[BlowFish]

Risk of Ruin or Gamblers Ruin as you describe it is the most important statistic you can be aware of. Even discretionary traders with long enough statistics can work it out. Of course the art is to stop long before you are close to ruin and re-evaluate whether your method and/or models are still working. Recognising you (discretionary) or your system (quant) is operating outside 'normal' parameters is time for serious action

Recalculating RoR based on current performance may be shocking enough to pull he plug immediately.

Cheers.