up and you still have a lot of risk if the one good moment isn't happening for a long time.
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some guy made a video about it his name is delta something im sury if you search on youtube quant propfirms you will find it.
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@tom007 · May 13, 2026 · 07:17 PM
Guys, what is in your opinion the best model to approach an prop firm with?
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