Optamos por el mejor sistema ?

Obteniendo una mejor Previsión

Ya que tenemos cuatro sistemas podemos combinarlos para obtener la mejor versión de todos ellos.

Buscamos que se reduzca los drawdown de alguna manera y que se mantenga elevados los ratios sharpe.

Al final hemos encontrado e siguiente:

Performance Metrics

                           Strategy
-------------------------  -------------
Start Period               2004-01-02
End Period                 2019-12-18
Risk-Free Rate             0.0%
Time in Market             73.0%

Cumulative Return          2,105,615.11%
CAGR%                      86.52%
Sharpe                     1.64
Sortino                    2.67
Max Drawdown               -39.46%
Longest DD Days            300
Volatility (ann.)          48.41%
Calmar                     2.19
Skew                       1.02
Kurtosis                   11.72

Expected Daily %           0.27%
Expected Monthly %         5.32%
Expected Yearly %          86.3%
Kelly Criterion            17.29%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.7%
Expected Shortfall (cVaR)  -4.7%

Payoff Ratio               1.08
Profit Factor              1.44
Common Sense Ratio         1.67
CPC Index                  0.89
Tail Ratio                 1.17
Outlier Win Ratio          6.49
Outlier Loss Ratio         3.56

MTD                        9.72%
3M                         40.57%
6M                         45.5%
YTD                        77.09%
1Y                         77.09%
3Y (ann.)                  86.99%
5Y (ann.)                  87.56%
10Y (ann.)                 70.15%
All-time (ann.)            86.52%

Best Day                   35.16%
Worst Day                  -15.21%
Best Month                 53.44%
Worst Month                -22.82%
Best Year                  648.37%
Worst Year                 10.52%

Avg. Drawdown              -6.29%
Avg. Drawdown Days         23
Recovery Factor            53360.95
Ulcer Index                1.0

Avg. Up Month              13.53%
Avg. Down Month            -7.25%
Win Days %                 57.03%
Win Month %                64.89%
Win Quarter %              68.75%
Win Year %                 100.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2010-05-27	2010-09-23	2010-12-14	201	-39.459851	-39.339516
2	2014-03-06	2014-05-15	2014-12-31	300	-39.178948	-37.088174
3	2011-05-11	2011-08-03	2012-01-19	253	-34.036446	-29.097080
4	2012-03-23	2012-06-13	2012-08-16	146	-33.629100	-32.369437
5	2004-02-18	2004-04-29	2004-07-16	149	-31.603488	-31.337489

Strategy Visualization