← Read the risk‑return and maximum‑drawdown tutorialRisk lens · Frontend only · No live market data
Data inputSingle trade risk‑rewardHistorical risk summaryDrawdown pathRestrictions and sources
Quant lab · Risk / Return

Risk‑return and maximum drawdown analysis

Paste your verified historical price or return series; the tool calculates only in the current browser, offline and without auto-filling market data. Sequence must be old→new; separate numbers by comma, semicolon, space or newline.

SharpeSortinoMDDRecoveryClient‑side
Please paste at least 3 historical values of the same frequency before calculating.
Data contract:Prices must be positive; returns entered as percentages; data ordered from old to new; MAR is a per‑period percentage, not an annualized value. The tool does not verify sources, does not auto‑adjust for dividends/splits/cash flows, and does not treat 0% MAR as the market risk‑free rate.
Scenario lens

Single trade R:R

Pre‑entry scenarios

Here R:R only describes the price distances of entry, stop and target; after you input the win rate it will estimate per‑trade expected value — it will not present a single scenario as historical Sharpe.

Single‑scenario calculation not yet performedPlease enter entry, stop and target prices.
Historical lens

Historical risk‑return summary

Awaiting valid sequence
Results reflect only the currently entered data, frequency and MAR.
cumulative return—
Annualized return—
Annualized volatility—
Sharpe—
Sortino—
Maximum drawdown (MDD)—
Drawdown amount—
Recovery period—
Calmar—
Recovery factor—
Observation periods—
Awaiting drawdown analysisRequires valid historical time series and starting capital.

Equity curve and historical drawdowns

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Equity curveHistorical peak / high‑water‑mark baselineDrawdown region
Indicator definition:Sharpe＝excess mean return／sample standard deviation; Sortino＝excess mean return／downside deviation relative to MAR; MDD is computed along the running peak path (peak before trough). If standard deviation is 0 or there are no observations below MAR, the tool will indicate the metric cannot be formed and will not output infinite values.
Path audit

Drawdown path check

Not yet calculated
Serial numberEquityRunning peakDrawdownStatus
Sources and limitations:See William F. Sharpe’s Stanford article for historical versions of Sharpe, time‑dependence and distributional limits; see Charles Schwab for Sortino’s downside risk definition; see CFA Institute for maximum drawdown and peak‑to‑trough sequencing.View full tutorial & References →

This page uses only user inputs: no live quotes, no server upload, no automatic adjustment of prices or cash flows, and it does not select assets or set stops for the user. Historical metrics do not guarantee future results. This is research and analysis only, not personalized financial advice.

How to use this finance tool

This page turns a finance concept into checkable inputs, formulas, and scenarios. Read the variable definitions first, then compare conservative, base, and stress cases; one result is not a promise of return.

Suggested workflow: confirm units and time periods, enter your own assumptions, then review sensitivity, costs, and downside cases.

Limitations: the model does not forecast markets and may not include every tax, slippage, liquidity, credit, regulatory, or contract term. Verify important decisions with current primary information and a qualified professional.

Financial risk disclaimer

This page, its calculators, and examples are for education, research, and scenario estimation only. They are not personalized investment, trading, betting, tax, legal, or financial advice. Markets and local rules can change quickly; verify current primary information and take responsibility for your decisions. Past performance, model outputs, and simulations do not guarantee future results.