Advanced Statistics: Forex Dashboard
Advanced Statistics module contributed by Jules Ellis, C2 Member. Jules has written a very helpful guide for these statistics. | |||||
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| ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.028 | ||||
| SD | 0.172 | ||||
| Sharpe ratio (Glass type estimate) | -0.164 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.161 | ||||
| df | 50.000 | ||||
| t | -0.337 | ||||
| p | 0.631 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.114 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.789 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -1.112 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.790 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.208 | ||||
| Upside Potential Ratio | 0.621 | ||||
| Upside part of mean | 0.084 | ||||
| Downside part of mean | -0.112 | ||||
| Upside SD | 0.104 | ||||
| Downside SD | 0.135 | ||||
| N nonnegative terms | 4.000 | ||||
| N negative terms | 47.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 51.000 | ||||
| Mean of predictor | 0.393 | ||||
| Mean of criterion | -0.028 | ||||
| SD of predictor | 0.324 | ||||
| SD of criterion | 0.172 | ||||
| Covariance | -0.006 | ||||
| r | -0.099 | ||||
| b (slope, estimate of beta) | -0.052 | ||||
| a (intercept, estimate of alpha) | -0.008 | ||||
| Mean Square Error | 0.030 | ||||
| DF error | 49.000 | ||||
| t(b) | -0.695 | ||||
| p(b) | 0.755 | ||||
| t(a) | -0.085 | ||||
| p(a) | 0.534 | ||||
| Lowerbound of 95% confidence interval for beta | -0.204 | ||||
| Upperbound of 95% confidence interval for beta | 0.099 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.186 | ||||
| Upperbound of 95% confidence interval for alpha | 0.171 | ||||
| Treynor index (mean / b) | 0.536 | ||||
| Jensen alpha (a) | -0.008 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.186 | ||||
| Sharpe ratio (Glass type estimate) | -0.237 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.234 | ||||
| df | 50.000 | ||||
| t | -0.489 | ||||
| p | 0.687 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.188 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.716 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -1.186 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.718 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.281 | ||||
| Upside Potential Ratio | 0.502 | ||||
| Upside part of mean | 0.079 | ||||
| Downside part of mean | -0.123 | ||||
| Upside SD | 0.096 | ||||
| Downside SD | 0.157 | ||||
| N nonnegative terms | 4.000 | ||||
| N negative terms | 47.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 51.000 | ||||
| Mean of predictor | 0.337 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.315 | ||||
| SD of criterion | 0.186 | ||||
| Covariance | -0.005 | ||||
| r | -0.093 | ||||
| b (slope, estimate of beta) | -0.055 | ||||
| a (intercept, estimate of alpha) | -0.026 | ||||
| Mean Square Error | 0.035 | ||||
| DF error | 49.000 | ||||
| t(b) | -0.654 | ||||
| p(b) | 0.742 | ||||
| t(a) | -0.270 | ||||
| p(a) | 0.606 | ||||
| Lowerbound of 95% confidence interval for beta | -0.223 | ||||
| Upperbound of 95% confidence interval for beta | 0.113 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.216 | ||||
| Upperbound of 95% confidence interval for alpha | 0.165 | ||||
| Treynor index (mean / b) | 0.804 | ||||
| Jensen alpha (a) | -0.026 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.088 | ||||
| Expected Shortfall on VaR | 0.108 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.031 | ||||
| Expected Shortfall on VaR | 0.068 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 51.000 | ||||
| Minimum | 0.729 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.187 | ||||
| Mean of quarter 1 | 0.976 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.029 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 4.000 | ||||
| Percentage of outliers low | 0.078 | ||||
| Mean of outliers low | 0.923 | ||||
| Number of outliers high | 8.000 | ||||
| Percentage of outliers high | 0.157 | ||||
| Mean of outliers high | 1.047 | ||||
| Risk estimates for a one-period unit investment (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | -6.953 | ||||
| VaR(95%) (moments method) | -0.016 | ||||
| Expected Shortfall (moments method) | NA | ||||
| Extreme Value Index (regression method) | 1.734 | ||||
| VaR(95%) (regression method) | 0.006 | ||||
| Expected Shortfall (regression method) | NA | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 2.000 | ||||
