A Python tool for simulating investment returns and analyzing risk metrics through Monte Carlo methods. I built this to visualize how volatility impacts long-term equity growth and to calculate the statistical reliability of the Sharpe Ratio.
- Annualized Sharpe Ratio: Risk-adjusted performance.
- Standard Error (SE): 95% Confidence Intervals for the Sharpe calculation.
- Maximum Drawdown: Peak-to-trough decline tracking.
The script generates a two-panel chart showing the capital evolution and the "underwater" drawdown periods:
Just numpy and matplotlib.
Run the simulation:
python sharp_calc.py