Picture of summary screen attached and these are the monthly max drawdown numbers from the analysis screen of the pictured results.
Jan | -2925 |
Feb | -8350 |
March | -3890 |
Apr | -6630 |
May | -3440 |
June | -4695 |
July | -8225 |
Aug | -3925 |
Sept | -7300 |
Oct | -8980 |
Nov | -4295 |
Dec | -8760 |
STDEV of MaxDrawDown: 2304.27
Avg Monthly Return: 7502.50
Sortino Monthly: 7502.50 / 2304.27 = 3.26
Sortino Annualized: 3.26 * SQRT(12) = 11.28
Thanks,
Nick
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