Portfolio Metrics

Discussion in 'Trading' started by Chuck Krug, Nov 17, 2015.

  1. Just want to say to MoreLeverage: MoarLeverage.jpg
     
    #41     Nov 18, 2015
    lawrence-lugar likes this.
  2. Darn, knew I should have invested Aug 1 and redeemed Sep 1.
     
    #42     Nov 18, 2015
  3. Didn't Jack Schwager give you a call Aug1? I believe he mentioned he called a certain Mr. Debitspread to invest a couple of mil
     
    #43     Nov 18, 2015
  4. DOH! I guess he forgot. And I thought we were tight -- he signed my Market Wizard books!

    js_mw.png
     
    #44     Nov 18, 2015
    Chuck Krug likes this.
  5. Account Size (NAS)342
    Strategy Sy Te
    Assets traded OP
    Annualized Return 437.20%
    Annualized Volatility 344.69%
    Sharpe Ratio 1.27
    Cumulative Return 314.13%
    Maximum Drawdown 31.47%
    Sortino Ratio/2 9.65
    FS Score 43.42
    Daily GPR 3.65
    Monthly GPR 9.31

    MAR 13.89
    CALMAR 13.89
    Expected Shortfall -4.83%
    VaR -2.49%
    Skewness 13.85
    Daily Mean Return 1.53%
    Kurtosis 194.81
    Daily Standard Deviation 21.71%
     
    #45     Nov 25, 2015
  6. Fundseeder.png
     
    #46     Nov 25, 2015