Backtesting tools

Work out how many lots or units to trade so a stop-loss loses only a fixed percentage of your capital.

Check the exact rupee and percentage of capital a planned trade puts at risk if the stop-loss is hit.

Estimate the average rupee and R outcome per trade from your win rate, average win and average loss.

Annualise a strategy's risk-adjusted return from its periodic mean return, volatility and the risk-free rate.

Measure risk-adjusted return using only downside deviation, so upside volatility is not penalised.

Compute the compound annual growth rate that turns a starting capital into an ending capital over a period.

Paste an equity series to find the largest peak-to-trough fall and the recovery factor of the run.

Find the Kelly and half-Kelly fraction of capital to stake from a win probability and payoff ratio.

Estimate the probability of a fatal drawdown by simulating many sequences of trades at a fixed risk level.

Simulate many random trade sequences to see the range of terminal returns and worst drawdowns a system can produce.

Divide a strategy's annualised return (CAGR) by its maximum drawdown to get a return-per-unit-of-pain figure.

Divide gross profit by gross loss to see how many rupees a strategy won for every rupee it lost.

Paste a backtest equity series to compute return, CAGR, drawdown, volatility, Sharpe and recovery factor at once.

Compare two strategies on CAGR, drawdown, Sharpe and Calmar side by side and see which wins on risk-adjusted terms.

Tick off the ten disciplines of an honest backtest to get a validation score and a copy-paste checklist.