| Minimum | 0.036 | ||||
| Quartile 1 | 0.095 | ||||
| Median | 0.154 | ||||
| Quartile 3 | 0.212 | ||||
| Maximum | 0.271 | ||||
| Mean of quarter 1 | 0.036 | ||||
| Mean of quarter 2 | NA | ||||
| Mean of quarter 3 | NA | ||||
| Mean of quarter 4 | 0.271 | ||||
| Inter Quartile Range | 0.118 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.000 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.000 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.000 | ||||
| ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | 0.006 | ||||
| SD | 0.314 | ||||
| Sharpe ratio (Glass type estimate) | 0.020 | ||||
| Sharpe ratio (Hedges UMVUE) | 0.020 | ||||
| df | 1127.000 | ||||
| t | 0.041 | ||||
| p | 0.499 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.925 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.964 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.925 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.964 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | 0.027 | ||||
| Upside Potential Ratio | 2.410 | ||||
| Upside part of mean | 0.551 | ||||
| Downside part of mean | -0.545 | ||||
| Upside SD | 0.214 | ||||
| Downside SD | 0.229 | ||||
| N nonnegative terms | 70.000 | ||||
| N negative terms | 1058.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1128.000 | ||||
| Mean of predictor | 0.422 | ||||
| Mean of criterion | 0.006 | ||||
| SD of predictor | 0.348 | ||||
| SD of criterion | 0.314 | ||||
| Covariance | -0.008 | ||||
| r | -0.071 | ||||
| b (slope, estimate of beta) | -0.064 | ||||
| a (intercept, estimate of alpha) | 0.033 | ||||
| Mean Square Error | 0.098 | ||||
| DF error | 1126.000 | ||||
| t(b) | -2.387 | ||||
| p(b) | 0.535 | ||||
| t(a) | 0.219 | ||||
| p(a) | 0.497 | ||||
| Lowerbound of 95% confidence interval for beta | -0.116 | ||||
| Upperbound of 95% confidence interval for beta | -0.011 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.264 | ||||
| Upperbound of 95% confidence interval for alpha | 0.330 | ||||
| Treynor index (mean / b) | -0.097 | ||||
| Jensen alpha (a) | 0.033 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.319 | ||||
| Sharpe ratio (Glass type estimate) | -0.138 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.138 | ||||
| df | 1127.000 | ||||
| t | -0.286 | ||||
| p | 0.505 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.082 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.807 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -1.082 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.807 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.180 | ||||
| Upside Potential Ratio | 2.160 | ||||
| Upside part of mean | 0.530 | ||||
| Downside part of mean | -0.574 | ||||
| Upside SD | 0.204 | ||||
| Downside SD | 0.245 | ||||
| N nonnegative terms | 70.000 | ||||
| N negative terms | 1058.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1128.000 | ||||
| Mean of predictor | 0.360 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.353 | ||||
| SD of criterion | 0.319 | ||||
| Covariance | -0.008 | ||||
| r | -0.070 | ||||
| b (slope, estimate of beta) | -0.063 | ||||
| a (intercept, estimate of alpha) | -0.021 | ||||
| Mean Square Error | 0.102 | ||||
| DF error | 1126.000 | ||||
| t(b) | -2.343 | ||||
| p(b) | 0.535 | ||||
| t(a) | -0.139 | ||||
| p(a) | 0.502 | ||||
| Lowerbound of 95% confidence interval for beta | -0.116 | ||||
| Upperbound of 95% confidence interval for beta | -0.010 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.323 | ||||
| Upperbound of 95% confidence interval for alpha | 0.281 | ||||
| Treynor index (mean / b) | 0.699 | ||||
| Jensen alpha (a) | -0.021 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.032 | ||||
| Expected Shortfall on VaR | 0.040 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.007 | ||||
| Expected Shortfall on VaR | 0.016 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 1128.000 | ||||
| Minimum | 0.808 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.146 | ||||
| Mean of quarter 1 | 0.992 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.008 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 59.000 | ||||
| Percentage of outliers low | 0.052 | ||||
| Mean of outliers low | 0.963 | ||||
| Number of outliers high | 70.000 | ||||
| Percentage of outliers high | 0.062 | ||||
| Mean of outliers high | 1.034 | ||||
| Risk estimates for a one-period unit investment (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | 1.036 | ||||
| VaR(95%) (moments method) | -0.000 | ||||
