Sistema n2 del Oro
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Performance Metrics
Strategy Benchmark
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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 78.0% 100.0%
Cumulative Return 1,981,956,916.34% 204.86%
CAGR% 131.98% 5.74%
Sharpe 1.83 0.39
Sortino 3.27 0.55
Max Drawdown -49.0% -55.19%
Longest DD Days 869 2466
Volatility (ann.) 54.25% 19.01%
R^2 0.0 0.0
Calmar 2.69 0.1
Skew 1.71 0.16
Kurtosis 13.77 11.47
Expected Daily % 0.34% 0.02%
Expected Monthly % 7.25% 0.47%
Expected Yearly % 131.66% 5.73%
Kelly Criterion 15.48% 3.48%
Risk of Ruin 0.0% 0.0%
Daily Value-at-Risk -5.23% -1.94%
Expected Shortfall (cVaR) -7.57% -7.57%
Payoff Ratio 1.17 0.89
Profit Factor 1.51 1.08
Common Sense Ratio 2.0 0.97
CPC Index 0.96 0.52
Tail Ratio 1.32 0.9
Outlier Win Ratio 4.22 10.02
Outlier Loss Ratio 2.65 6.82
MTD 2.79% 1.67%
3M 2.42% 6.63%
6M 45.82% 11.53%
YTD 47.01% 29.65%
1Y 74.18% 25.13%
3Y (ann.) 56.68% 14.39%
5Y (ann.) 46.33% 12.25%
10Y (ann.) 70.05% 13.34%
All-time (ann.) 131.98% 5.74%
Best Day 35.19% 14.52%
Worst Day -16.78% -9.84%
Best Month 84.79% 10.92%
Worst Month -21.69% -16.52%
Best Year 617.85% 32.31%
Worst Year -10.61% -36.79%
Avg. Drawdown -6.77% -2.03%
Avg. Drawdown Days 23 40
Recovery Factor 40449751.08 3.71
Ulcer Index 0.99 1.02
Avg. Up Month 14.87% 3.18%
Avg. Down Month -7.71% -2.77%
Win Days % 54.48% 54.43%
Win Month % 68.35% 62.92%
Win Quarter % 82.5% 70.0%
Win Year % 90.0% 75.0%
Beta -0.06 -
Alpha 0.99 -
5 Worst Drawdowns
Strategy Visualization
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