eurusd eurjpy
Date
2003-07-08 1.13160 133.76
2003-07-09 1.13440 133.76
2003-07-10 1.13770 133.87
2003-07-11 1.12960 132.97
2003-07-14 1.12699 132.79
s1
0% [############################# ] 100% | ETA: 00:00:00
Stat s1
------------------- ----------
Start 2003-07-07
End 2014-09-11
Risk-free rate 0.00%
Total Return 9.72%
Daily Sharpe 0.13
Daily Sortino 0.17
CAGR 0.83%
Max Drawdown -34.69%
Calmar Ratio 0.02
MTD -0.20%
3m -2.16%
6m -4.92%
YTD -5.37%
1Y 0.56%
3Y (ann.) 3.72%
5Y (ann.) -0.64%
10Y (ann.) 0.52%
Since Incep. (ann.) 0.83%
Daily Sharpe 0.13
Daily Sortino 0.17
Daily Mean (ann.) 1.22%
Daily Vol (ann.) 9.68%
Daily Skew -0.10
Daily Kurt 4.44
Best Day 4.19%
Worst Day -3.99%
Monthly Sharpe 0.13
Monthly Sortino 0.16
Monthly Mean (ann.) 1.41%
Monthly Vol (ann.) 10.66%
Monthly Skew -0.88
Monthly Kurt 2.41
Best Month 7.10%
Worst Month -12.83%
Yearly Sharpe 0.08
Yearly Sortino 0.19
Yearly Mean 0.79%
Yearly Vol 9.94%
Yearly Skew -0.13
Yearly Kurt -1.37
Best Year 15.32%
Worst Year -13.74%
Avg. Drawdown -1.82%
Avg. Drawdown Days 69.62
Avg. Up Month 2.10%
Avg. Down Month -2.40%
Win Year % 54.55%
Win 12m % 62.10%
s2
0% [############################# ] 100% | ETA: 00:00:00
Stat s1 s2
------------------- ---------- ----------
Start 2003-07-07 2003-07-07
End 2014-09-11 2014-09-11
Risk-free rate 0.00% 0.00%
Total Return 9.72% 12.34%
Daily Sharpe 0.13 0.15
Daily Sortino 0.17 0.20
CAGR 0.83% 1.05%
Max Drawdown -34.69% -32.52%
Calmar Ratio 0.02 0.03
MTD -0.20% -0.25%
3m -2.16% -2.25%
6m -4.92% -4.90%
YTD -5.37% -5.16%
1Y 0.56% 0.29%
3Y (ann.) 3.72% 2.56%
5Y (ann.) -0.64% -1.10%
10Y (ann.) 0.52% 0.65%
Since Incep. (ann.) 0.83% 1.05%
Daily Sharpe 0.13 0.15
Daily Sortino 0.17 0.20
Daily Mean (ann.) 1.22% 1.39%
Daily Vol (ann.) 9.68% 9.42%
Daily Skew -0.10 -0.10
Daily Kurt 4.44 3.76
Best Day 4.19% 3.64%
Worst Day -3.99% -3.73%
Monthly Sharpe 0.13 0.14
Monthly Sortino 0.16 0.18
Monthly Mean (ann.) 1.41% 1.52%
Monthly Vol (ann.) 10.66% 10.51%
Monthly Skew -0.88 -0.81
Monthly Kurt 2.41 2.31
Best Month 7.10% 7.90%
Worst Month -12.83% -12.35%
Yearly Sharpe 0.08 0.09
Yearly Sortino 0.19 0.24
Yearly Mean 0.79% 0.84%
Yearly Vol 9.94% 9.06%
Yearly Skew -0.13 -0.17
Yearly Kurt -1.37 -1.60
Best Year 15.32% 12.63%
Worst Year -13.74% -11.81%
Avg. Drawdown -1.82% -1.59%
Avg. Drawdown Days 69.62 61.08
Avg. Up Month 2.10% 2.11%
Avg. Down Month -2.40% -2.31%
Win Year % 54.55% 54.55%
Win 12m % 62.10% 62.10%