Continuando con la Reversion a la Media

Reversión a la media

Intentamos buscar una reversión a la media que nos permita tener una adecuada gestión del riesgo.

Un Sharpe de 1,31, una rentabilidad anual media del 40%   y un Profit Factor de 1,65 nos muestran unos datos magníficos, siempre teniendo en cuenta de un peor mes del 25% y un drawdown del 39%.

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2002-01-02
End Period                 2020-01-03
Risk-Free Rate             0.0%
Time in Market             37.0%

Cumulative Return          38,052.74%
CAGR%                      39.09%
Sharpe                     1.31
Sortino                    2.53
Max Drawdown               -38.92%
Longest DD Days            706
Volatility (ann.)          27.95%
Calmar                     1.0
Skew                       4.59
Kurtosis                   72.55

Expected Daily %           0.13%
Expected Monthly %         2.78%
Expected Yearly %          36.73%
Kelly Criterion            22.26%
Risk of Ruin               0.0%
Daily Value-at-Risk        -2.75%
Expected Shortfall (cVaR)  -2.75%

Payoff Ratio               1.28
Profit Factor              1.65
Common Sense Ratio         2.47
CPC Index                  1.19
Tail Ratio                 1.49
Outlier Win Ratio          15.33
Outlier Loss Ratio         3.34

MTD                        0.0%
3M                         0.0%
6M                         41.78%
YTD                        0.0%
1Y                         77.65%
3Y (ann.)                  30.62%
5Y (ann.)                  51.36%
10Y (ann.)                 40.34%
All-time (ann.)            39.09%

Best Day                   36.87%
Worst Day                  -14.22%
Best Month                 82.69%
Worst Month                -25.47%
Best Year                  163.51%
Worst Year                 -24.27%

Avg. Drawdown              -3.83%
Avg. Drawdown Days         23
Recovery Factor            977.7
Ulcer Index                inf

Avg. Up Month              7.75%
Avg. Down Month            -4.91%
Win Days %                 56.35%
Win Month %                73.25%
Win Quarter %              80.88%
Win Year %                 88.89%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2002-07-23	2002-12-11	2004-06-28	706	-38.920858	-36.156346
2	2014-07-18	2014-09-29	2015-04-06	262	-36.582972	-34.553593
3	2017-05-24	2017-07-03	2018-03-23	303	-26.277699	-26.083669
4	2006-09-29	2006-10-04	2006-11-03	35	-23.008490	-19.573601
5	2018-04-12	2018-05-30	2018-06-26	75	-20.284811	-18.684162

Strategy Visualization