Nuevo sistema de reversión a la media basado solo en QQQ

Sistema QQQmedia

Facilitando una mejor gestión de las órdenes voy a realiar un sistema de reversión sobre QQQ, pues facilita mucho la gestión pero complica la descorrelación.

De momento estaría en beta, pues estamos aprendiendo con él.

Tiene un sharpe del 1.5 con una rentabilidad media de cerca del 70%.

Performance Metrics

                           Strategy
-------------------------  -------------
Start Period               2002-01-02
End Period                 2020-01-17
Risk-Free Rate             0.0%
Time in Market             52.0%

Cumulative Return          1,230,046.58%
CAGR%                      68.49%
Sharpe                     1.5
Sortino                    2.46
Max Drawdown               -41.39%
Longest DD Days            392
Volatility (ann.)          44.22%
Calmar                     1.65
Skew                       0.94
Kurtosis                   26.62

Expected Daily %           0.22%
Expected Monthly %         4.44%
Expected Yearly %          64.16%
Kelly Criterion            20.73%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.32%
Expected Shortfall (cVaR)  -4.32%

Payoff Ratio               1.18
Profit Factor              1.57
Common Sense Ratio         2.36
CPC Index                  1.06
Tail Ratio                 1.5
Outlier Win Ratio          11.19
Outlier Loss Ratio         3.49

MTD                        0.67%
3M                         39.07%
6M                         38.39%
YTD                        0.67%
1Y                         59.56%
3Y (ann.)                  86.88%
5Y (ann.)                  91.21%
10Y (ann.)                 75.82%
All-time (ann.)            68.49%

Best Day                   34.96%
Worst Day                  -28.0%
Best Month                 47.75%
Worst Month                -24.42%
Best Year                  171.25%
Worst Year                 0.67%

Avg. Drawdown              -5.49%
Avg. Drawdown Days         19
Recovery Factor            29716.57
Ulcer Index                1.0

Avg. Up Month              10.43%
Avg. Down Month            -6.76%
Win Days %                 57.08%
Win Month %                73.51%
Win Quarter %              90.14%
Win Year %                 100.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2012-10-05	2012-12-14	2013-04-23	200	-41.392621	-39.832406
2	2012-07-23	2012-07-25	2012-09-14	53	-36.226293	-34.329377
3	2006-02-02	2006-07-28	2006-11-14	285	-33.407250	-32.109415
4	2011-07-08	2011-10-03	2011-12-20	165	-31.746276	-25.979574
5	2002-01-18	2002-01-22	2002-02-19	32	-30.909969	-19.466756

Strategy Visualization