Sistema en el Spy 01
Es el que últimamente mejor se está comportando en todos los sentidos.Aquí los resultados
Performance Metrics
Strategy Benchmark ------------------------- -------------- ----------- Start Period 2000-10-16 2000-10-16 End Period 2019-12-18 2019-12-18 Risk-Free Rate 0.0% 0.0% Time in Market 75.0% 100.0% Cumulative Return 14,624,873.47% 1,041.98% CAGR% 85.89% 13.54% Sharpe 1.65 0.83 Sortino 2.68 1.24 Max Drawdown -59.59% -37.92% Longest DD Days 327 1836 Volatility (ann.) 45.53% 17.87% R^2 0.05 0.05 Calmar 1.44 0.36 Skew 0.69 0.65 Kurtosis 7.98 12.45 Expected Daily % 0.26% 0.05% Expected Monthly % 5.28% 1.06% Expected Yearly % 81.24% 12.95% Kelly Criterion 15.25% 11.78% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.42% -1.79% Expected Shortfall (cVaR) -6.67% -6.67% Payoff Ratio 1.1 1.04 Profit Factor 1.43 1.17 Common Sense Ratio 1.79 1.11 CPC Index 0.88 0.67 Tail Ratio 1.25 0.95 Outlier Win Ratio 4.29 8.62 Outlier Loss Ratio 2.52 6.79 MTD 8.92% 1.68% 3M 34.9% 6.2% 6M 50.81% 9.04% YTD 98.01% 26.22% 1Y 98.01% 27.62% 3Y (ann.) 79.22% 15.07% 5Y (ann.) 76.89% 14.63% 10Y (ann.) 83.67% 16.95% All-time (ann.) 85.89% 13.54% Best Day 24.41% 14.52% Worst Day -16.44% -8.85% Best Month 46.11% 19.67% Worst Month -41.18% -10.47% Best Year 442.95% 42.82% Worst Year -12.1% -22.23% Avg. Drawdown -5.27% -1.79% Avg. Drawdown Days 19 21 Recovery Factor 245408.14 27.48 Ulcer Index 1.0 1.01 Avg. Up Month 12.33% 2.81% Avg. Down Month -9.33% -2.92% Win Days % 55.62% 55.12% Win Month % 73.46% 70.13% Win Quarter % 80.0% 75.32% Win Year % 90.0% 80.0% Beta 0.56 - Alpha 0.67 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-06-01 | 2011-09-30 | 2012-02-08 | 252 | -59.594085 | -55.818580 |
| 2 | 2015-01-23 | 2015-09-28 | 2015-12-03 | 314 | -49.340152 | -43.369647 |
| 3 | 2005-10-21 | 2006-05-05 | 2006-09-13 | 327 | -38.890858 | -38.216337 |
| 4 | 2018-02-27 | 2018-05-03 | 2018-08-29 | 183 | -35.208999 | -34.474781 |
| 5 | 2007-08-29 | 2007-10-31 | 2008-01-22 | 146 | -32.326840 | -29.978940 |
Strategy Visualization
findfont: Font family ['Arial'] not found. Falling back to DejaVu Sans.
0 Comentarios