Quantitative Math Tools
A collection of quantitative math tools for analysis and computation.
Feb 23, 2026, Eric
Probability & Statistics
Law of Large Numbers Visualizer
Simulate N coin flips with a set edge and watch the observed win rate converge. See why a 10-trade backtest means nothing.
Trade Outcome Distribution Explorer
Upload a CSV of trade P&L results and explore mean, median, EV, and how a single black swan loss distorts your distribution.
Volatility & Position Sizing Calculator
Compute rolling volatility from a return series and see how vol-targeting adjusts position size in real time.
Portfolio Correlation Matrix Builder
Compute pairwise asset correlations, visualize as a color-coded heatmap, and score your portfolio's true diversification.
Distribution Fitter
Fit Normal, t-distribution, and KDE to historical returns. See fat tails quantified: how often real data blows past what the Normal distribution predicted.
CLT Trade Aggregator
Simulate trades from skewed or fat-tailed distributions and watch batch averages converge to Normal. The Central Limit Theorem made visceral.
Regime-Conditional Strategy Analyzer
Split backtest results by market regime and compute conditional win rates, Sharpe ratios, and P(win | regime) probability tables.
Bayesian Belief Updater
Set a prior probability, feed in evidence events with likelihoods, and watch the posterior update in real time via Bayes' theorem.
MLE Parameter Estimator
Fit a Normal distribution via Maximum Likelihood Estimation, visualize the 2D likelihood surface, and see how MLE connects to least-squares regression.
Dual Regression Strategy Tester
Two tabs: linear regression mean-reversion signals on price residuals, and logistic regression up/down classification with confusion matrix and ROC curve.
Linear Algebra
Portfolio Return Calculator
A portfolio as a weight vector dotted with a returns vector, extended to an N×M matrix. See return and variance computed as actual matrix operations with intermediate steps.
PCA Factor Decomposition
Run PCA on 8 correlated stock signals. See eigenvalues, cumulative explained variance, and the top factor loadings. Practical answer: how many independent signals do you actually have?
Time Series
Stationarity Tester
Run ADF and KPSS tests on a price series, display p-values with plain-English interpretation, and show transformed series achieving stationarity.
Autocorrelation Signal Detector
Compute ACF and PACF plots for a return series, highlight significant lags, and identify momentum vs mean-reversion signals.
ARIMA Forecaster
Fit an ARIMA model to financial time series, auto-select p/d/q via AIC, plot in-sample fit and out-of-sample forecast with confidence intervals.
GARCH Volatility Modeler
Fit a GARCH(1,1) to daily returns, visualize volatility clustering, and compare GARCH-based position sizing against simple rolling window methods.
Pairs Trading Cointegration Scanner
Run Engle-Granger cointegration tests, compute hedge ratios, plot spreads with z-score signals, and backtest a pairs trading strategy.