Do prop firms have positive expected value? What the SSRN fixed-size study found
A 2026 SSRN working paper, The Inherent Value of Retail Prop Firms for Fixed-Size Trading Strategies (Zach Youngblood), asks a question most prop firm content avoids: can the account structure itself create economic value for a strategy with no directional edge? The answer in the paper is a qualified yes: a zero-edge, fixed-size MNQ strategy run through a modeled Topstep $50,000 framework produced a mean net gain of about $1,490 per account, while 39.7% of simulated accounts still lost money.
What the study did
The setup is deliberately dumb. One entry a day at 10:00 a.m. ET, direction chosen at random, eight MNQ contracts, a 100-tick take-profit and a 100-tick stop-loss. Over roughly ten years of 1-minute Nasdaq futures data that produces a 49.98% win rate and a gross result close to zero before transaction costs, which is the point: there is no edge in the signal. The paper then runs 10,000 of these randomized paths through the rules and costs of a modeled Topstep 50K account and adds up what a trader would have paid in fees and received in payouts.
| Element | What the study used or found |
|---|---|
| Data | About 10 years of 1-minute Nasdaq futures |
| Paths | 10,000 randomized long/short paths |
| Entry | Once a day at 10:00 a.m. ET |
| Size | 8 Micro E-mini Nasdaq-100 (MNQ) contracts, fixed |
| Exits | Symmetric 100-tick take-profit and stop-loss |
| Gross result | 49.98% win rate, about break-even before costs |
| Daily cap from size | About $400 profit or loss per day |
| Account model | Topstep $50,000 framework |
| Mean payouts per account | $9,368.50 |
| Mean account costs per account | $7,878.30 |
| Mean net economic P&L | +$1,490.19 per account |
| Share of losing simulations | 39.70% |
| Stability | Results differed materially between the two five-year subperiods |
Why fixed size is the mechanism
Eight MNQ with symmetric 100-tick barriers caps every day at roughly $400 either way. That single property does most of the work. A $400 day cannot breach a daily loss limit, cannot push the best-day share over a consistency threshold, and cannot drag the account through a trailing floor in one session. The rules that end most funded accounts are, in the paper’s words, rendered inconsequential; what remains is a race between evaluation and reset fees on one side and payouts on the other. Under the modeled Topstep framework the payouts won on average.
This is the same reason our own strategies size by drawdown floor rather than by target: the floor and the consistency threshold are the constraints that decide whether an account survives, and a bounded daily result keeps both out of play.
What the mean hides
A positive mean with 39.7% losing simulations is a wide distribution, and the paper reports that the two five-year subperiods differed materially. In practice that means the structure can be worth paying for and still lose money for four accounts in ten; whether the payouts arrive depends on which decade, which firm and which fee schedule you land in. It is the same lesson the Monte Carlo percentiles teach about any strategy: the planning number is P10, not the mean.
What it means for a strategy with an edge
The study isolates the account structure by removing the signal. A strategy with positive expectancy inherits the same structural benefit on top of its edge, provided it keeps the property that made the zero-edge version work: a bounded daily result. The practical test is on each rules card: a day cannot be larger than the daily loss limit, the best day cannot exceed the consistency share of the target, and the stop distance times size cannot reach the trailing floor. The pass-rate data shows what happens to traders who do not size that way.
Limits of the study
One firm framework (Topstep 50K), one instrument, one entry time, symmetric barriers, and fee and rule parameters as modeled in 2026. The paper does not test intraday trailing drawdowns, consistency checks at payout, or firms with different reset and activation pricing, and a change in fee structure moves the result directly. Treat it as a proof that the structure can carry value, not as a forecast for any account.
The method, applied to the whole catalogue.
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Related
- What percent of traders pass prop firm challenges
- Eval reset vs new account: which is cheaper
- Contract limits at each futures prop firm
- Topstep rules card
FAQ
Does the study show prop firms are profitable for zero-edge traders?
In the mean, yes: $9,368.50 of payouts against $7,878.30 of account costs, about +$1,490 per account, with no directional edge. In the distribution, no: 39.7% of full-sample simulations lost money and the two five-year halves differed materially, so the mean hides a wide spread.
Why does fixed position size matter in the study?
Eight MNQ with symmetric 100-tick barriers caps the daily result at about $400 either way. That cap makes several prop firm rules irrelevant in practice: a day cannot breach the daily loss limit, cannot dominate the profit total for a consistency check, and cannot blow through the trailing floor in one session.
What does the study not test?
Strategies with an edge, firms other than the modeled Topstep 50K framework, intraday trailing drawdowns, consistency rules at payout and fee changes over time. It isolates the account structure, not any particular strategy.
Where is the paper?
SSRN, abstract 7514219: “The Inherent Value of Retail Prop Firms for Fixed-Size Trading Strategies”, Zach Youngblood, 2026.
Figures are taken from the paper’s abstract as published on SSRN (abstract 7514219, 2026); they are the study’s modeled, hypothetical results, not live trading results, and not a forecast for any account. Past performance does not guarantee future results.