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Title: In-depth Stats for UPMv4 Post by: Super Stock Picker on July 24, 2008, 09:58:57 PM Hello,
Thanks to dhamel, I'm pleased to provide you today with very interesting statistics about the Ultimate Price Momentum v4 portfolio. If you feel that those stats are useful to understand our portfolios, then we may try to integrate them in the description pages on the site. A few facts about the UPMv4: - MaxDrawDown: 47.12% - % of Days with new all-time high: 14.53% - % of Days with positive return: 54.53% - % of Days with negative return: 44.63% Then, sliding window performances have been extract on the following periods: 1-month, 3-month, 6-month and 1-year: * 1-month: Maximum 74.8% Minimum -35.4% Average 8.4% * 3-month: Maximum 136.9% Minimum -34.8% Average 27.5% * 6-month: Maximum 188.2% Minimum -13.4% Average 52.6% * 1-year: Maximum 340.4% Minimum 22.5% Average 129.6% The attached Excel file presents the data and calculation, plus gives the graphics of the sliding window performances. I think it is quite interested, what about you? (Do not forget that you need to log in to have access to the files attached on the forum) Title: Re: In-depth Stats for UPMv4 Post by: Super Stock Picker on July 24, 2008, 10:08:27 PM And here are the graphs from the Excel file.
Title: Re: In-depth Stats for UPMv4 Post by: garilou on July 27, 2008, 11:45:39 AM I think it's very interesting indeed!
At first sight, it seems a little bit depressing, until you see the 1 Year Return minimum! Great encouraging work, dhamel, Thanks a lot! Louise |