Risk-Adjusted Strategy Analysis
Evaluate the true profitability of a trading strategy after accounting for risk. Pure returns are only half the story — risk-adjusted metrics reveal whether performance is driven by edge or by excessive exposure. This engine calculates Sharpe, Sortino, Calmar, Omega, Ulcer Index, VaR, CVaR, and a full distribution profile to give a complete picture of strategy quality.
Sharpe & Sortino
Calmar & Omega
VaR & CVaR
Ulcer Index
Return Distribution
Strategy to analyse. Data uses only closed simulator trades linked to the selected strategy.
Rate Parameters
Annual risk-free rate used to calculate excess return in Sharpe & Sortino ratios. Use the current T-bill or cash rate (e.g. 5% in 2024).
Minimum Acceptable Return used as the hurdle in the Omega ratio. 0% means any gain counts as a win; raise it to set a higher performance bar.
Annual return of your reference benchmark (e.g. S&P 500 ≈8%). Used in comparative metrics shown in the full metrics table.
Analysis Settings
Confidence level for Value at Risk. 95% means the worst 5% of trades define the VaR loss. 99% is more conservative.
Trades per year, used to annualise Sharpe & Sortino ratios. Use 252 for daily frequency, 52 for weekly, 12 for monthly strategies.
Window size for the rolling Sharpe/Sortino chart. Smaller = more responsive but noisier. 15–30 is typical.
Number of bars in the return distribution chart. 20–40 works for most trade sets; use fewer bins for small sample sizes.
Cost Model
Starting balance for the simulated equity curve. Use your actual account size for realistic drawdown figures.
Flat commission deducted from each trade's P&L. Enter zero if no flat fee applies.
Execution slippage per trade. 1 basis point = 0.01% of trade value. 2–5 bps is typical for liquid instruments.
Waiting for input.
Equity Curve
Simulated portfolio growth over the full trade history, applying the configured fee and slippage. A healthy equity curve rises steadily with shallow drawdowns. Steep drops followed by slow recovery indicate poor risk-adjusted performance.
Equity
Drawdown Series
Percentage decline from peak equity at each trade. Persistent deep drawdowns indicate structural weakness; brief small drawdowns are consistent with edge. The Ulcer Index and Pain Index quantify the area under this curve.
Return Distribution
Histogram of per-trade net returns. A right-skewed distribution (long positive tail) is desirable. Compare the shape against a normal distribution — excess kurtosis (“fat tails”) indicates tail risk underestimated by the Sharpe ratio.
Rolling Risk-Adjusted Metrics
Sharpe and Sortino ratios calculated over a rolling trade window. Stable, elevated lines indicate consistent edge. Declining or highly volatile rolling ratios suggest regime dependence or strategy decay — even if the full-history average looks acceptable.
Rolling Sharpe
Rolling Sortino
Zero line
Full Risk Metrics Breakdown
Comprehensive table of all calculated risk-adjusted and distributional metrics. Values are colour-coded: green indicates favourable readings, red unfavourable. Use this to identify specific weaknesses in the strategy's risk profile.
| Metric | Value | Category | Description |
|---|---|---|---|
| Run the analysis engine to see results. | |||
Sharpe & Sortino
The Sharpe ratio measures excess return per unit of total volatility. The Sortino variant only penalises downside volatility, making it more appropriate for strategies with positive skew. Both are annualised using the configured trades-per-year factor. A ratio above 1.0 is considered good; above 2.0 is exceptional.
Calmar & Omega
The Calmar ratio divides annualised CAGR by the maximum drawdown — rewarding strategies that recover quickly. The Omega ratio measures the probability-weighted ratio of gains above a threshold to losses below it; an Omega above 1.0 means more probability mass above the threshold than below.
VaR & CVaR
Value at Risk (historical) estimates the worst expected per-trade loss at the chosen confidence level. CVaR (Conditional VaR / Expected Shortfall) is the average loss in the tail beyond the VaR threshold. CVaR is considered superior to VaR because it quantifies the magnitude of tail losses, not just their frequency.
Ulcer Index & Pain Index
Both measure drawdown duration and depth. The Ulcer Index is the RMS of all percentage drawdowns — giving extra weight to deep, prolonged drawdowns. The Pain Index is the simple mean. The Pain Ratio (CAGR / Pain Index) is analogous to the Sharpe ratio but based on drawdown rather than volatility, rewarding smooth equity curves.