Calculators
Quant & Algorithmic Trading

🤖 Quant & Algorithmic Trading calculators

Monte Carlo, deflated Sharpe, overfitting, walk-forward, capacity and execution costs.

10 calculatorsFree · no sign-upFormulas explained

Omega Ratio & Gain-to-Pain Ratio CalculatorWeigh gains above a threshold against losses below it, with the gain-to-pain ratio and an Omega curve.
Ulcer Index & Ulcer Performance Index CalculatorMeasure the depth and duration of drawdowns, with the Martin ratio and an underwater chart.
Monte Carlo Trading SimulatorSimulate equity curves from trade stats or reshuffle your own trades to see the real range of drawdowns.
Monte Carlo Portfolio SimulatorSimulate portfolio growth with contributions, the odds of reaching a target and the drawdowns along the way.
Walk-Forward Efficiency CalculatorCompare out-of-sample strategy returns with in-sample results, window by window.
Probability of Backtest Overfitting (PBO) CalculatorEstimate how often the best backtest disappoints out of sample, from the returns of every variant tested.
Deflated & Probabilistic Sharpe Ratio CalculatorTest a Sharpe ratio for skill after non-normal returns, short records and multiple testing.
Strategy Capacity CalculatorEstimate a strategy's capacity from liquidity, participation limits and square-root market impact.
Market Impact & Expected Slippage CalculatorEstimate expected slippage from order size, volume, volatility and spread with the square-root impact law.
VWAP & TWAP Execution CalculatorVWAP, slippage against VWAP, TWAP order schedules and implementation shortfall in one place.

About these calculators

These are the tools quantitative traders use to decide whether a backtest is real. Simulate equity curves with Monte Carlo and trade reshuffling, adjust Sharpe ratios for multiple testing, estimate the probability of backtest overfitting, measure walk-forward efficiency, and model market impact, capacity and execution against VWAP and TWAP.

They are built by people who run live systematic strategies, and each page explains where the method itself can fail.

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