PGP

Predictability

Portmanteau

Crossing

Return in investment period (%, Ann)

11.9

9.9

3.1

4.3

Risk in investment period (%, Ann)

6.9

8.9

4.5

4.8

Return/risk in investment period

1.73

1.11

0.70

0.90

Winning percentage of the strategy (%)

59.8

57.3

50.6

54.8

Maximum drawdown of the strategy (%)

−2.5

−4.4

−1.7

−2.0

Proportion of the investment period (%)

28.0

24.5

30.0

27.7

Average investment period (weeks)

1.9

1.8

2.4

2.1