Paste your raw trade outcomes to instantly compute Max Drawdown, Sharpe Ratio, Profit Factor, and Expectancy without exposing your alpha to third-party servers.
Ending Equity
$100,000.00
Evaluating an algorithmic trading system requires looking past absolute net profit. A strategy that generates 100% returns but endures an 80% drawdown is mathematically identical to gambling. Institutional quantitative analysis relies on risk-adjusted metrics to determine if an alpha model is deployable in live markets.
Maximum Drawdown measures the largest peak-to-trough drop in portfolio equity before a new peak is achieved. It is the most critical metric for assessing the psychological toll and ruin-risk of a strategy.
(Trough Value - Peak Value) / Peak ValueDeveloped by Nobel laureate William F. Sharpe, this ratio helps investors understand the return of an investment compared to its risk. Our terminal estimates a per-trade Sharpe by calculating the standard deviation of your trade returns against a baseline risk-free rate, then annualizing it (assuming 252 periods).
(Mean Return - Risk Free Rate) / Standard Deviation of ReturnsExpectancy calculates the average monetary value you can expect to gain or lose per trade, mathematically blending your Win Rate and Average Payoff Ratio.
Proprietary trade logs are sensitive. Our application processes your pasted array using client-side JavaScript. No server databases are involved.
When pasting your raw P&L data into the platform, ensure that your backtest engine has already accounted for round-turn commissions and estimated slippage. A strategy with a Profit Factor of 1.2 may turn unprofitable once live-market transaction costs are fully realized.