Does anyone know of a tool, website, or spreadsheet that will calculate trading stats based on a list of historic trades? I have a spreadsheet that includes several hundred trades, including the buy/sell prices and dates. Is there a tool that will calculate things like sharpe ratio, profit factor, max draw down, etc. And would also be nice if there were some sort of monte carlo sorting of the trades to find worst-case draw downs, max number of consecutive losses, that kind of thing. I swear I've seen a website that will do that, can't remember where. Thanks, Mike
this is a website that will import your trades and show you basic summaries... don't believe it will show you everything you want though : http://stocktickr.com/ in tradelink you can generate those stats from a trades file. this is no longer a stand-alone tool but embedded in kadina and gaultnet, although it's a component so you could make it standalone again in about 5 lines of code. see screenshot for the stats included. it's easy to add new stats, a statistician with little coding experience added a couple for us. http://tradelink.googlecode.com
Tradelink: can your app calculate correct PnL for a strategy that uses multiple instruments that are denominated in different currencies? Or calculate correct PnL for instruments that don't have a fixed point-value (for example fx) ?