Combinado predicciones
Se me ha ocurrido la idea de coger la predicción del Sp500 y llevarla al Nasdaq. La correlación entre ambos es alta y es una forma de poder utilizar diferentes estrategias en otros mercados.
Los resultados son:
Performance Metrics
Strategy ------------------------- --------------- Start Period 2000-10-16 End Period 2019-12-18 Risk-Free Rate 0.0% Time in Market 76.0% Cumulative Return 927,253,134.40% CAGR% 130.77% Sharpe 1.77 Sortino 2.94 Max Drawdown -61.61% Longest DD Days 424 Volatility (ann.) 61.64% Calmar 2.12 Skew 1.05 Kurtosis 11.58 Expected Daily % 0.36% Expected Monthly % 7.19% Expected Yearly % 123.03% Kelly Criterion 17.98% Risk of Ruin 0.0% Daily Value-at-Risk -5.95% Expected Shortfall (cVaR) -5.95% Payoff Ratio 1.13 Profit Factor 1.47 Common Sense Ratio 1.81 CPC Index 0.94 Tail Ratio 1.23 Outlier Win Ratio 5.82 Outlier Loss Ratio 3.71 MTD 9.61% 3M 52.33% 6M 75.12% YTD 142.6% 1Y 142.6% 3Y (ann.) 117.12% 5Y (ann.) 123.51% 10Y (ann.) 110.57% All-time (ann.) 130.77% Best Day 47.77% Worst Day -18.82% Best Month 103.97% Worst Month -34.58% Best Year 1720.42% Worst Year 4.39% Avg. Drawdown -7.36% Avg. Drawdown Days 21 Recovery Factor 15051172.45 Ulcer Index 0.99 Avg. Up Month 17.55% Avg. Down Month -11.36% Win Days % 56.43% Win Month % 72.04% Win Quarter % 84.0% Win Year % 100.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-06-01 | 2011-10-03 | 2012-02-01 | 245 | -61.606705 | -54.606426 |
| 2 | 2018-08-30 | 2019-03-08 | 2019-10-28 | 424 | -46.558203 | -43.834845 |
| 3 | 2012-09-17 | 2012-12-28 | 2013-05-10 | 235 | -44.267520 | -42.578434 |
| 4 | 2005-10-21 | 2006-04-19 | 2006-07-14 | 266 | -43.742648 | -42.576344 |
| 5 | 2015-01-27 | 2015-06-23 | 2015-08-26 | 211 | -42.449273 | -40.911648 |
Strategy Visualization
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