Providing a comprehensive approach to evaluating the risk and rewards of investment portfolio. While most metric tools only present risk and rewards separately, I need a system combines these factors to give view of portfolio's performance.
At the watchlist page, you can add, edit, delete and compute the perform metric. For demo, I typical select CAR25 from the book of Dr. Howard Bandy - Quantitative Technical Analysist. Also compute the Correlation coefficient to the market, preset to "spy". Related article: Risk and Reward
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Click on the Equity Curve to check the 10 equally likely equity curves from the Monte Carlos simulation:
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Equity Curve at Safe F.
CAR25 is a conservative metric that can be used to compare alternative uses of funds. It is the compound annual rate of return for the risk normalized profit at the 25th percentile of the distribution
SAFEF is the fixed percentage position size at the trade system.
During calculation, assume:
- the position sizing can be more than 100% of account, maximum is 400%,
- 0 interest rate,
- buy with fixed fractional position sizing every trades everyday,
- commission omit
Easily deploy your Next.js app with Vercel by clicking the button below:
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Using
git clonegit clone
npm installCreate .env file and set env variables from .env.example file.
It is required if you want husky to work
npm run prepareYou can start the server using this command:
npm run devand open http://localhost:3000/ to see this app.
The following scripts are available in the package.json:
dev: Run development serverbuild: Build the appstart: Run production serverpreview: Runbuildandstartcommands togetherlint: Lint the code using Eslintlint:fix: Fix linting errorsformat:check: Checks the code for proper formattingformat:write: Fix formatting issuestypecheck: Type-check TypeScript without emitting filestest: Run unit teststest:watch: Run unit tests in watch modee2e: Run end-to-end testse2e:ui: Run end-to-end tests with UIpostbuild: Generate sitemapprepare: Install Husky for managing Git hooks