Sistema en el Oro
Sí tenenemos sistema en el Oro, con un sharpe del 1,57
Las características son:
Performance Metrics
Strategy Benchmark ------------------------- --------------- ----------- Start Period 2000-01-03 2000-01-03 End Period 2019-12-17 2019-12-17 Risk-Free Rate 0.0% 0.0% Time in Market 76.0% 100.0% Cumulative Return 239,726,123.03% 204.86% CAGR% 108.69% 5.74% Sharpe 1.57 0.39 Sortino 2.77 0.55 Max Drawdown -53.02% -55.19% Longest DD Days 687 2466 Volatility (ann.) 57.02% 19.01% R^2 0.0 0.0 Calmar 2.05 0.1 Skew 2.56 0.16 Kurtosis 35.51 11.47 Expected Daily % 0.29% 0.02% Expected Monthly % 6.31% 0.47% Expected Yearly % 108.44% 5.73% Kelly Criterion 12.17% 3.01% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -5.55% -1.94% Expected Shortfall (cVaR) -8.29% -8.29% Payoff Ratio 1.11 0.89 Profit Factor 1.44 1.08 Common Sense Ratio 1.9 0.97 CPC Index 0.86 0.52 Tail Ratio 1.32 0.9 Outlier Win Ratio 4.11 9.73 Outlier Loss Ratio 2.79 7.64 MTD 2.79% 1.67% 3M 1.16% 6.63% 6M 24.72% 11.53% YTD 62.91% 29.65% 1Y 86.35% 25.13% 3Y (ann.) 56.68% 14.39% 5Y (ann.) 50.02% 12.25% 10Y (ann.) 75.86% 13.34% All-time (ann.) 108.69% 5.74% Best Day 65.29% 14.52% Worst Day -18.94% -9.84% Best Month 75.66% 10.92% Worst Month -42.73% -16.52% Best Year 287.98% 32.31% Worst Year -8.73% -36.79% Avg. Drawdown -7.47% -2.03% Avg. Drawdown Days 25 40 Recovery Factor 4521027.62 3.71 Ulcer Index inf 1.02 Avg. Up Month 15.07% 3.0% Avg. Down Month -6.54% -3.57% Win Days % 53.75% 54.43% Win Month % 67.7% 62.92% Win Quarter % 81.01% 70.0% Win Year % 90.0% 75.0% Beta -0.09 - Alpha 0.9 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-07-16 | 2008-09-11 | 2008-09-18 | 64 | -56.676573 | -52.021574 |
| 2 | 2011-11-08 | 2011-12-29 | 2012-06-07 | 212 | -49.530348 | -46.268101 |
| 3 | 2014-05-06 | 2014-10-03 | 2016-03-23 | 687 | -43.530454 | -37.971635 |
| 4 | 2013-05-01 | 2013-06-27 | 2013-08-01 | 92 | -37.354661 | -31.144987 |
| 5 | 2016-11-07 | 2016-12-22 | 2017-06-06 | 211 | -33.863839 | -32.911742 |
Strategy Visualization
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