Hola a tod@s !!
Hoy vemos los sistemas que tenemos en el Nasdaq.
Espero que os gusten
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 73.0% 100.0% Cumulative Return 3,715,669.92% 1,716.71% CAGR% 73.25% 16.35% Sharpe 1.43 0.77 Sortino 2.23 1.15 Max Drawdown -50.47% -52.48% Longest DD Days 394 1346 Volatility (ann.) 49.19% 24.61% R^2 0.2 0.2 Calmar 1.45 0.31 Skew 0.2 0.58 Kurtosis 12.03 9.16 Expected Daily % 0.23% 0.06% Expected Monthly % 4.66% 1.26% Expected Yearly % 69.24% 15.6% Kelly Criterion 13.41% 7.98% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.82% -2.47% Expected Shortfall (cVaR) -7.81% -7.81% Payoff Ratio 1.03 0.96 Profit Factor 1.39 1.16 Common Sense Ratio 1.71 1.09 CPC Index 0.8 0.61 Tail Ratio 1.22 0.94 Outlier Win Ratio 5.33 7.78 Outlier Loss Ratio 3.05 6.4 MTD -0.87% -1.11% 3M -10.65% 7.67% 6M 10.09% 13.68% YTD 45.76% 28.19% 1Y 44.54% 19.67% 3Y (ann.) 48.47% 22.83% 5Y (ann.) 47.46% 17.7% 10Y (ann.) 46.52% 19.41% All-time (ann.) 73.25% 16.35% Best Day 26.48% 16.83% Worst Day -35.01% -8.49% Best Month 61.7% 32.63% Worst Month -43.11% -26.22% Best Year 801.95% 54.51% Worst Year -20.71% -24.43% Avg. Drawdown -5.38% -2.51% Avg. Drawdown Days 21 23 Recovery Factor 73617.37 32.71 Ulcer Index inf 1.0 Avg. Up Month 13.5% 4.74% Avg. Down Month -9.54% -3.98% Win Days % 56.11% 54.83% Win Month % 70.64% 63.2% Win Quarter % 77.92% 76.62% Win Year % 85.0% 90.0% Beta 0.9 - Alpha 0.53 -
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2002-01-18 | 2002-08-05 | 2003-01-06 | 353 | -50.472737 | -48.751615 |
| 2 | 2011-05-11 | 2011-11-25 | 2012-04-12 | 337 | -47.251719 | -42.344040 |
| 3 | 2015-08-06 | 2015-08-25 | 2015-12-04 | 120 | -41.835467 | -38.859094 |
| 4 | 2008-08-15 | 2008-12-04 | 2009-04-13 | 241 | -37.038318 | -34.013470 |
| 5 | 2004-03-03 | 2004-08-12 | 2004-12-01 | 273 | -36.185840 | -34.905476 |
Strategy Visualization
0 Comentarios