Just want to say to MoreLeverage:
Portfolio Metrics
- Thread starter Chuck Krug
- Start date
Darn, knew I should have invested Aug 1 and redeemed Sep 1.
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
DOH! I guess he forgot. And I thought we were tight -- he signed my Market Wizard books!
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%
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%