Combinando Predicciones II
Ahora cogemos nuestro segundo sistema en el Spy y se lo colocamos al nasdaq.Los resultados son:
Performance Metrics
Strategy ------------------------- ----------------- Start Period 2000-10-16 End Period 2019-12-27 Risk-Free Rate 0.0% Time in Market 73.0% Cumulative Return 2,793,260,950.77% CAGR% 144.15% Sharpe 1.86 Sortino 3.11 Max Drawdown -59.07% Longest DD Days 484 Volatility (ann.) 60.4% Calmar 2.44 Skew 1.15 Kurtosis 13.5 Expected Daily % 0.38% Expected Monthly % 7.7% Expected Yearly % 135.67% Kelly Criterion 19.07% Risk of Ruin 0.0% Daily Value-at-Risk -5.81% Expected Shortfall (cVaR) -5.81% Payoff Ratio 1.15 Profit Factor 1.51 Common Sense Ratio 1.94 CPC Index 0.98 Tail Ratio 1.29 Outlier Win Ratio 6.08 Outlier Loss Ratio 3.65 MTD 12.77% 3M 49.04% 6M 49.04% YTD 75.4% 1Y 76.75% 3Y (ann.) 93.76% 5Y (ann.) 99.57% 10Y (ann.) 129.31% All-time (ann.) 144.15% Best Day 47.77% Worst Day -21.89% Best Month 100.06% Worst Month -36.1% Best Year 1386.91% Worst Year 11.12% Avg. Drawdown -7.33% Avg. Drawdown Days 20 Recovery Factor 47284945.13 Ulcer Index 0.99 Avg. Up Month 16.9% Avg. Down Month -9.8% Win Days % 56.75% Win Month % 74.63% Win Quarter % 87.84% Win Year % 100.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2001-11-09 | 2002-04-11 | 2002-10-07 | 332 | -59.072945 | -56.830561 |
| 2 | 2018-08-30 | 2019-03-08 | 2019-12-27 | 484 | -46.112625 | -44.519492 |
| 3 | 2001-03-28 | 2001-04-09 | 2001-04-12 | 15 | -42.205030 | -35.401759 |
| 4 | 2012-09-17 | 2012-11-15 | 2013-04-23 | 218 | -41.119336 | -40.445374 |
| 5 | 2011-09-19 | 2011-11-25 | 2012-01-03 | 106 | -38.465974 | -31.303250 |
Strategy Visualization
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