Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

Advanced Statistics: Fast Forex

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.821
 SD0.558
 Sharpe ratio (Glass type estimate) 1.470
 Sharpe ratio (Hedges UMVUE)1.173
 df4.000
 t0.949
 p0.198
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.800
 Upperbound of 95% confidence interval for Sharpe Ratio4.583
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.970
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.316
Statistics related to Sortino ratio
 Sortino ratio72.094
 Upside Potential Ratio75.193
 Upside part of mean0.856
 Downside part of mean-0.035
 Upside SD0.553
 Downside SD0.011
 N nonnegative terms1.000
 N negative terms4.000
Statistics related to linear regression on benchmark
 N of observations5.000
 Mean of predictor0.221
 Mean of criterion0.821
 SD of predictor0.164
 SD of criterion0.558
 Covariance0.001
 r0.007
 b (slope, estimate of beta)0.024
 a (intercept, estimate of alpha)0.816
 Mean Square Error0.416
 DF error3.000
 t(b)0.012
 p(b)0.495
 t(a)0.749
 p(a)0.254
 Lowerbound of 95% confidence interval for beta-6.234
 Upperbound of 95% confidence interval for beta6.282
 Lowerbound of 95% confidence interval for alpha-2.651
 Upperbound of 95% confidence interval for alpha4.282
 Treynor index (mean / b)34.043
 Jensen alpha (a)0.816
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.695
 SD0.477
 Sharpe ratio (Glass type estimate) 1.457
 Sharpe ratio (Hedges UMVUE)1.162
 df4.000
 t0.940
 p0.200
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.810
 Upperbound of 95% confidence interval for Sharpe Ratio4.567
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.979
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.304
Statistics related to Sortino ratio
 Sortino ratio61.121
 Upside Potential Ratio64.220
 Upside part of mean0.730
 Downside part of mean-0.035
 Upside SD0.471
 Downside SD0.011
 N nonnegative terms1.000
 N negative terms4.000
Statistics related to linear regression on benchmark
 N of observations5.000
 Mean of predictor0.208
 Mean of criterion0.695
 SD of predictor0.164
 SD of criterion0.477
 Covariance0.001
 r0.017
 b (slope, estimate of beta)0.050
 a (intercept, estimate of alpha)0.684
 Mean Square Error0.303
 DF error3.000
 t(b)0.030
 p(b)0.489
 t(a)0.743
 p(a)0.256
 Lowerbound of 95% confidence interval for beta-5.285
 Upperbound of 95% confidence interval for beta5.385
 Lowerbound of 95% confidence interval for alpha-2.247
 Upperbound of 95% confidence interval for alpha3.616
 Treynor index (mean / b)13.791
 Jensen alpha (a)0.684
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.155
 Expected Shortfall on VaR0.201
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.005
ORDER STATISTICS
Quartiles of return rates
 Number of observations5.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.360
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.360
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.200
 Mean of outliers high1.360
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.865
 Compounded annual return (geometric extrapolation)1.093
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal5.431
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.807
 SD0.585
 Sharpe ratio (Glass type estimate) 1.379
 Sharpe ratio (Hedges UMVUE)1.372
 df152.000
 t0.920
 p0.463
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.566
 Upperbound of 95% confidence interval for Sharpe Ratio4.320
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.571
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.315
Statistics related to Sortino ratio
 Sortino ratio2.909
 Upside Potential Ratio5.816
 Upside part of mean1.613
 Downside part of mean-0.806
 Upside SD0.515
 Downside SD0.277
 N nonnegative terms7.000
 N negative terms146.000
Statistics related to linear regression on benchmark
 N of observations153.000
 Mean of predictor0.378
 Mean of criterion0.807
 SD of predictor0.198
 SD of criterion0.585
 Covariance-0.007
 r-0.063
 b (slope, estimate of beta)-0.186
 a (intercept, estimate of alpha)0.877
 Mean Square Error0.343
 DF error151.000
 t(b)-0.777
 p(b)0.540
 t(a)0.994
 p(a)0.449
 Lowerbound of 95% confidence interval for beta-0.660
 Upperbound of 95% confidence interval for beta0.288
 Lowerbound of 95% confidence interval for alpha-0.867
 Upperbound of 95% confidence interval for alpha2.622
 Treynor index (mean / b)-4.334
 Jensen alpha (a)0.877
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.648
 SD0.555
 Sharpe ratio (Glass type estimate) 1.168
 Sharpe ratio (Hedges UMVUE)1.162
 df152.000
 t0.779
 p0.468
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.776
 Upperbound of 95% confidence interval for Sharpe Ratio4.108
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.780
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.104
Statistics related to Sortino ratio
 Sortino ratio2.204
 Upside Potential Ratio5.086
 Upside part of mean1.496
 Downside part of mean-0.848
 Upside SD0.470
 Downside SD0.294
 N nonnegative terms7.000
 N negative terms146.000
Statistics related to linear regression on benchmark
 N of observations153.000
 Mean of predictor0.359
 Mean of criterion0.648
 SD of predictor0.197
 SD of criterion0.555
 Covariance-0.007
 r-0.063
 b (slope, estimate of beta)-0.178
 a (intercept, estimate of alpha)0.712
 Mean Square Error0.309
 DF error151.000
 t(b)-0.781
 p(b)0.540
 t(a)0.851
 p(a)0.456
 Lowerbound of 95% confidence interval for beta-0.629
 Upperbound of 95% confidence interval for beta0.273
 Lowerbound of 95% confidence interval for alpha-0.942
 Upperbound of 95% confidence interval for alpha2.366
 Treynor index (mean / b)-3.634
 Jensen alpha (a)0.712
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.058
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.008
 Expected Shortfall on VaR0.018
ORDER STATISTICS
Quartiles of return rates
 Number of observations153.000
 Minimum0.875
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.261
 Mean of quarter 10.991
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.019
 Inter Quartile Range0.000
 Number outliers low4.000
 Percentage of outliers low0.026
 Mean of outliers low0.915
 Number of outliers high7.000
 Percentage of outliers high0.046
 Mean of outliers high1.103
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.786
 VaR(95%) (regression method)-0.153
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.058
 Quartile 10.087
 Median0.116
 Quartile 30.131
 Maximum0.146
 Mean of quarter 10.058
 Mean of quarter 20.116
 Mean of quarter 3NA
 Mean of quarter 40.146
 Inter Quartile Range0.044
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.810
 Compounded annual return (geometric extrapolation)0.998
 Calmar ratio (compounded annual return / max draw down)6.852
 Compounded annual return / average of 25% largest draw downs6.852
 Compounded annual return / Expected Shortfall lognormal17.199