| 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 observations | 4.000 | ||||
| Minimum | 0.037 | ||||
| Quartile 1 | 0.115 | ||||
| Median | 0.215 | ||||
| Quartile 3 | 0.338 | ||||
| Maximum | 0.487 | ||||
| Mean of quarter 1 | 0.037 | ||||
| Mean of quarter 2 | 0.141 | ||||
| Mean of quarter 3 | 0.289 | ||||
| Mean of quarter 4 | 0.487 | ||||
| Inter Quartile Range | 0.224 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.000 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.000 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.000 | ||||
| ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.000 | ||||
| Sharpe ratio (Glass type estimate) | NA | ||||
| Sharpe ratio (Hedges UMVUE) | NA | ||||
| df | NA | ||||
| t | NA | ||||
| p | NA | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | NA | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | NA | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -16.186 | ||||
| Upside Potential Ratio | 0.000 | ||||
| Upside part of mean | 0.000 | ||||
| Downside part of mean | -0.044 | ||||
| Upside SD | 0.000 | ||||
| Downside SD | 0.003 | ||||
| N nonnegative terms | 0.000 | ||||
| N negative terms | 131.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 131.000 | ||||
| Mean of predictor | 0.990 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.474 | ||||
| SD of criterion | 0.000 | ||||
| Covariance | 0.000 | ||||
| r | NA | ||||
| b (slope, estimate of beta) | NA | ||||
| a (intercept, estimate of alpha) | NA | ||||
| Mean Square Error | NA | ||||
| DF error | NA | ||||
| t(b) | NA | ||||
| p(b) | NA | ||||
| t(a) | NA | ||||
| p(a) | NA | ||||
| Lowerbound of 95% confidence interval for beta | NA | ||||
| Upperbound of 95% confidence interval for beta | NA | ||||
| Lowerbound of 95% confidence interval for alpha | NA | ||||
| Upperbound of 95% confidence interval for alpha | NA | ||||
| Treynor index (mean / b) | NA | ||||
| Jensen alpha (a) | NA | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.000 | ||||
| Sharpe ratio (Glass type estimate) | -12492933348697024.000 | ||||
| Sharpe ratio (Hedges UMVUE) | -12420719861132300.000 | ||||
| df | 130.000 | ||||
| t | -8833837887775228.000 | ||||
| p | 1.000 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -13930479873814932.000 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -10910959848449668.000 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -16.186 | ||||
| Upside Potential Ratio | 0.000 | ||||
| Upside part of mean | 0.000 | ||||
| Downside part of mean | -0.044 | ||||
| Upside SD | 0.000 | ||||
| Downside SD | 0.003 | ||||
| N nonnegative terms | 0.000 | ||||
| N negative terms | 131.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 131.000 | ||||
| Mean of predictor | 0.877 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.475 | ||||
| SD of criterion | 0.000 | ||||
| Covariance | 0.000 | ||||
| r | 0.000 | ||||
| b (slope, estimate of beta) | 0.000 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 129.000 | ||||
| t(b) | 0.000 | ||||
| p(b) | 0.500 | ||||
| t(a) | -8742652182402077.000 | ||||
| p(a) | 1.000 | ||||
| Lowerbound of 95% confidence interval for beta | -0.000 | ||||
| Upperbound of 95% confidence interval for beta | 0.000 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.044 | ||||
| Upperbound of 95% confidence interval for alpha | -0.044 | ||||
| Treynor index (mean / b) | -107250083927677353385196129353728.000 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.000 | ||||
| Expected Shortfall on VaR | 0.000 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.000 | ||||
| Expected Shortfall on VaR | 0.000 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 131.000 | ||||
| Minimum | 1.000 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.000 | ||||
| Mean of quarter 1 | 1.000 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.000 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| 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 observations | 0.000 | ||||
| Minimum | NA | ||||
| Quartile 1 | NA | ||||
| Median | NA | ||||
| Quartile 3 | NA | ||||
| Maximum | NA | ||||
| Mean of quarter 1 | NA | ||||
| Mean of quarter 2 | NA | ||||
| Mean of quarter 3 | NA | ||||
| Mean of quarter 4 | NA | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | NA | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | NA | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | NA | ||||
| Compounded annual return / average of 25% largest draw downs | NA | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.000 | ||||