Actualizando XAU 02

Nuestro sistema en el Oro 02

Magnífico resultado de nuestro sistema

Performance Metrics

                           Strategy
-------------------------  -----------------
Start Period               2000-01-05
End Period                 2020-01-03
Risk-Free Rate             0.0%
Time in Market             78.0%

Cumulative Return          3,721,227,335.61%
CAGR%                      138.99%
Sharpe                     1.84
Sortino                    3.32
Max Drawdown               -49.64%
Longest DD Days            869
Volatility (ann.)          54.14%
Calmar                     2.8
Skew                       1.8
Kurtosis                   14.74

Expected Daily %           0.34%
Expected Monthly %         7.5%
Expected Yearly %          129.36%
Kelly Criterion            18.82%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.21%
Expected Shortfall (cVaR)  -5.21%

Payoff Ratio               1.27
Profit Factor              1.53
Common Sense Ratio         2.01
CPC Index                  1.05
Tail Ratio                 1.32
Outlier Win Ratio          6.6
Outlier Loss Ratio         3.84

MTD                        2.09%
3M                         15.54%
6M                         36.82%
YTD                        2.09%
1Y                         74.57%
3Y (ann.)                  60.21%
5Y (ann.)                  52.59%
10Y (ann.)                 72.7%
All-time (ann.)            138.99%

Best Day                   35.19%
Worst Day                  -16.78%
Best Month                 75.98%
Worst Month                -21.69%
Best Year                  643.88%
Worst Year                 -11.11%

Avg. Drawdown              -6.51%
Avg. Drawdown Days         22
Recovery Factor            74958221.93
Ulcer Index                0.99

Avg. Up Month              15.49%
Avg. Down Month            -6.46%
Win Days %                 54.65%
Win Month %                68.91%
Win Quarter %              83.95%
Win Year %                 90.48%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2014-05-06	2015-12-17	2016-09-21	869	-49.644018	-47.643978
2	2011-05-02	2011-09-05	2011-09-23	144	-40.995252	-38.040590
3	2006-07-17	2006-10-04	2006-11-03	109	-34.362957	-30.458527
4	2012-11-26	2013-04-04	2013-07-22	238	-30.653765	-27.628712
5	2005-03-14	2005-06-01	2005-09-12	182	-29.684967	-28.319668

Strategy Visualization

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