Advanced Trading Forecast Calculator

# Advanced Trading Forecast Calculator

## Overview

The Advanced Trading Forecast Calculator is a comprehensive performance analytics dashboard that transforms manual trading data into institutional-grade insights. This tool bridges the gap between basic win rate calculations and professional risk management by implementing quantitative finance methodologies typically found in hedge fund trading desks.

## What Makes This Script Original

This indicator synthesizes multiple independent analytical frameworks into a unified system that addresses the complete lifecycle of trading performance analysis:

**Multi-Dimensional Risk Analysis** - Integrates Value-at-Risk (VaR) calculations, tail risk assessment, drawdown analysis, and leverage risk modeling into a cohesive risk framework. The system calculates both statistical risk (95% confidence VaR) and extreme event risk (99% tail risk) using position-size weighted methodologies.

**Kelly Criterion Implementation** - Applies the Kelly formula (optimal_f = (win_rate × reward_risk_ratio - loss_rate) / reward_risk_ratio) to determine mathematically optimal position sizing. The calculator compares your current position size against the Kelly-optimal size and flags over-leveraging risks.

**Market Regime Adaptation** - Adjusts performance projections based on economic cycle stage (Recession/Recovery/Expansion/Peak) using regime-specific multipliers derived from historical market behavior. Incorporates volatility normalization, sector concentration penalties, and correlation-adjusted risk metrics.

**Behavioral Finance Quantification** - Converts subjective trading discipline into quantifiable scores by tracking revenge trades, FOMO entries, stop-loss adherence, and planned versus impulsive execution. Calculates a composite discipline score that correlates with long-term profitability.

**Advanced Risk-Adjusted Returns** - Implements three distinct risk-adjusted metrics: Sharpe Ratio (excess return per unit of total volatility), Sortino Ratio (excess return per unit of downside deviation), and Calmar Ratio (annualized return divided by maximum drawdown). Each metric reveals different aspects of risk-adjusted performance.

## How It Works

### Core Calculation Methodology

**Expectancy Framework**: The calculator uses mathematical expectancy theory to project outcomes. For each trade, it calculates: Expected_Value = (Win_Rate × Avg_Win) - (Loss_Rate × Avg_Loss). This expectancy is then multiplied by trading frequency to generate monthly and annual projections.

**Risk Metrics**: Volatility is estimated using the square root of time scaling (√252 for annual volatility) applied to the average absolute deviation between wins and losses. This volatility feeds into Sharpe and Sortino ratio calculations using the formula: (Annualized_Return - Risk_Free_Rate) / Volatility.

**Drawdown Modeling**: Maximum drawdown is estimated using binomial probability theory to calculate the expected longest losing streak: Max_Consecutive_Losses = -ln(0.01) / ln(1 - Loss_Rate). This is then multiplied by average loss size to estimate peak-to-trough decline.

**Market Correlation Adjustment**: Beta-adjusted risk is calculated as: Beta_Risk = |Correlation_to_Market| × Market_Volatility. This quantifies how much of your risk comes from general market movements versus strategy-specific factors.

**Regime Analysis**: Return projections are modified based on economic cycle stage using empirically-derived multipliers (Expansion: 1.15x, Peak: 0.95x, Recovery: 1.05x, Recession: 0.75x). Additional stress testing applies macro factors including interest rate sensitivity, inflation impact, and geopolitical event frequency.

### Performance Scoring System

The script generates composite scores across multiple dimensions:

**Strategy Viability Score** (0-20 points): Checks if expected return per trade is positive, Kelly criterion is viable (>0), and profit factor exceeds 1.2 (indicating edge exists).

**Execution Quality Score** (0-15 points): Evaluates profit factor tiers (>1.5, >1.2, >1.0) and mathematical expectancy levels (>2%, >1%, >0.5%).

**Discipline Score** (0-15 points): Weights stop-loss adherence, profit target discipline, and planned trade percentage equally to create a behavioral quality metric.

**Risk-Adjusted Performance Score** (0-10 points): Tiered scoring based on Sharpe ratio thresholds (>1.5, >1.0, >0.5).

**Market Adaptation Score** (0-10 points): Evaluates timing edge (difference between best and worst trading hours), weekly consistency, and earnings season alpha.

**Risk Management Score** (0-10 points): Assesses margin utilization efficiency, overnight position performance, and portfolio diversification.

**Macro Resilience Score** (0-5 points): Measures robustness to interest rate changes, inflation, and geopolitical shocks.

These subscores combine into an overall rating from EXCEPTIONAL (85+) to POOR (<25), providing a single performance quality metric.

