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System Analytics - Forex Dashboard


Advanced Statistics: Forex Dashboard

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.089
 SD0.156
 Sharpe ratio (Glass type estimate) -0.569
 Sharpe ratio (Hedges UMVUE)-0.529
 df11.000
 t-0.569
 p0.710
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.531
 Upperbound of 95% confidence interval for Sharpe Ratio1.417
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.502
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.443
Statistics related to Sortino ratio
 Sortino ratio-0.665
 Upside Potential Ratio0.947
 Upside part of mean0.126
 Downside part of mean-0.215
 Upside SD0.071
 Downside SD0.134
 N nonnegative terms5.000
 N negative terms7.000
Statistics related to linear regression on benchmark
 N of observations12.000
 Mean of predictor0.076
 Mean of criterion-0.089
 SD of predictor0.146
 SD of criterion0.156
 Covariance-0.006
 r-0.256
 b (slope, estimate of beta)-0.274
 a (intercept, estimate of alpha)-0.068
 Mean Square Error0.025
 DF error10.000
 t(b)-0.837
 p(b)0.789
 t(a)-0.424
 p(a)0.660
 Lowerbound of 95% confidence interval for beta-1.003
 Upperbound of 95% confidence interval for beta0.455
 Lowerbound of 95% confidence interval for alpha-0.424
 Upperbound of 95% confidence interval for alpha0.289
 Treynor index (mean / b)0.324
 Jensen alpha (a)-0.068
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.100
 SD0.161
 Sharpe ratio (Glass type estimate) -0.624
 Sharpe ratio (Hedges UMVUE)-0.580
 df11.000
 t-0.624
 p0.727
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.587
 Upperbound of 95% confidence interval for Sharpe Ratio1.367
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.555
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.395
Statistics related to Sortino ratio
 Sortino ratio-0.714
 Upside Potential Ratio0.878
 Upside part of mean0.124
 Downside part of mean-0.224
 Upside SD0.069
 Downside SD0.141
 N nonnegative terms5.000
 N negative terms7.000
Statistics related to linear regression on benchmark
 N of observations12.000
 Mean of predictor0.066
 Mean of criterion-0.100
 SD of predictor0.145
 SD of criterion0.161
 Covariance-0.006
 r-0.256
 b (slope, estimate of beta)-0.284
 a (intercept, estimate of alpha)-0.082
 Mean Square Error0.027
 DF error10.000
 t(b)-0.837
 p(b)0.789
 t(a)-0.495
 p(a)0.684
 Lowerbound of 95% confidence interval for beta-1.041
 Upperbound of 95% confidence interval for beta0.472
 Lowerbound of 95% confidence interval for alpha-0.449
 Upperbound of 95% confidence interval for alpha0.286
 Treynor index (mean / b)0.353
 Jensen alpha (a)-0.082
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.081
 Expected Shortfall on VaR0.099
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.089
ORDER STATISTICS
Quartiles of return rates
 Number of observations12.000
 Minimum0.883
 Quartile 10.991
 Median1.000
 Quartile 31.019
 Maximum1.068
 Mean of quarter 10.937
 Mean of quarter 21.000
 Mean of quarter 31.011
 Mean of quarter 41.037
 Inter Quartile Range0.028
 Number outliers low1.000
 Percentage of outliers low0.083
 Mean of outliers low0.883
 Number of outliers high1.000
 Percentage of outliers high0.083
 Mean of outliers high1.068
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.523
 VaR(95%) (moments method)0.072
 Expected Shortfall (moments method)0.160
 Extreme Value Index (regression method)4.217
 VaR(95%) (regression method)0.151
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations1.000
 Minimum0.165
 Quartile 10.165
 Median0.165
 Quartile 30.165
 Maximum0.165
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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)-0.055
 Compounded annual return (geometric extrapolation)-0.055
 Calmar ratio (compounded annual return / max draw down)-0.333
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal-0.554
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.040
 SD0.510
 Sharpe ratio (Glass type estimate) 0.078
 Sharpe ratio (Hedges UMVUE)0.078
 df370.000
 t0.081
 p0.468
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.809
 Upperbound of 95% confidence interval for Sharpe Ratio1.966
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.809
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.965
Statistics related to Sortino ratio
 Sortino ratio0.103
 Upside Potential Ratio4.429
 Upside part of mean1.716
 Downside part of mean-1.676
 Upside SD0.331
 Downside SD0.387
 N nonnegative terms60.000
 N negative terms311.000
Statistics related to linear regression on benchmark
 N of observations371.000
 Mean of predictor0.062
 Mean of criterion0.040
 SD of predictor0.188
 SD of criterion0.510
 Covariance0.012
 r0.121
 b (slope, estimate of beta)0.328
 a (intercept, estimate of alpha)0.020
 Mean Square Error0.257
 DF error369.000
 t(b)2.342
 p(b)0.010
 t(a)0.040
 p(a)0.484
 Lowerbound of 95% confidence interval for beta0.053
 Upperbound of 95% confidence interval for beta0.604
 Lowerbound of 95% confidence interval for alpha-0.941
 Upperbound of 95% confidence interval for alpha0.980
 Treynor index (mean / b)0.122
 Jensen alpha (a)0.020
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.094
 SD0.524
 Sharpe ratio (Glass type estimate) -0.180
 Sharpe ratio (Hedges UMVUE)-0.180
 df370.000
 t-0.187
 p0.574
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.067
 Upperbound of 95% confidence interval for Sharpe Ratio1.707
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.067
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.708
Statistics related to Sortino ratio
 Sortino ratio-0.227
 Upside Potential Ratio4.007
 Upside part of mean1.664
