If you play roulette and always bet on red and your strategy is to always bet $1 unless you lose in which case you double your previous bet.

roulette_sim.py

import random

NUMBER_OF_SIMULATIONS = 1000
STARTING_BANK_BALANCE = 1000
ODDS_OF_LOSS = 20.0/38.0
NUMBER_OF_PLAYS = 180

bankrupt_results = dict()
successful_results = []

for simulation in range(NUMBER_OF_SIMULATIONS): 
    balance = STARTING_BANK_BALANCE
    wager = 1
    for play in range(NUMBER_OF_PLAYS):
        #print(str.format("Wagering {}", wager))
        won = random.random() < ODDS_OF_LOSS
        #print("Won." if won else "Lost.")
        balance = balance + wager if won else balance - wager
        #print(str.format("New balance: {}", balance))
        wager = 1 if won else min(2 * wager, balance)
        if (balance <= 0):
            #print(str.format("Ran out of money after {} plays!", play))
            bankrupt_results[play] = bankrupt_results[play] + 1 if play in bankrupt_results else 1
            break;
    if balance > 0:
    	#print(str.format("Ended with {} after {} plays", balance, NUMBER_OF_PLAYS))
        successful_results.append(balance)
    if (simulation + 1) % 50 == 0:
        print(str.format("Finished {} simulations.", simulation + 1))

print("Results:")
print(str.format("{} successful results out of {}.", len(successful_results), NUMBER_OF_SIMULATIONS))
print(str.format("With an average successful final balance of {}.", float(sum(successful_results)/len(successful_results))))
print(str.format("Average final balance (expected return) on this strategy: {}", float(sum(successful_results)/NUMBER_OF_SIMULATIONS)))
if len(bankrupt_results.values()) > 0:
    print("Bankrupcy results. Bankrupt after: ")
    print('Plays \t occurances')
    for p, o in bankrupt_results.iteritems():
        print(str.format('{} \t {}', p, o))