Slide 31
Slide 31 text
{
"startTime": "2017-09-16 21:20:00",
"endTime": "2017-10-16 21:10:00",
"timespan": "30 days +00:10:00",
"market": 57.54195628060023,
"profit": 211503.88575317,
"relative_profit": 52.47206769719335,
"relativeYearlyProfit": 667.1723099962994,
"trades": 7,
"alpha": -5.069888583406879,
"vol": 14.58040336060525,
"beta": 8.57450862367706,
"hpm(0.0)_1": 10.57393540908159,
"lpm(0.0)_1": 0.20543805133434886,
"VaR(0.05)": 0.741872972377621,
"CVaR(0.05)": Infinity,
"Drawdown(5)": 0.741872972377621,
"Max Drawdown": 0.9931148851914983,
"Treynor Ratio": 1.2092024461391673,
"Sharpe Ratio": 0.7111131664714991,
"Information Ratio": 6.059422344061186,
"Excess VaR": 13.975865395072118,
"Conditional Sharpe Ratio": 0.0,
"Omega Ratio": 50.46931050430054,
"Sortino Ratio": 29.168212961815183,
"Kappa 3 Ratio": 23.461701486849886,
"Gain Loss Ratio": 51.470189385084225,
"Upside Potential Ratio": 29.746660498584962,
"Calmar Ratio": 10.440198769342185,
"Sterling Ratio": 15.433829081932238,
"Burke Ratio": 13.578582235419699,
}