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Bach Stats .pdf


Original filename: Bach Stats.pdf
Title: Book1
Author: ii

This PDF 1.7 document has been generated by / Microsoft: Print To PDF, and has been sent on pdf-archive.com on 15/06/2016 at 01:51, from IP address 76.170.x.x. The current document download page has been viewed 153 times.
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Portfolio
Timing Portfolio
S&P 500 Total Return

Initial
Balance
$10,000
$10,000

Final
Balance
$70,143
$21,540

BACH: 31 trades since January 2010
CAGR
42.50%
12.70%

Std.Dev. Best Year
26.29%
12.99%

90.48%
32.39%

Worst
Year

-8.02%
1.38%

Max.
Drawdow
n
-13.87%
-16.26%

Sharpe
Ratio
1.38
0.98

Sortino
Ratio
3.17
1.7

US Mkt
Correlation
-0.03
1


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