Portfolio Optimizer - Trading Strategy Monitoring: Modeling the PnL as a Geometric Brownian Motion

	A	B	C	D	E	F	G	H	I	J	K	L	M	N	O	P	Q	R
1	Date	Total Return Price	-	Monthly returns (%)	-	Drawdowns (%)	-	Rescaled Total Return Price	-	Montly log returns (%)	-	Drawdown length (months)	-	Normalized drawdown depth	-
2	1871,01	4.44		-		0		1		-		0		0
3	1871,02	4.52		1.80%		0		1.018018018		1.79%		0		0
4	1871,03	4.65		2.88%		0		1.047297297		2.84%		0		0
5	1871,04	4.81		3.44%		0		1.083333333		3.38%		0		0
6	1871,05	4.95		2.91%		0		1.114864865		2.87%		0		0
7	1871,06	4.93		-0.40%		0.00404040404		1.11036036		-0.40%		1		0.02891849266
8	1871,07	4.86		-1.42%		0.01818181818		1.094594595		-1.43%		2		0.1310652744
9	1871,08	4.95		1.85%		0		1.114864865		1.83%		0		0
10	1871,09	5.02		1.41%		0		1.130630631		1.40%		0		0
11	1871,1	4.78		-4.78%		0.04780876494		1.076576577		-4.90%		1		0.3499241938
12	1871,11	4.86		1.67%		0.03187250996		1.094594595		1.66%		2		0.2313678268
13	1871,12	4.99		2.67%		0.005976095618		1.123873874		2.64%		3		0.04281445825
14	1872,01	5.13		2.81%		0		1.155405405		2.77%		0		0
15	1872,02	5.18		0.97%		0		1.166666667		0.97%		0		0
16	1872,03	5.37		3.67%		0		1.209459459		3.60%		0		0
17	1872,04	5.55		3.35%		0		1.25		3.30%		0		0
18	1872,05	5.57		0.36%		0		1.254504505		0.36%		0		0
19	1872,06	5.54		-0.54%		0.005385996409		1.247747748		-0.54%		1		0.03857538123
20	1872,07	5.54		0.00%		0.005385996409		1.247747748		0.00%		2		0.03857538123
21	1872,08	5.5		-0.72%		0.01256732496		1.238738739		-0.72%		3		0.09033544203		Annualized Sharpe ratio over the whole period
22	1872,09	5.42		-1.45%		0.02692998205		1.220720721		-1.47%		4		0.1949945618		Simple returns	Average arithmetic return	9.74%
23	1872,1	5.47		0.92%		0.01795332136		1.231981982		0.92%		5		0.1294031278			Volatility	0.140776053
24	1872,11	5.48		0.18%		0.01615798923		1.234234234		0.18%		6		0.1163568112				0.6922210321
25	1872,12	5.64		2.92%		0		1.27027027		2.88%		0		0
26	1873,01	5.71		1.24%		0		1.286036036		1.23%		0		0		Log returns	Geometric return converted	9.12%
27	1873,02	5.78		1.23%		0		1.301801802		1.22%		0		0			Volatility	0.1401158396
28	1873,03	5.77		-0.17%		0.001730103806		1.29954955		-0.17%		1		0.0123685855				0.650960304
29	1873,04	5.72		-0.87%		0.01038062284		1.288288288		-0.87%		2		0.07453484049
30	1873,05	5.76		0.70%		0.003460207612		1.297297297		0.70%		3		0.02475863113
31	1873,06	5.71		-0.87%		0.01211072664		1.286036036		-0.87%		4		0.08703327998
32	1873,07	5.73		0.35%		0.008650519031		1.290540541		0.35%		5		0.06205822681
33	1873,08	5.76		0.52%		0.003460207612		1.297297297		0.52%		6		0.02475863113
34	1873,09	5.35		-7.12%		0.07439446367		1.204954955		-7.38%		7		0.5521937278
35	1873,1	4.92		-8.04%		0.1487889273		1.108108108		-8.38%		8		1.15067966
36	1873,11	4.77		-3.05%		0.1747404844		1.074324324		-3.10%		9		1.371838416
37	1873,12	5.25		10.06%		0.09169550173		1.182432432		9.59%		10		0.6869686186
38	1874,01	5.57		6.10%		0.03633217993		1.254504505		5.92%		11		0.2643473464
39	1874,02	5.77		3.59%		0.001730103806		1.29954955		3.53%		12		0.0123685855
40	1874,03	5.72		-0.87%		0.01038062284		1.288288288		-0.87%		13		0.07453484049
41	1874,04	5.6		-2.10%		0.03114186851		1.261261261		-2.12%		14		0.2259791807
42	1874,05	5.48		-2.14%		0.05190311419		1.234234234		-2.17%		15		0.3807041576
43	1874,06	5.49		0.18%		0.05017301038		1.236486486		0.18%		16		0.3676816265
44	1874,07	5.53		0.73%		0.04325259516		1.245495495		0.73%		17		0.3158276264
45	1874,08	5.57		0.72%		0.03633217993		1.254504505		0.72%		18		0.2643473464
46	1874,09	5.69		2.15%		0.01557093426		1.281531532		2.13%		19		0.1120959595
47	1874,1	5.72		0.53%		0.01038062284		1.288288288		0.53%		20		0.07453484049
48	1874,11	5.8		1.40%		0		1.306306306		1.39%		0		0
