Revirtiendo la media
Hemos diversificado los activos para descorrelacionar drawdowns, eso no quita que en un momento dado todos se correlacionen, y vemos los resultados.Para mí son espectaculares, pues con un riesgo mínimo podemos obtener rentabilidades pasadas del 60%. El futuro....
En los datos reflejados, habría que dividir los resultados por dos, para adoptar una posición mas conservadora.
Performance Metrics
Strategy ------------------------- --------------- Start Period 2002-01-02 End Period 2020-01-10 Risk-Free Rate 0.0% Time in Market 51.0% Cumulative Return 296,073,753.63% CAGR% 128.49% Sharpe 1.7 Sortino 3.13 Max Drawdown -51.12% Longest DD Days 246 Volatility (ann.) 62.66% Calmar 2.51 Skew 2.28 Kurtosis 25.29 Expected Daily % 0.35% Expected Monthly % 7.11% Expected Yearly % 119.08% Kelly Criterion 21.2% Risk of Ruin 0.0% Daily Value-at-Risk -6.07% Expected Shortfall (cVaR) -6.07% Payoff Ratio 1.28 Profit Factor 1.61 Common Sense Ratio 2.42 CPC Index 1.15 Tail Ratio 1.5 Outlier Win Ratio 10.8 Outlier Loss Ratio 3.3 MTD 3.64% 3M 14.05% 6M 12.45% YTD 3.64% 1Y 161.38% 3Y (ann.) 102.01% 5Y (ann.) 138.15% 10Y (ann.) 114.67% All-time (ann.) 128.49% Best Day 60.09% Worst Day -28.2% Best Month 88.94% Worst Month -41.15% Best Year 420.71% Worst Year -7.05% Avg. Drawdown -7.09% Avg. Drawdown Days 18 Recovery Factor 5792258.74 Ulcer Index 0.99 Avg. Up Month 17.36% Avg. Down Month -11.87% Win Days % 55.72% Win Month % 75.54% Win Quarter % 80.82% Win Year % 94.74%
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5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2002-03-21 | 2002-04-11 | 2002-08-16 | 148 | -51.115423 | -49.303505 |
| 2 | 2017-04-27 | 2017-07-07 | 2017-07-31 | 95 | -47.875775 | -46.749896 |
| 3 | 2012-02-03 | 2012-03-14 | 2012-07-17 | 165 | -45.814471 | -44.419712 |
| 4 | 2008-06-10 | 2008-11-13 | 2009-02-11 | 246 | -42.862273 | -35.970360 |
| 5 | 2011-12-01 | 2011-12-15 | 2012-01-19 | 49 | -35.599879 | -35.483239 |
Strategy Visualization
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