Revertiando la media

Reversión a la media

Una de las estrategias mas seguras es la reversión a la media. Es cierto, contra mas seguridad menos rendimiento, pero si podemos aceptar que nuestro sistema se va a comportar medianamente en el futuro, es una buena opción.

aquí teneis un buen artículo donde se os explica, esto de la

REVERSION A LA MEDIA

lo que he hecho, ha sido convertir una de nuestras estrategias en el SPY a una estrategia de reversión a la media. El efecto es una drástica reducción del tiempo en el mercado y del máximo drawdown, la rentabilidad se ve afectada pero no tanto.

Espero os guste

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             16.0%       77.0%

Cumulative Return          824.42%     419,187.93%
CAGR%                      14.94%      68.59%
Sharpe                     0.78        1.45
Sortino                    1.29        2.28
Max Drawdown               -35.02%     -59.59%
Longest DD Days            464         327
Volatility (ann.)          21.75%      44.47%
R^2                        0.16        0.16
Calmar                     0.43        1.15
Skew                       1.93        0.4
Kurtosis                   30.14       6.44

Expected Daily %           0.06%       0.22%
Expected Monthly %         1.17%       4.44%
Expected Yearly %          14.91%      68.43%
Kelly Criterion            17.95%      17.1%
Risk of Ruin               0.0%        0.0%
Daily Value-at-Risk        -2.19%      -4.35%
Expected Shortfall (cVaR)  -4.44%      -4.44%

Payoff Ratio               1.23        1.17
Profit Factor              1.43        1.36
Common Sense Ratio         3.0         1.65
CPC Index                  0.96        0.88
Tail Ratio                 2.1         1.21
Outlier Win Ratio          29.6        4.84
Outlier Loss Ratio         2.69        2.95

MTD                        9.34%       8.92%
3M                         9.34%       34.9%
6M                         16.37%      50.81%
YTD                        16.37%      98.01%
1Y                         16.37%      98.01%
3Y (ann.)                  10.98%      79.22%
5Y (ann.)                  13.56%      76.89%
10Y (ann.)                 14.99%      83.67%
All-time (ann.)            14.94%      68.59%

Best Day                   15.97%      23.65%
Worst Day                  -11.18%     -16.44%
Best Month                 22.76%      46.11%
Worst Month                -24.12%     -41.18%
Best Year                  77.98%      218.41%
Worst Year                 -17.06%     -12.1%

Avg. Drawdown              -8.0%       -5.52%
Avg. Drawdown Days         61          21
Recovery Factor            23.54       7034.05
Ulcer Index                inf         1.0

Avg. Up Month              8.24%       13.99%
Avg. Down Month            -8.05%      -11.66%
Win Days %                 54.7%       55.26%
Win Month %                66.22%      70.86%
Win Quarter %              75.56%      75.81%
Win Year %                 87.5%       87.5%

Beta                       0.2         -
Alpha                      0.04        -

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2012-10-05	2012-12-28	2013-06-26	264	-35.017036	-33.410325
2	2018-03-12	2018-05-03	2019-06-19	464	-32.908518	-30.436215
3	2014-10-09	2014-10-15	2014-12-17	69	-22.963224	-22.940884
4	2005-01-19	2005-03-07	2005-05-26	127	-20.691044	-19.649170
5	2015-11-04	2015-11-13	2016-04-13	161	-18.845504	-14.168032

Strategy Visualization