Hola a tod@s !!!
Este es el sistema que lleva mas tiempo conmigo y del que mas he aprendido.
Es un sistema forex y lo podeis seguir en la web de darwinex.
Espero que os guste
Performance Metrics
Strategy Benchmark ------------------------- ------------------ ----------- Start Period 2001-02-26 2001-02-26 End Period 2019-12-03 2019-12-03 Risk-Free Rate 0.0% 0.0% Time in Market 92.0% 100.0% Cumulative Return 26,083,493,124.16% 248.86% CAGR% 180.67% 6.88% Sharpe 1.66 0.45 Sortino 2.64 0.64 Max Drawdown -70.62% -55.19% Longest DD Days 351 1772 Volatility (ann.) 83.62% 18.68% R^2 0.01 0.01 Calmar 2.56 0.12 Skew 0.42 0.14 Kurtosis 8.38 12.75 Expected Daily % 0.41% 0.03% Expected Monthly % 8.91% 0.55% Expected Yearly % 177.31% 6.8% Kelly Criterion 10.07% 5.13% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -8.12% -1.9% Expected Shortfall (cVaR) -12.6% -12.6% Payoff Ratio 1.03 0.91 Profit Factor 1.39 1.09 Common Sense Ratio 1.8 0.99 CPC Index 0.78 0.54 Tail Ratio 1.29 0.91 Outlier Win Ratio 3.04 13.87 Outlier Loss Ratio 2.56 10.45 MTD 1.11% -1.51% 3M 11.86% 6.33% 6M 61.08% 13.52% YTD 129.48% 25.59% 1Y 133.56% 14.53% 3Y (ann.) 119.48% 13.67% 5Y (ann.) 171.15% 10.16% 10Y (ann.) 190.51% 12.82% All-time (ann.) 180.67% 6.88% Best Day 50.04% 14.52% Worst Day -44.84% -9.84% Best Month 177.03% 10.92% Worst Month -53.85% -16.52% Best Year 770.95% 32.31% Worst Year -25.31% -36.79% Avg. Drawdown -9.47% -1.92% Avg. Drawdown Days 20 33 Recovery Factor 369329627.75 4.51 Ulcer Index inf 1.01 Avg. Up Month 21.81% 2.93% Avg. Down Month -13.61% -4.2% Win Days % 54.31% 54.79% Win Month % 67.4% 64.76% Win Quarter % 81.58% 72.37% Win Year % 94.74% 78.95% Beta 0.38 - Alpha 1.35 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-09-23 | 2008-10-27 | 2009-01-08 | 107 | -70.623885 | -64.085290 |
| 2 | 2009-01-09 | 2009-03-09 | 2009-05-20 | 131 | -64.674293 | -62.673593 |
| 3 | 2005-08-18 | 2005-11-14 | 2006-08-04 | 351 | -59.488294 | -57.709841 |
| 4 | 2011-06-14 | 2011-12-14 | 2012-05-17 | 338 | -59.406071 | -56.487668 |
| 5 | 2015-07-09 | 2016-02-29 | 2016-06-24 | 351 | -53.707488 | -48.255896 |
Strategy Visualization
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