 Downside part of mean-1.758
 Upside SD0.318
 Downside SD0.415
 N nonnegative terms60.000
 N negative terms311.000
Statistics related to linear regression on benchmark
 N of observations371.000
 Mean of predictor0.044
 Mean of criterion-0.094
 SD of predictor0.188
 SD of criterion0.524
 Covariance0.012
 r0.124
 b (slope, estimate of beta)0.345
 a (intercept, estimate of alpha)-0.110
 Mean Square Error0.271
 DF error369.000
 t(b)2.396
 p(b)0.009
 t(a)-0.218
 p(a)0.586
 Lowerbound of 95% confidence interval for beta0.062
 Upperbound of 95% confidence interval for beta0.628
 Lowerbound of 95% confidence interval for alpha-1.095
 Upperbound of 95% confidence interval for alpha0.876
 Treynor index (mean / b)-0.273
 Jensen alpha (a)-0.110
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.057
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.034
ORDER STATISTICS
Quartiles of return rates
 Number of observations371.000
 Minimum0.808
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.113
 Mean of quarter 10.981
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.020
 Inter Quartile Range0.000
 Number outliers low58.000
 Percentage of outliers low0.156
 Mean of outliers low0.970
 Number of outliers high60.000
 Percentage of outliers high0.162
 Mean of outliers high1.031
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.142
 VaR(95%) (moments method)0.004
 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 observations4.000
 Minimum0.001
 Quartile 10.049
 Median0.177
 Quartile 30.340
 Maximum0.491
 Mean of quarter 10.001
 Mean of quarter 20.065
 Mean of quarter 30.289
 Mean of quarter 40.491
 Inter Quartile Range0.291
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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)-0.049
 Compounded annual return (geometric extrapolation)-0.049
 Calmar ratio (compounded annual return / max draw down)-0.100
 Compounded annual return / average of 25% largest draw downs-0.100
 Compounded annual return / Expected Shortfall lognormal-0.864
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.008
 SD0.036
 Sharpe ratio (Glass type estimate) 0.208
 Sharpe ratio (Hedges UMVUE)0.207
 df171.000
 t0.147
 p0.493
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.564
 Upperbound of 95% confidence interval for Sharpe Ratio2.980
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.565
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.979
Statistics related to Sortino ratio
 Sortino ratio1.041
 Upside Potential Ratio10.134
 Upside part of mean0.073
 Downside part of mean-0.066
 Upside SD0.035
 Downside SD0.007
 N nonnegative terms11.000
 N negative terms161.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor-0.103
 Mean of criterion0.008
 SD of predictor0.215
 SD of criterion0.036
 Covariance-0.001
 r-0.090
 b (slope, estimate of beta)-0.015
 a (intercept, estimate of alpha)0.006
 Mean Square Error0.001
 DF error170.000
 t(b)-1.178
 p(b)0.545
 t(a)0.117
 p(a)0.496
 Lowerbound of 95% confidence interval for beta-0.041
 Upperbound of 95% confidence interval for beta0.010
 Lowerbound of 95% confidence interval for alpha-0.095
 Upperbound of 95% confidence interval for alpha0.107
 Treynor index (mean / b)-0.497
 Jensen alpha (a)0.006
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.007
 SD0.036
 Sharpe ratio (Glass type estimate) 0.192
 Sharpe ratio (Hedges UMVUE)0.191
 df171.000
 t0.136
 p0.493
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.580
 Upperbound of 95% confidence interval for Sharpe Ratio2.964
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.580
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.963
Statistics related to Sortino ratio
 Sortino ratio0.951
 Upside Potential Ratio10.039
 Upside part of mean0.073
 Downside part of mean-0.066
 Upside SD0.035
 Downside SD0.007
 N nonnegative terms11.000
 N negative terms161.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor-0.126
 Mean of criterion0.007
 SD of predictor0.215
 SD of criterion0.036
 Covariance-0.001
 r-0.091
 b (slope, estimate of beta)-0.015
 a (intercept, estimate of alpha)0.005
 Mean Square Error0.001
 DF error170.000
 t(b)-1.187
 p(b)0.545
 t(a)0.099
 p(a)0.496
 Lowerbound of 95% confidence interval for beta-0.040
 Upperbound of 95% confidence interval for beta0.010
 Lowerbound of 95% confidence interval for alpha-0.095
 Upperbound of 95% confidence interval for alpha0.105
 Treynor index (mean / b)-0.455
 Jensen alpha (a)0.005
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.003
 Expected Shortfall on VaR0.004
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.998
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.025
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.001
 Inter Quartile Range0.000
 Number outliers low11.000
 Percentage of outliers low0.064
 Mean of outliers low0.999
 Number of outliers high11.000
 Percentage of outliers high0.064
 Mean of outliers high1.003
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-5.823
 VaR(95%) (moments method)-0.017
 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 observations7.000
 Minimum0.001
 Quartile 10.001
 Median0.002
 Quartile 30.002
 Maximum0.002
 Mean of quarter 10.001
 Mean of quarter 20.002
 Mean of quarter 30.002
 Mean of quarter 40.002
 Inter Quartile Range0.001
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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)0.052
 Compounded annual return (geometric extrapolation)0.052
 Calmar ratio (compounded annual return / max draw down)24.728
 Compounded annual return / average of 25% largest draw downs24.728
 Compounded annual return / Expected Shortfall lognormal13.221