49	1874,12	5.8		0.00%		0		1.306306306		0.00%		0		0
50	1875,01	5.83		0.52%		0		1.313063063		0.52%		0		0
51	1875,02	5.86		0.51%		0		1.31981982		0.51%		0		0
52	1875,03	5.97		1.88%		0		1.344594595		1.86%		0		0
53	1875,04	6.08		1.84%		0		1.369369369		1.83%		0		0
54	1875,05	5.88		-3.29%		0.03289473684		1.324324324		-3.34%		1		0.2389138146
55	1875,06	5.8		-1.36%		0.04605263158		1.306306306		-1.37%		2		0.3367627028
56	1875,07	5.84		0.69%		0.03947368421		1.315315315		0.69%		3		0.2876707079
57	1875,08	5.9		1.03%		0.02960526316		1.328828829		1.02%		4		0.2146596048
58	1875,09	5.88		-0.34%		0.03289473684		1.324324324		-0.34%		5		0.2389138146
59	1875,1	5.82		-1.02%		0.04276315789		1.310810811		-1.03%		6		0.3121745273
60	1875,11	5.95		2.23%		0.02138157895		1.34009009		2.21%		7		0.154381973
61	1875,12	5.99		0.67%		0.01480263158		1.349099099		0.67%		8		0.1065234547
62	1876,01	6.15		2.67%		0		1.385135135		2.64%		0		0
63	1876,02	6.26		1.79%		0		1.40990991		1.77%		0		0
64	1876,03	6.28		0.32%		0		1.414414414		0.32%		0		0
65	1876,04	6.08		-3.18%		0.03184713376		1.369369369		-3.24%		1		0.2311806034
66	1876,05	5.89		-3.13%		0.06210191083		1.326576577		-3.17%		2		0.4579570157
67	1876,06	5.89		0.00%		0.06210191083		1.326576577		0.00%		3		0.4579570157
68	1876,07	5.85		-0.68%		0.06847133758		1.317567568		-0.68%		4		0.5066308473
69	1876,08	5.64		-3.59%		0.101910828		1.27027027		-3.66%		5		0.7677565349
70	1876,09	5.33		-5.50%		0.1512738854		1.20045045		-5.65%		6		1.171562446
71	1876,1	5.34		0.19%		0.1496815287		1.202702703		0.19%		7		1.158173764
72	1876,11	5.28		-1.12%		0.1592356688		1.189189189		-1.13%		8		1.238884876
73	1876,12	5.28		0.00%		0.1592356688		1.189189189		0.00%		9		1.238884876
74	1877,01	5.27		-0.19%		0.1608280255		1.186936937		-0.19%		10		1.25242584
75	1877,02	5		-5.12%		0.2038216561		1.126126126		-5.26%		11		1.628086199
76	1877,03	4.78		-4.40%		0.2388535032		1.076576577		-4.50%		12		1.949495952
77	1877,04	4.46		-6.69%		0.2898089172		1.004504505		-6.93%		13		2.44443724
78	1877,05	4.5		0.90%		0.2834394904		1.013513514		0.89%		14		2.380661307
79	1877,06	4.21		-6.44%		0.3296178344		0.9481981982		-6.66%		15		2.856480946
80	1877,07	4.42		4.99%		0.2961783439		0.9954954955		4.87%		16		2.508787744
81	1877,08	4.76		7.69%		0.2420382166		1.072072072		7.41%		17		1.979445086
82	1877,09	5.09		6.93%		0.1894904459		1.146396396		6.70%		18		1.500658214
83	1877,1	5.22		2.55%		0.1687898089		1.175675676		2.52%		19		1.320518414
84	1877,11	5.17		-0.96%		0.1767515924		1.164414414		-0.96%		20		1.389266372
85	1877,12	5.18		0.19%		0.1751592357		1.166666667		0.19%		21		1.37546374
86	1878,01	5.2		0.39%		0.1719745223		1.171171171		0.39%		22		1.347938248
87	1878,02	5.12		-1.54%		0.1847133758		1.153153153		-1.55%		23		1.458682438
88	1878,03	5.24		2.34%		0.1656050955		1.18018018		2.32%		24		1.293203443
89	1878,04	5.41		3.24%		0.1385350318		1.218468468		3.19%		25		1.065149198
90	1878,05	5.45		0.74%		0.1321656051		1.227477477		0.74%		26		1.012531228
91	1878,06	5.59		2.57%		0.1098726115		1.259009009		2.54%		27		0.8313620931
92	1878,07	5.73		2.50%		0.08757961783		1.290540541		2.47%		28		0.6546746365
93	1878,08	5.71		-0.35%		0.09076433121		1.286036036		-0.35%		29		0.6796496896
94	1878,09	5.85		2.45%		0.06847133758		1.317567568		2.42%		30		0.5066308473
95	1878,1	5.81		-0.68%		0.07484076433		1.308558559		-0.69%		31		0.5556386356
96	1878,11	5.81		0.00%		0.07484076433		1.308558559		0.00%		32		0.5556386356
97	1878,12	5.81		0.00%		0.07484076433		1.308558559		0.00%		33		0.5556386356
98	1879,01	6.05		4.13%		0.03662420382		1.362612613		4.05%		34		0.266512199
99	1879,02	6.3		4.13%		0		1.418918919		4.05%		0		0
100	1879,03	6.22		-1.27%		0.0126984127		1.400900901		-1.28%		1		0.09128376166