Seguimiento de Sistema Forex
Ha sido una mala semana y nuestro mes ha pasado del positivo al negativo. El motivo ha sido las elecciones inglesas y su repercusión en el eurjpy y gbpusd.
Los datos del sistema total son:
Performance Metrics
Strategy Benchmark
------------------------- ------------------ -----------
Start Period 2001-02-28 2001-02-28
End Period 2019-12-23 2019-12-23
Risk-Free Rate 0.0% 0.0%
Time in Market 92.0% 100.0%
Cumulative Return 22,935,099,521.66% 259.55%
CAGR% 178.01% 7.03%
Sharpe 1.64 0.46
Sortino 2.62 0.65
Max Drawdown -70.62% -55.19%
Longest DD Days 351 1772
Volatility (ann.) 83.6% 18.65%
R^2 0.01 0.01
Calmar 2.52 0.13
Skew 0.42 0.14
Kurtosis 8.37 12.8
Expected Daily % 0.41% 0.03%
Expected Monthly % 8.85% 0.57%
Expected Yearly % 175.44% 6.97%
Kelly Criterion 9.99% 5.24%
Risk of Ruin 0.0% 0.0%
Daily Value-at-Risk -8.12% -1.9%
Expected Shortfall (cVaR) -12.6% -12.6%
Payoff Ratio 1.03 0.91
Profit Factor 1.39 1.09
Common Sense Ratio 1.79 0.99
CPC Index 0.78 0.54
Tail Ratio 1.29 0.91
Outlier Win Ratio 3.05 13.92
Outlier Loss Ratio 2.55 10.43
MTD -12.69% 2.7%
3M -16.52% 8.22%
6M 29.28% 10.3%
YTD 98.16% 30.96%
1Y 97.29% 35.98%
3Y (ann.) 104.01% 14.04%
5Y (ann.) 162.26% 10.92%
10Y (ann.) 185.75% 13.18%
All-time (ann.) 178.01% 7.03%
Best Day 50.04% 14.52%
Worst Day -44.84% -9.84%
Best Month 177.03% 10.92%
Worst Month -53.85% -16.52%
Best Year 770.95% 32.31%
Worst Year -25.31% -36.8%
Avg. Drawdown -9.52% -1.92%
Avg. Drawdown Days 20 32
Recovery Factor 324749899.43 4.7
Ulcer Index 1.0 1.02
Avg. Up Month 21.4% 2.96%
Avg. Down Month -14.02% -4.31%
Win Days % 54.37% 54.88%
Win Month % 67.26% 65.04%
Win Quarter % 81.58% 72.37%
Win Year % 94.74% 78.95%
Beta 0.38 -
Alpha 1.34 -
5 Worst Drawdowns
Strategy Visualization
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