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Backtest analyzer
Import your trades: the report measures the drawdown, tests the edge against chance, replays the series 1,000 times, estimates your chances of passing a prop firm challenge and the risk per trade that grows the account fastest.
Example shown: 400 fictitious trades over two years, a strategy with a slight edge. Import your own trades to get your report.
A rising equity curve does not tell you whether the strategy has an edge or just got lucky. Over 50 trades, chance alone regularly produces a positive expectancy. The t-statistic compares the measured expectancy with the spread of the results: above 2, chance struggles to explain the result; below it, the sample does not allow a conclusion.
An over-optimised backtest often passes this test on its own data and then collapses. The report therefore does not replace an out-of-sample test: it only tells you whether the series you give it can be told apart from chance.
The history is only one possible order of your trades. By drawing them at random 1,000 times, the Monte Carlo shows the drawdown to expect one time in ten, often much deeper than the backtest's, and the share of paths that end in the red.
The Kelly criterion gives the risk per trade that grows the capital fastest on these trades. It assumes future expectancy will match the past, which is rarely the case: traders generally take a quarter to half of Kelly. The calculation runs entirely in your browser and no data is sent.
