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Sep 17th, 2018
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  1. > stats
  2. PCwin_6_MomWin_1 PCwin_9_MomWin_1 PCwin_12_MomWin_1 PCwin_15_MomWin_1 PCwin_18_MomWin_1
  3. Annualized Return 0.0794000 0.0996000 0.1162000 -1.00000 0.1228000
  4. Annualized Std Dev 0.1736000 0.1699000 0.1676000 0.44000 0.1462000
  5. Annualized Sharpe (Rf=0%) 0.4571000 0.5862000 0.6933000 -2.27260 0.8400000
  6. Worst Drawdown 0.1922706 0.1920255 0.1905680 1.00000 0.1881902
  7. Calmar Ratio 0.4129597 0.5186812 0.6097563 -1.00000 0.6525313
  8. Ulcer Performance Index 1.2303255 1.6009687 1.8358537 -13.92493 1.7611151
  9. PCwin_6_MomWin_3 PCwin_9_MomWin_3 PCwin_12_MomWin_3 PCwin_15_MomWin_3 PCwin_18_MomWin_3
  10. Annualized Return 0.1267000 0.1333000 0.1219000 -1.00000 0.1056000
  11. Annualized Std Dev 0.1670000 0.1671000 0.1640000 0.44570 0.1458000
  12. Annualized Sharpe (Rf=0%) 0.7588000 0.7977000 0.7432000 -2.24370 0.7244000
  13. Worst Drawdown 0.1803398 0.1727027 0.1693165 1.00000 0.2137634
  14. Calmar Ratio 0.7025625 0.7718464 0.7199534 -1.00000 0.4940042
  15. Ulcer Performance Index 1.7199179 1.7978900 1.6395787 -11.80562 1.1989407
  16. PCwin_6_MomWin_6 PCwin_9_MomWin_6 PCwin_12_MomWin_6 PCwin_15_MomWin_6 PCwin_18_MomWin_6
  17. Annualized Return 0.0334000 0.0686000 0.0699000 0.0383000 0.0762000
  18. Annualized Std Dev 0.1580000 0.1578000 0.1589000 0.1539000 0.1371000
  19. Annualized Sharpe (Rf=0%) 0.2114000 0.4351000 0.4396000 0.2491000 0.5559000
  20. Worst Drawdown 0.2215008 0.2183292 0.2170041 0.2069793 0.2300757
  21. Calmar Ratio 0.1507895 0.3142045 0.3221138 0.1850427 0.3311954
  22. Ulcer Performance Index 0.3156747 0.6618561 0.6609373 0.3580561 0.7840563
  23. PCwin_6_MomWin_10 PCwin_9_MomWin_10 PCwin_12_MomWin_10 PCwin_15_MomWin_10 PCwin_18_MomWin_10
  24. Annualized Return 0.0311000 0.0797000 0.0462000 -1.00000 0.0839000
  25. Annualized Std Dev 0.1626000 0.1605000 0.1589000 0.46250 0.1356000
  26. Annualized Sharpe (Rf=0%) 0.1915000 0.4963000 0.2904000 -2.16220 0.6188000
  27. Worst Drawdown 0.2210130 0.2139437 0.1567226 1.00000 0.1639444
  28. Calmar Ratio 0.1407157 0.3725280 0.2947883 -1.00000 0.5117588
  29. Ulcer Performance Index 0.3249466 1.0491956 0.7553787 -18.95948 1.4281241
  30. PCwin_6_MomWin_12 PCwin_9_MomWin_12 PCwin_12_MomWin_12 PCwin_15_MomWin_12 PCwin_18_MomWin_12
  31. Annualized Return 0.02200000 -0.000900000 0.00720000 -1.000000 0.0591000
  32. Annualized Std Dev 0.16560000 0.160300000 0.15810000 0.469600 0.1357000
  33. Annualized Sharpe (Rf=0%) 0.13260000 -0.005500000 0.04530000 -2.129400 0.4359000
  34. Worst Drawdown 0.23554368 0.232985846 0.24917375 1.000000 0.2535491
  35. Calmar Ratio 0.09340094 -0.003862896 0.02889550 -1.000000 0.2330909
  36. Ulcer Performance Index 0.18524592 -0.007964112 0.06497636 -8.690638 0.6459883
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