Sistema en el Spy 02
Buen mes de Diciembre para nuestro Spy.
Casi recuperamos el drawdown
Performance Metrics
Strategy Benchmark ------------------------- -------------- ----------- Start Period 2000-01-04 2000-01-04 End Period 2019-12-18 2019-12-18 Risk-Free Rate 0.0% 0.0% Time in Market 70.0% 100.0% Cumulative Return 24,481,768.26% 218.09% CAGR% 86.16% 5.97% Sharpe 1.6 0.4 Sortino 2.63 0.57 Max Drawdown -41.27% -55.19% Longest DD Days 453 2404 Volatility (ann.) 45.13% 18.98% R^2 0.06 0.06 Calmar 2.09 0.11 Skew 0.78 0.16 Kurtosis 7.85 11.5 Expected Daily % 0.25% 0.02% Expected Monthly % 5.31% 0.48% Expected Yearly % 85.97% 5.96% Kelly Criterion 13.53% 9.66% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.39% -1.94% Expected Shortfall (cVaR) -6.61% -6.61% Payoff Ratio 1.07 1.02 Profit Factor 1.43 1.08 Common Sense Ratio 1.82 0.97 CPC Index 0.84 0.6 Tail Ratio 1.27 0.9 Outlier Win Ratio 4.58 8.47 Outlier Loss Ratio 2.53 6.47 MTD 9.16% 1.68% 3M 34.18% 6.96% 6M 34.18% 11.49% YTD 46.58% 29.66% 1Y 47.83% 27.64% 3Y (ann.) 64.59% 14.38% 5Y (ann.) 78.07% 11.82% 10Y (ann.) 93.05% 13.48% All-time (ann.) 86.16% 5.97% Best Day 24.41% 14.52% Worst Day -16.44% -9.84% Best Month 79.24% 10.92% Worst Month -26.79% -16.52% Best Year 441.23% 32.31% Worst Year -7.8% -36.79% Avg. Drawdown -5.51% -1.97% Avg. Drawdown Days 20 38 Recovery Factor 593257.9 3.95 Ulcer Index 1.0 1.02 Avg. Up Month 11.97% 3.05% Avg. Down Month -9.12% -3.25% Win Days % 55.3% 54.49% Win Month % 73.81% 63.33% Win Quarter % 79.22% 70.0% Win Year % 90.0% 75.0% Beta 0.57 - Alpha 0.68 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-09-19 | 2011-11-25 | 2012-01-18 | 121 | -41.266653 | -40.472691 |
| 2 | 2018-09-21 | 2019-03-08 | 2019-12-18 | 453 | -37.020333 | -33.808526 |
| 3 | 2008-02-27 | 2008-07-28 | 2009-03-12 | 379 | -36.603320 | -34.225263 |
| 4 | 2002-02-20 | 2002-04-18 | 2002-07-29 | 159 | -35.047075 | -34.954721 |
| 5 | 2011-06-01 | 2011-06-24 | 2011-08-09 | 69 | -33.395539 | -30.816299 |
Strategy Visualization
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