Sistema de Forex
Buen@s a todos.
Mal comprtamiento en el mes de Diciembre de nuestro sistema en forex. Las elecciones en Gran Bretaña han provocado movimientos espasmódicos y nuestra rentabilidad disminuyo rapidamente.Aunque desde máximos el Drawdown se sitúa entorno al 30%.
De producirse mayores deterioros el propio sistema limitará las pérdidas.
De momento seguimos confiando plenamente en el sistema
Performance Metrics
Strategy ------------------------- ------------------ Start Period 2001-02-28 End Period 2020-01-13 Risk-Free Rate 0.0% Time in Market 92.0% Cumulative Return 28,959,458,223.61% CAGR% 180.59% Sharpe 1.63 Sortino 2.59 Max Drawdown -70.62% Longest DD Days 351 Volatility (ann.) 82.6% Calmar 2.56 Skew 0.42 Kurtosis 8.55 Expected Daily % 0.4% Expected Monthly % 8.92% Expected Yearly % 164.9% Kelly Criterion 15.12% Risk of Ruin 0.0% Daily Value-at-Risk -8.03% Expected Shortfall (cVaR) -8.03% Payoff Ratio 1.17 Profit Factor 1.39 Common Sense Ratio 1.8 CPC Index 0.88 Tail Ratio 1.3 Outlier Win Ratio 5.14 Outlier Loss Ratio 4.17 MTD 1.41% 3M -23.68% 6M 14.71% YTD 1.41% 1Y 88.39% 3Y (ann.) 101.12% 5Y (ann.) 172.84% 10Y (ann.) 189.27% All-time (ann.) 180.59% Best Day 50.04% Worst Day -44.84% Best Month 165.28% Worst Month -53.85% Best Year 731.01% Worst Year -23.17% Avg. Drawdown -9.15% Avg. Drawdown Days 20 Recovery Factor 410051900.44 Ulcer Index 1.0 Avg. Up Month 22.06% Avg. Down Month -11.77% Win Days % 54.32% Win Month % 68.28% Win Quarter % 81.82% Win Year % 95.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-09-23 | 2008-10-27 | 2009-01-08 | 107 | -70.623885 | -64.085290 |
| 2 | 2009-01-09 | 2009-03-09 | 2009-05-20 | 131 | -64.674293 | -62.673593 |
| 3 | 2005-08-18 | 2005-11-14 | 2006-08-04 | 351 | -59.488294 | -57.709841 |
| 4 | 2011-06-14 | 2011-12-14 | 2012-05-17 | 338 | -59.406071 | -56.487668 |
| 5 | 2015-07-09 | 2016-02-29 | 2016-06-24 | 351 | -53.707488 | -48.255896 |
Strategy Visualization
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