Sistema nº 1 sobre el spy
Aquí tenemos los datos referidos a nuestro primer sistema
Performance Metrics
Strategy Benchmark ------------------------- -------------- ----------- Start Period 2000-10-16 2000-10-16 End Period 2019-12-02 2019-12-02 Risk-Free Rate 0.0% 0.0% Time in Market 75.0% 100.0% Cumulative Return 12,937,322.75% 1,013.57% CAGR% 84.96% 13.42% Sharpe 1.63 0.82 Sortino 2.64 1.23 Max Drawdown -59.59% -37.92% Longest DD Days 334 1836 Volatility (ann.) 45.67% 17.89% R^2 0.04 0.04 Calmar 1.43 0.35 Skew 0.66 0.65 Kurtosis 7.96 12.43 Expected Daily % 0.26% 0.05% Expected Monthly % 5.23% 1.05% Expected Yearly % 80.13% 12.81% Kelly Criterion 15.26% 11.82% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.44% -1.8% Expected Shortfall (cVaR) -6.71% -6.71% Payoff Ratio 1.09 1.04 Profit Factor 1.43 1.17 Common Sense Ratio 1.79 1.11 CPC Index 0.87 0.67 Tail Ratio 1.25 0.95 Outlier Win Ratio 4.29 8.59 Outlier Loss Ratio 2.52 6.84 MTD -3.82% -0.85% 3M 19.11% 5.53% 6M 70.26% 11.77% YTD 75.53% 23.08% 1Y 72.4% 15.29% 3Y (ann.) 81.2% 15.26% 5Y (ann.) 79.17% 13.98% 10Y (ann.) 81.69% 16.54% All-time (ann.) 84.96% 13.42% 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 -5.34% -1.79% Avg. Drawdown Days 19 21 Recovery Factor 217090.72 26.73 Ulcer Index 1.0 1.01 Avg. Up Month 12.72% 2.85% Avg. Down Month -9.12% -2.83% Win Days % 55.76% 55.07% Win Month % 71.56% 69.7% Win Quarter % 80.0% 75.32% Win Year % 95.0% 80.0% Beta 0.54 - Alpha 0.67 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-06-01 | 2011-09-30 | 2012-02-07 | 251 | -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 | 2006-09-20 | 334 | -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
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