reference · Performance & testing
Arithmetic and Geometric Returns: Two Different Averages
Compare arithmetic mean returns with compounded geometric returns using transparent examples, consistent periods and cash-flow limitations.
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Understand the trade before you copy it.
Explore forex and futures, understand order execution, and work through risk and performance calculations with practical examples.
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23 resources · Page 1 of 1
Clear filtersreference · Performance & testing
Backtest Overfitting: Track the Search behind the Winning Result
Understand how repeated strategy searches select noise, with a transparent multiple-testing example and a practical experiment ledger for honest evaluation.
Read resourceguide · Performance & testing
Backtesting Trading Strategies: A Reproducible Test Plan
Build a reproducible trading backtest with explicit data, timing, fills and costs. Use a worked example to spot look-ahead bias and unrealistic order assumptions.
Read resourcetool · Performance & testing
Breakeven Win Rate Calculator with Trading Costs
Find the two-outcome win rate needed for zero modeled expectancy using average gross win, average gross loss and per-trade cost, including impossible cases.
Open calculatorreference · Performance & testing
CAGR: Calculate Annualized Growth without Hiding the Path
Calculate compound annual growth from beginning value, ending value and elapsed years. Check cash flows, short samples and path information CAGR omits.
Read resourcereference · Performance & testing
Correlation and Covariance: Compare Aligned Return Series
Calculate covariance and correlation from paired returns, understand units, missing-data choices and nonlinear relationships, and avoid false hedge conclusions.
Read resourcereference · Performance & testing
Downside Deviation: Measure Returns Below a Stated Target
Calculate downside deviation with a transparent target and full-series denominator. Compare subset conventions, annualization and zero-result limitations.
Read resourcetool · Performance & testing
Drawdown Recovery Calculator: Loss and Required Gain
Compare an equity peak with current equity to calculate drawdown and the gain needed to recover. Handles zero equity and explains cash-flow limitations.
Open calculatorreference · Performance & testing
Look-Ahead Bias: Check When Information Became Available
Audit decision timestamps, data availability, revised values and same-bar execution with original examples that expose future-information leakage.
Read resourcereference · Performance & testing
MAE and MFE: Measure a Trade’s Intratrade Price Path
Calculate maximum adverse and favorable excursion with a defined trade window, price basis, quantity and costs. Includes long and short examples.
Read resourceguide · Performance & testing
Monte Carlo Trading Simulation: Build and Read a Scenario Study
Learn how trading Monte Carlo simulations resample outcomes, model drawdowns and test assumptions. Compare shuffling, bootstrapping and stress scenarios.
Read resourcereference · Performance & testing
Out-of-Sample Testing: Freeze Rules before Evaluating Them
Design a chronological evaluation with frozen rules, data boundaries and cost assumptions. Understand walk-forward reuse, overlapping labels and failure cases.
Read resourcetool · Performance & testing
Profit Factor Calculator with Zero-Loss Handling
Calculate profit factor from realized winning and losing amounts, with transparent cost conventions, original ledger examples and zero-loss handling.
Open calculatorreference · Performance & testing
R-Multiples: Normalize Outcomes by Initial Risk
Calculate realized R-multiples using a documented initial risk denominator, including costs, partial exits and examples where money and R averages differ.
Read resourcereference · Performance & testing
Serial Correlation: When Return Observations Depend on Time
Understand lagged return correlation with worked lag-one examples, consistent sampling and limitations for confidence intervals and annualized risk.
Read resourceguide · Performance & testing
Sharpe vs Sortino Ratio: Calculate and Compare Them
Compare Sharpe and Sortino ratios with a worked return series. Check benchmarks, downside targets, annualization and what each statistic leaves out.
Read resourcereference · Performance & testing
Skewness and Kurtosis: Inspect Return Shape and Extreme Values
Understand return asymmetry and fourth-moment tail sensitivity, with an explicit population-moment example and ordinary-versus-excess kurtosis conventions.
Read resourcereference · Performance & testing
Standard Deviation of Returns: Calculate and Interpret Volatility
Work through sample standard deviation of returns, distinguish percent units from decimal units, and understand annualization and tail-risk limitations.
Read resourcereference · Performance & testing
Survivorship Bias: Audit the Accounts and Instruments Missing from a Sample
Understand survivorship bias through an original account-cohort example and an auditable inclusion ledger, with limits on missing-history conclusions.
Read resourcetool · Performance & testing
Trade Expectancy Calculator: Probability, Payoff and Cost
Calculate arithmetic expectancy from assumed win rate, average gross win, average gross loss and cost. Understand sample definitions and model limitations.
Open calculatorguide · Performance & testing
Trading Expectancy vs Win Rate: What the Numbers Mean
Calculate trading expectancy from average wins, losses and costs. See why a high win rate can lose money and how to review a sample without overclaiming.
Read resourceguide · Performance & testing
Walk-Forward Analysis: Design Chronological Trading Tests
Design a walk-forward trading test with fixed training and evaluation windows. Learn how to combine results, avoid leakage and document parameter changes.
Read resourcereference · Performance & testing
Win Rate and Sample Uncertainty: More than a Percentage
Compare identical observed win rates with different sample sizes, interpret Wilson intervals and understand dependence, selection and payoff limitations.
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