analisis sistema 02 en el spy

Sistema nº 2 sobre el spy

Aquí tenemos los datos referidos a nuestro segundo sistema

 

 Performance Metrics

                           Strategy        Benchmark
-------------------------  --------------  -----------
Start Period               2000-01-04      2000-01-04
End Period                 2019-12-02      2019-12-02
Risk-Free Rate             0.0%            0.0%
Time in Market             70.0%           100.0%

Cumulative Return          21,575,781.71%  210.18%
CAGR%                      85.24%          5.85%
Sharpe                     1.59            0.39
Sortino                    2.61            0.56
Max Drawdown               -41.27%         -55.19%
Longest DD Days            437             2404
Volatility (ann.)          45.14%          19.0%
R^2                        0.06            0.06
Calmar                     2.07            0.11
Skew                       0.79            0.16
Kurtosis                   7.86            11.47

Expected Daily %           0.25%           0.02%
Expected Monthly %         5.25%           0.47%
Expected Yearly %          84.8%           5.82%
Kelly Criterion            13.42%          9.61%
Risk of Ruin               0.0%            0.0%
Daily Value-at-Risk        -4.39%          -1.94%
Expected Shortfall (cVaR)  -6.62%          -6.62%

Payoff Ratio               1.07            1.02
Profit Factor              1.42            1.08
Common Sense Ratio         1.82            0.97
CPC Index                  0.84            0.6
Tail Ratio                 1.27            0.9
Outlier Win Ratio          4.59            8.46
Outlier Loss Ratio         2.53            6.47

MTD                        -3.8%           -0.85%
3M                         18.25%          7.05%
6M                         28.1%           14.29%
YTD                        29.18%          26.44%
1Y                         27.96%          15.3%
3Y (ann.)                  65.9%           14.57%
5Y (ann.)                  75.24%          10.83%
10Y (ann.)                 90.63%          13.08%
All-time (ann.)            85.24%          5.85%

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            522838.18       3.81
Ulcer Index                1.0             1.02

Avg. Up Month              11.99%          3.06%
Avg. Down Month            -8.94%          -3.17%
Win Days %                 55.23%          54.44%
Win Month %                73.33%          62.92%
Win Quarter %              79.22%          70.0%
Win Year %                 90.0%           75.0%

Beta                       0.56            -
Alpha                      0.68            -

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	2019-12-02	437	-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