Sistema en el Petróleo 01

Sistema en el Petróleo 01

Buenas a tod@s

El petróleo puede hacer cambiar voluntades y guerras.

Podemos hacer un buen sistemas sobre el WTI.

Performance Metrics

                           Strategy         Benchmark
-------------------------  ---------------  -----------
Start Period               2005-01-31       2005-01-31
End Period                 2019-12-06       2019-12-06
Risk-Free Rate             0.0%             0.0%
Time in Market             56.0%            99.0%

Cumulative Return          209,355,222.59%  -68.34%
CAGR%                      166.39%          -7.45%
Sharpe                     1.68             0.19
Sortino                    3.03             0.29
Max Drawdown               -56.75%          -97.06%
Longest DD Days            303              4188
Volatility (ann.)          74.46%           63.48%
R^2                        0.01             0.01
Calmar                     2.93             -0.08
Skew                       1.63             0.41
Kurtosis                   11.98            4.19

Expected Daily %           0.39%            -0.03%
Expected Monthly %         8.42%            -0.64%
Expected Yearly %          163.87%          -7.38%
Kelly Criterion            16.52%           3.02%
Risk of Ruin               0.0%             0.0%
Daily Value-at-Risk        -7.22%           -6.53%
Expected Shortfall (cVaR)  -10.56%          -10.56%

Payoff Ratio               1.27             1.09
Profit Factor              1.52             1.04
Common Sense Ratio         2.24             1.09
CPC Index                  1.03             0.56
Tail Ratio                 1.47             1.06
Outlier Win Ratio          7.38             5.06
Outlier Loss Ratio         3.1              4.04

MTD                        13.11%           3.5%
3M                         3.3%             0.68%
6M                         15.98%           5.98%
YTD                        159.67%          7.52%
1Y                         159.67%          -27.5%
3Y (ann.)                  79.61%           28.25%
5Y (ann.)                  157.77%          -7.36%
10Y (ann.)                 164.89%          -6.21%
All-time (ann.)            166.39%          -7.45%

Best Day                   49.16%           28.63%
Worst Day                  -28.06%          -18.58%
Best Month                 108.29%          63.91%
Worst Month                -31.85%          -38.4%
Best Year                  569.38%          62.27%
Worst Year                 12.66%           -68.53%

Avg. Drawdown              -10.22%          -9.92%
Avg. Drawdown Days         25               191
Recovery Factor            3688854.43       -0.7
Ulcer Index                inf              1.02

Avg. Up Month              19.06%           16.13%
Avg. Down Month            -12.57%          -12.3%
Win Days %                 53.35%           49.51%
Win Month %                73.42%           48.88%
Win Quarter %              77.97%           53.33%
Win Year %                 100.0%           60.0%

Beta                       0.14             -
Alpha                      1.23             -

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2017-04-12	2017-07-07	2018-02-09	303	-56.566413	-50.745298
2	2001-01-22	2001-04-02	2001-06-11	140	-53.871083	-48.892141
3	2019-09-17	2019-10-03	2019-12-06	80	-51.499954	-50.849205
4	2001-09-18	2001-11-15	2001-12-26	99	-48.357022	-43.034467
5	2001-07-09	2001-07-19	2001-08-28	50	-45.832645	-43.716986

Strategy Visualization