Sistemas en el Nadaq
Buenas a tod@s, os adjunto los resultados de nuestro segundo sistema en el Nasdaq.En esta ocasión es el que tenemos en Darwinex
Performance Metrics
Strategy Benchmark ------------------------- ------------- ----------- Start Period 2000-10-16 2000-10-16 End Period 2019-12-05 2019-12-05 Risk-Free Rate 0.0% 0.0% Time in Market 72.0% 100.0% Cumulative Return 3,213,727.97% 1,716.71% CAGR% 71.94% 16.35% Sharpe 1.43 0.77 Sortino 2.22 1.15 Max Drawdown -52.05% -52.48% Longest DD Days 567 1346 Volatility (ann.) 48.61% 24.61% R^2 0.2 0.2 Calmar 1.38 0.31 Skew 0.2 0.58 Kurtosis 12.54 9.16 Expected Daily % 0.23% 0.06% Expected Monthly % 4.59% 1.26% Expected Yearly % 68.02% 15.6% Kelly Criterion 13.64% 8.04% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.76% -2.47% Expected Shortfall (cVaR) -7.72% -7.72% Payoff Ratio 1.03 0.97 Profit Factor 1.39 1.16 Common Sense Ratio 1.63 1.09 CPC Index 0.81 0.61 Tail Ratio 1.17 0.94 Outlier Win Ratio 5.34 7.65 Outlier Loss Ratio 3.01 6.31 MTD -3.62% -1.11% 3M -11.42% 7.67% 6M 5.68% 13.68% YTD 38.08% 28.19% 1Y 36.92% 19.67% 3Y (ann.) 47.3% 22.83% 5Y (ann.) 37.15% 17.7% 10Y (ann.) 40.7% 19.41% All-time (ann.) 71.94% 16.35% Best Day 26.48% 16.83% Worst Day -35.01% -8.49% Best Month 64.17% 32.63% Worst Month -34.5% -26.22% Best Year 993.59% 54.51% Worst Year -27.56% -24.43% Avg. Drawdown -5.28% -2.51% Avg. Drawdown Days 22 23 Recovery Factor 61740.46 32.71 Ulcer Index inf 1.0 Avg. Up Month 14.06% 4.75% Avg. Down Month -9.13% -3.74% Win Days % 56.11% 54.83% Win Month % 67.89% 63.2% Win Quarter % 74.03% 76.62% Win Year % 85.0% 90.0% Beta 0.89 - Alpha 0.52 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-03-04 | 2011-11-25 | 2012-06-29 | 483 | -52.052220 | -47.197288 |
| 2 | 2015-06-24 | 2015-09-28 | 2017-01-11 | 567 | -45.346549 | -40.604163 |
| 3 | 2002-01-18 | 2002-08-05 | 2002-12-04 | 320 | -41.816930 | -39.795011 |
| 4 | 2010-04-27 | 2010-05-07 | 2010-10-18 | 174 | -37.507103 | -31.942955 |
| 5 | 2008-06-02 | 2008-12-04 | 2009-04-03 | 305 | -35.027142 | -32.033616 |
Strategy Visualization
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