| 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 |