Actualizando XAU 01

Actualizando el Oro

Creo que han sido buenas semanas para nuestro sistema en el Oro. Os dejo los resultados de nuestro sistema 01.

Performance Metrics

                           Strategy
-------------------------  ---------------
Start Period               2000-01-05
End Period                 2020-01-03
Risk-Free Rate             0.0%
Time in Market             76.0%

Cumulative Return          470,171,421.83%
CAGR%                      115.51%
Sharpe                     1.6
Sortino                    2.83
Max Drawdown               -56.68%
Longest DD Days            687
Volatility (ann.)          56.86%
Calmar                     2.04
Skew                       2.62
Kurtosis                   35.93

Expected Daily %           0.3%
Expected Monthly %         6.58%
Expected Yearly %          107.84%
Kelly Criterion            16.89%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.53%
Expected Shortfall (cVaR)  -5.53%

Payoff Ratio               1.24
Profit Factor              1.45
Common Sense Ratio         1.92
CPC Index                  0.97
Tail Ratio                 1.32
Outlier Win Ratio          6.37
Outlier Loss Ratio         4.21

MTD                        0.0%
3M                         18.69%
6M                         8.31%
YTD                        0.0%
1Y                         88.16%
3Y (ann.)                  60.35%
5Y (ann.)                  54.81%
10Y (ann.)                 82.79%
All-time (ann.)            115.51%

Best Day                   65.29%
Worst Day                  -18.94%
Best Month                 74.37%
Worst Month                -42.73%
Best Year                  273.33%
Worst Year                 -2.29%

Avg. Drawdown              -7.24%
Avg. Drawdown Days         22
Recovery Factor            8295692.53
Ulcer Index                inf

Avg. Up Month              15.08%
Avg. Down Month            -7.04%
Win Days %                 54.06%
Win Month %                68.58%
Win Quarter %              83.54%
Win Year %                 95.0%

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2008-07-16	2008-09-11	2008-09-18	64	-56.676573	-52.021574
2	2011-11-08	2011-12-29	2012-06-07	212	-49.530348	-46.268101
3	2014-05-06	2014-10-03	2016-03-23	687	-43.530454	-37.971635
4	2013-05-01	2013-06-27	2013-08-01	92	-37.354661	-31.144987
5	2016-11-07	2016-12-22	2017-06-06	211	-33.863839	-32.911742

Strategy Visualization

findfont: Font family ['Arial'] not found. Falling back to DejaVu Sans.