Comparativa de los sistemas de SPY
He podido ver que la nueva librería nos permite hacer comparaciones entre 2 de nuestros sistemasEstos son los resultados para el SPY
Strsategy corresponde con el 02 y Benchmark con el 01
Performance Metrics
Strategy Benchmark ------------------------- -------------- -------------- Start Period 2000-10-18 2000-10-18 End Period 2019-12-18 2019-12-18 Risk-Free Rate 0.0% 0.0% Time in Market 71.0% 75.0% Cumulative Return 26,015,825.98% 14,624,873.47% CAGR% 91.59% 85.92% Sharpe 1.71 1.65 Sortino 2.83 2.68 Max Drawdown -37.02% -59.59% Longest DD Days 453 327 Volatility (ann.) 45.86% 45.54% R^2 0.54 0.54 Calmar 2.47 1.44 Skew 0.95 0.69 Kurtosis 9.44 7.98 Expected Daily % 0.27% 0.26% Expected Monthly % 5.55% 5.28% Expected Yearly % 86.54% 81.24% Kelly Criterion 18.07% 17.99% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.44% -4.42% Expected Shortfall (cVaR) -6.74% -6.74% Payoff Ratio 1.18 1.18 Profit Factor 1.46 1.43 Common Sense Ratio 1.87 1.79 CPC Index 0.96 0.94 Tail Ratio 1.28 1.25 Outlier Win Ratio 6.56 6.38 Outlier Loss Ratio 3.54 3.63 MTD 9.16% 8.92% 3M 34.18% 34.9% 6M 34.18% 50.81% YTD 46.58% 98.01% 1Y 47.83% 98.01% 3Y (ann.) 64.59% 79.22% 5Y (ann.) 78.07% 76.89% 10Y (ann.) 93.05% 83.67% All-time (ann.) 91.59% 85.92% Best Day 30.34% 24.41% Worst Day -15.8% -16.44% Best Month 79.24% 46.11% Worst Month -26.79% -41.18% Best Year 441.23% 442.95% Worst Year -7.8% -12.1% Avg. Drawdown -5.43% -5.27% Avg. Drawdown Days 19 19 Recovery Factor 702744.24 245408.14 Ulcer Index 0.99 1.0 Avg. Up Month 12.96% 12.93% Avg. Down Month -9.83% -9.84% Win Days % 55.73% 55.62% Win Month % 75.49% 73.46% Win Quarter % 81.08% 80.0% Win Year % 95.0% 90.0% Beta 0.74 - Alpha 0.23 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2018-09-21 | 2019-03-08 | 2019-12-18 | 453 | -37.020333 | -33.808526 |
| 2 | 2008-02-27 | 2008-05-06 | 2009-03-12 | 379 | -35.875915 | -33.882877 |
| 3 | 2011-09-19 | 2011-11-01 | 2012-01-18 | 121 | -35.068385 | -34.972124 |
| 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
findfont: Font family ['Arial'] not found. Falling back to DejaVu Sans.
0 Comentarios