Hola a tod@s !!
Sí tenemos un segundo modelo sobre el petróleo.
Performance Metrics
Strategy Benchmark ------------------------- -------------- ----------- Start Period 2005-01-31 2005-01-31 End Period 2019-12-09 2019-12-09 Risk-Free Rate 0.0% 0.0% Time in Market 40.0% 99.0% Cumulative Return 88,716,558.36% -68.05% CAGR% 151.3% -7.39% Sharpe 1.59 0.19 Sortino 2.98 0.29 Max Drawdown -62.92% -97.06% Longest DD Days 499 4191 Volatility (ann.) 74.3% 63.47% R^2 0.02 0.02 Calmar 2.4 -0.08 Skew 2.42 0.41 Kurtosis 23.77 4.19 Expected Daily % 0.37% -0.03% Expected Monthly % 7.91% -0.63% Expected Yearly % 149.19% -7.33% Kelly Criterion 18.79% 1.2% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -7.23% -6.53% Expected Shortfall (cVaR) -11.55% -11.55% Payoff Ratio 1.27 1.04 Profit Factor 1.62 1.04 Common Sense Ratio 2.5 1.09 CPC Index 1.12 0.54 Tail Ratio 1.54 1.06 Outlier Win Ratio 10.22 5.38 Outlier Loss Ratio 2.75 4.11 MTD 12.08% 4.44% 3M 32.25% 2.05% 6M 34.43% 3.23% YTD 124.39% 8.5% 1Y 124.39% -23.2% 3Y (ann.) 53.67% 32.08% 5Y (ann.) 114.11% -5.14% 10Y (ann.) 119.27% -5.95% All-time (ann.) 151.3% -7.39% Best Day 60.79% 28.63% Worst Day -26.51% -18.58% Best Month 202.86% 63.91% Worst Month -34.8% -38.4% Best Year 681.13% 62.27% Worst Year 1.41% -68.53% Avg. Drawdown -10.64% -9.92% Avg. Drawdown Days 31 191 Recovery Factor 1409881.47 -0.7 Ulcer Index 0.99 1.02 Avg. Up Month 23.62% 15.53% Avg. Down Month -9.34% -12.1% Win Days % 54.52% 49.52% Win Month % 68.22% 48.88% Win Quarter % 77.59% 53.33% Win Year % 100.0% 60.0% Beta 0.16 - Alpha 1.16 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2017-04-12 | 2017-07-07 | 2018-08-24 | 499 | -62.764487 | -57.167240 |
| 2 | 2016-03-22 | 2016-04-04 | 2016-09-21 | 183 | -49.306165 | -48.410416 |
| 3 | 2004-11-30 | 2005-11-03 | 2006-03-16 | 471 | -46.046765 | -38.737043 |
| 4 | 2008-01-03 | 2008-02-06 | 2008-02-28 | 56 | -44.349435 | -43.356526 |
| 5 | 2001-01-22 | 2001-01-31 | 2001-04-10 | 78 | -42.628434 | -38.596104 |
Strategy Visualization
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