Data Analytics
Dataset Analytics helps you understand the nature and behavior of market data. This tool provides an overview and displays the price percentage changes of assets within the market data.
Market Data: The name of the market data analyzed.
Pair(s): The trading pair(s) included in the analysis.
Timeframe: The timeframe used for the analysis.
Time Range: The period covered in the analysis.
Highlights
This table provides a brief overview of each asset's specifications. Using the information in this table, one can evaluate each asset's performance during the time range of the market data.
Field | Description |
|---|---|
Market Change | The change in the total worth of an asset. |
Sharpe Ratio | A measure of risk-adjusted return, calculated by dividing the excess return of an investment (above the risk-free rate) by its standard deviation, indicating how much excess return an investment generates per unit of risk. |
Sortino Ratio | A measure of risk-adjusted return that focuses solely on downside risk, calculated by dividing the excess return of an investment (above the risk-free rate) by its downside deviation, providing insight into how well an investment performs relative to its downside risk. |
Omega Ratio | A risk-adjusted performance metric that measures the ratio of the probability-weighted average return to the probability-weighted average loss, providing a comprehensive assessment of an investment's performance considering both returns and downside risk. |
Calmar Ratio | A risk-adjusted performance measure calculated by dividing the compounded annual rate of return by the maximum drawdown, providing insight into an investment's return relative to its largest historical loss. |
Tail Ratio | A risk metric that measures the ratio of the average return of the upper tail (extreme positive returns) to the average return of the lower tail (extreme negative returns), providing insight into the asymmetry of returns and the likelihood of extreme events in a portfolio. |
Stability | Refers to the consistent performance of a financial instrument, strategy, or market condition over time, indicating a lack of significant fluctuations or volatility. (The maximum possible value of stability is 1.) |
Annual Volatility | A measure of the degree of variation of returns for a financial instrument or portfolio over a one-year period, indicating the extent of price fluctuations or market risk within that timeframe. |
Maximum Drawdown | The largest peak-to-trough decline in the value of a portfolio or investment, measuring the worst loss experienced before a new peak is reached and providing insight into the risk of significant losses an investment may face. |
Skew | A measure of the asymmetry of the probability distribution of returns for a financial asset. Positive skew indicates a longer right tail (more frequent small losses and fewer large gains), while negative skew indicates the opposite. |
Kurtosis | A measure of the "tailedness" of the return distribution, indicating whether returns have extreme deviations from the mean. High kurtosis suggests more frequent extreme returns (both gains and losses). |
Daily Value at Risk | A risk measure used to estimate the maximum potential loss in value of a portfolio or investment over a specified time horizon with a given confidence level (e.g., 95%) within a single trading day. |
Annual Return | The percentage increase or decrease in the value of an investment over a one-year period, indicating the performance of the investment on an annual basis. |
Price Change Graph
The Price Change Graph illustrates the percentage change of assets over time. At the start of the time period, the price of all assets is normalized to 100, and the values on the Y-axis represent percentage changes.