Tradingview Quantitative Analyzer-Advanced Trading Analysis

Example

Cumulative Return, Sharpe Ratio, Maximum Drawdown

Scenario

A user uploads a CSV file containing their trading strategy's historical trade data. The tool processes this data to calculate various performance metrics, such as the Cumulative Return, which shows the total return of the strategy over its backtest period. The Sharpe Ratio is calculated to measure the strategy's risk-adjusted return, and the Maximum Drawdown is determined to assess the strategy's historical risk.

Example

Value at Risk (VAR), Expected Shortfall, Downside Risk

Scenario

Through analyzing a strategy's trade data, the tool estimates the Value at Risk (VAR), providing a statistical measure of the maximum potential loss over a specified time frame. The Expected Shortfall metric is calculated to estimate the expected loss in worst-case scenarios, and Downside Risk assesses the volatility of negative returns, offering insights into the strategy's risk under adverse conditions.

Example

Skewness, Kurtosis, Stability of Timeseries

Scenario

The tool performs statistical tests to analyze the distribution characteristics of a strategy's returns, calculating metrics like Skewness and Kurtosis to understand the return distribution's asymmetry and tail risk. The Stability of Timeseries metric is evaluated to assess the consistency of the strategy's performance over time, identifying potential vulnerabilities.

Example

Equity Curve Simulation

Scenario

A Monte Carlo simulation feature allows users to simulate the equity curve of their trading strategy under various random market conditions. This helps in assessing the strategy's robustness and potential performance in future scenarios, providing a probabilistic view of expected returns and risks.

Example

Performance over time

Scenario

The Rolling Window Analysis function evaluates the strategy's performance metrics over rolling periods, offering insights into how the strategy's effectiveness and risk profile have evolved. This is crucial for understanding the strategy's adaptability to changing market conditions and for identifying periods of underperformance or increased risk.