## Key Features

**10-Column Dashboard**: Displays 90+ metrics organized into Account, Performance, Projections, Risk, Psychology, Goals, Actual Results, Market Regime, Timing Edge, and Scores categories.

**Visual Performance Tracking**: Plots actual returns against expected benchmark, regime-adjusted projections, and stress-tested scenarios. Includes drawdown area chart and VaR reference lines.

**15 Smart Alerts**: Automated notifications for target achievement, drawdown warnings, discipline deterioration, excessive leverage, high volatility, exceptional performance, and timing edge detection.

**Dynamic Color Coding**: Green/yellow/red highlighting automatically identifies strong metrics, warning zones, and problem areas across the entire dashboard.

**Customizable Display**: Adjustable table position (9 options), size (3 levels), and fully customizable color scheme with 11 independent header colors.

## How to Use This Indicator

### Step 1: Input Your Account Data
- Enter current account size and equity value
- Set position sizing percentage and maximum simultaneous positions
- Input commission and slippage costs

### Step 2: Enter Historical Performance
- Record total trades taken and winning trades
- Calculate and enter average gain percentage and average loss percentage
- Input your actual win rate, largest win, largest loss
- Note consecutive win and loss streaks

### Step 3: Add Psychology Metrics
- Count revenge trades (trades taken to "get even" after losses)
- Count FOMO trades (impulsive entries from fear of missing out)
- Estimate percentage of planned versus impulsive trades
- Rate your stop-loss discipline and profit target discipline honestly

### Step 4: Configure Market Environment
- Set current market volatility (VIX or similar measure)
- Assess your strategy's correlation to the broader market (-1 to +1)
- Calculate sector concentration percentage
- Select current economic cycle stage

### Step 5: Input Advanced Risk Metrics
- If known, enter Value-at-Risk at 95% confidence level
- Record overnight position statistics
- Note leverage usage and margin utilization
- Input macro sensitivity factors

### Step 6: Analyze Results
The dashboard automatically calculates and displays:
- Whether your strategy is mathematically viable
- Optimal Kelly position size versus your current sizing
- Expected monthly and annual returns with regime adjustments
- Risk-adjusted performance metrics (Sharpe, Sortino, Calmar)
- Estimated time to reach your financial goals
- Composite performance score and rating

### Step 7: Act on Insights
- If Kelly Gap is positive (red), reduce position size to optimal level
- If Discipline Score is below 80%, focus on execution quality
- If Strategy shows NOT VIABLE, reassess methodology fundamentally
- If Sharpe Ratio is below 0.5, risk-adjusted returns are insufficient
- Monitor alerts for real-time warnings about risk levels

## What This Script Does NOT Do

This indicator does NOT generate trading signals, execute trades, or provide buy/sell recommendations. It is purely an analytical and educational tool for performance evaluation. It does NOT predict future market movements or guarantee results.

## Why Protected Source Code

The source code is protected because it contains proprietary implementations of:
- Multi-factor composite scoring algorithms with empirically-tuned weight distributions
- Regime-specific adjustment multipliers derived from extensive backtesting across economic cycles
- Integrated risk calculation frameworks that synthesize VaR, tail risk, and drawdown methodologies
- Behavioral scoring systems that quantify psychological factors with predictive correlations to future performance
- Optimized table rendering logic for displaying 90+ metrics without performance degradation

These implementations represent significant research and development work that differentiates this calculator from basic performance trackers.

## Intended Users

This tool is designed for:
- Active traders seeking institutional-grade performance analysis
- Traders wanting to quantify and improve their trading discipline
- Those learning quantitative risk management and position sizing theory
- Traders who maintain detailed trading journals and want deeper insights
- Anyone wanting to understand if their strategy has a genuine mathematical edge

## Important Notes

All projections assume historical performance patterns will continue, which is never guaranteed. Past performance does not indicate future results. The Kelly Criterion suggests optimal sizing under ideal conditions but should be reduced (typically 25-50% of full Kelly) for practical implementation. Risk metrics are estimates based on input data quality. This tool is for educational and analytical purposes only.

## Chart Requirements

The indicator displays on a clean chart with no other scripts needed. It creates an overlay-false subplot showing equity curves and drawdown visualization, plus a comprehensive table overlay on the price chart. All symbol and timeframe information remains visible.

## Updates and Maintenance

This indicator receives ongoing updates to incorporate new risk metrics, improve calculation accuracy, and add requested features while maintaining backward compatibility with existing user configurations.

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**Version**: 6 (Pine Script v6)
**Type**: Indicator (Not a Strategy - No Backtest Required)
**Display**: Overlay = False (Separate Pane) + Table Overlay