Reversión a la Media, Un Paso Más

Reversión a la media

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Performance Metrics

                           Strategy
-------------------------  --------------
Start Period               2002-01-02
End Period                 2020-01-03
Risk-Free Rate             0.0%
Time in Market             83.0%

Cumulative Return          25,312,849.81%
CAGR%                      99.51%
Sharpe                     2.27
Sortino                    4.2
Max Drawdown               -29.26%
Longest DD Days            222
Volatility (ann.)          35.92%
Calmar                     3.4
Skew                       1.83
Kurtosis                   16.25

Expected Daily %           0.3%
Expected Monthly %         5.9%
Expected Yearly %          92.48%
Kelly Criterion            23.78%
Risk of Ruin               0.0%
Daily Value-at-Risk        -3.4%
Expected Shortfall (cVaR)  -3.4%

Payoff Ratio               1.27
Profit Factor              1.71
Common Sense Ratio         2.63
CPC Index                  1.24
Tail Ratio                 1.54
Outlier Win Ratio          6.51
Outlier Loss Ratio         4.4

MTD                        0.15%
3M                         20.71%
6M                         45.87%
YTD                        0.15%
1Y                         119.0%
3Y (ann.)                  87.52%
5Y (ann.)                  111.41%
10Y (ann.)                 93.51%
All-time (ann.)            99.51%

Best Day                   24.19%
Worst Day                  -13.52%
Best Month                 52.98%
Worst Month                -16.1%
Best Year                  354.26%
Worst Year                 0.15%

Avg. Drawdown              -3.11%
Avg. Drawdown Days         13
Recovery Factor            865018.58
Ulcer Index                0.99

Avg. Up Month              9.85%
Avg. Down Month            -5.18%
Win Days %                 57.41%
Win Month %                77.21%
Win Quarter %              87.67%
Win Year %                 100.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2017-02-27	2017-07-07	2017-07-28	151	-29.262782	-28.043669
2	2014-07-24	2014-09-29	2014-12-18	147	-27.684485	-25.842926
3	2011-09-19	2011-10-03	2011-12-20	92	-20.550485	-18.978868
4	2002-03-21	2002-04-11	2002-07-29	130	-20.387396	-19.253545
5	2012-10-05	2012-12-14	2013-01-02	89	-18.739049	-17.484646

Strategy Visualization