Creando Metaestartesgas

Metaestrategias

De las dos estrategias que tenemos en el Spy podemos crear metaestrategias como aplicar las dos a la vez, nosotros, intentaremos mejorar esta estrategia básica.

Está basada en apostar por la mejor opción en cada momento.

Performance Metrics

                           Strategy     Benchmark
-------------------------  -----------  -----------
Start Period               2004-01-02   2004-01-02
End Period                 2019-12-18   2019-12-18
Risk-Free Rate             0.0%         0.0%
Time in Market             75.0%        100.0%

Cumulative Return          287,369.89%  1,219.89%
CAGR%                      64.65%       17.53%
Sharpe                     1.4          1.08
Sortino                    2.21         1.64
Max Drawdown               -39.73%      -21.68%
Longest DD Days            348          372
Volatility (ann.)          44.0%        16.9%
R^2                        0.07         0.07
Calmar                     1.63         0.81
Skew                       0.57         0.87
Kurtosis                   8.21         17.83

Expected Daily %           0.21%        0.07%
Expected Monthly %         4.23%        1.35%
Expected Yearly %          64.5%        17.5%
Kelly Criterion            12.06%       11.16%
Risk of Ruin               0.0%         0.0%
Daily Value-at-Risk        -4.31%       -1.68%
Expected Shortfall (cVaR)  -6.46%       -6.46%

Payoff Ratio               1.04         0.99
Profit Factor              1.35         1.23
Common Sense Ratio         1.62         1.23
CPC Index                  0.77         0.68
Tail Ratio                 1.2          1.0
Outlier Win Ratio          4.12         8.6
Outlier Loss Ratio         2.45         7.32

MTD                        8.92%        1.68%
3M                         34.9%        6.2%
6M                         50.81%       9.04%
YTD                        102.86%      26.22%
1Y                         104.59%      27.62%
3Y (ann.)                  78.76%       15.07%
5Y (ann.)                  70.45%       14.63%
10Y (ann.)                 72.56%       16.95%
All-time (ann.)            64.65%       17.53%

Best Day                   30.34%       14.52%
Worst Day                  -16.44%      -8.85%
Best Month                 59.19%       19.67%
Worst Month                -26.79%      -8.21%
Best Year                  234.1%       42.82%
Worst Year                 -21.4%       -1.64%

Avg. Drawdown              -5.69%       -1.65%
Avg. Drawdown Days         23           16
Recovery Factor            7232.64      56.26
Ulcer Index                1.0          1.03

Avg. Up Month              11.32%       2.8%
Avg. Down Month            -10.2%       -3.22%
Win Days %                 55.25%       55.86%
Win Month %                71.26%       74.48%
Win Quarter %              75.81%       81.25%
Win Year %                 87.5%        93.75%

Beta                       0.69         -
Alpha                      0.49         -

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2015-01-23	2015-05-06	2016-01-06	348	-39.732387	-38.729243
2	2011-06-01	2011-11-21	2012-04-12	316	-37.711489	-37.223862
3	2018-09-21	2019-03-08	2019-06-20	272	-37.020333	-34.439366
4	2012-04-30	2012-12-28	2013-03-05	309	-33.479805	-31.835086
5	2018-02-27	2018-05-03	2018-08-24	178	-33.383911	-32.599035

Strategy Visualization