10 Services from portfolio-stats.x402tookit.com

Computes a comprehensive equity-curve summary (CAGR, volatility, Sharpe, Sortino, Calmar, max drawdown, best/worst period) from a price or return series you supply.

Computes correlation, beta, R-squared, covariance, and annualized alpha of one asset return or price series against a benchmark series.

Calculates compound annual growth rate (CAGR) from start and end values over a specified duration (years, dates, or periods)

Computes annualized volatility (sample standard deviation of returns) from a supplied price or return series, with optional annualization period.

Computes Sharpe and Sortino ratios for a price or return series you supply, given your chosen risk-free rate and annualization period.

Calculates the maximum drawdown of a price or return series, returning peak, trough, and recovery indices or dates.

Computes the Kelly criterion optimal bet fraction, growth rate, and overbet threshold for a given win probability and payoff ratio

Computes illustrative historical and parametric Value-at-Risk (VaR) and Expected Shortfall (CVaR) from a user-supplied price or return series.

Calculates simple returns, log returns, and cumulative return from a user-supplied price series

Computes rolling mean return and rolling annualized volatility over a sliding window from a user-supplied price or return series.