P&L Forecaster Using Average Trade and Standard Deviation
The P&L Forecaster is for discretionary and automated traders who wish to forecast their future P&Ls and gain insight and understanding into their edge in the markets.
The Forecaster is based on the Axiom of a Small Edge which says that the mean and standard deviation of trades over time are a more accurate predictor of a trader's future P&L than win percentage and win/loss ratio.
To use the P&L Forecaster, enter the mean and standard deviation of the trading results for the trader or trading system you are forecasting and press "Forecast".
For example, to get a two year P&L forecast, enter the average trade and standard deviation of your past weekly results. The forecast corresponds to the next 100 weeks of trading.
Running the Forecaster multiple times will yield different paths to similar forecasts.
There is as much information in the path and its slope as their is in the endpoint; remember it's a forecast and not a guarantee.