Seguimiento del Petróleo 02 ( WTI )

Sistema del Petróleo 02 ( WTI )

Muy tranquilo estos días.

Performance Metrics

                           Strategy
-------------------------  ------------------
Start Period               2000-01-06
End Period                 2020-01-03
Risk-Free Rate             0.0%
Time in Market             39.0%

Cumulative Return          19,934,909,162.74%
CAGR%                      159.94%
Sharpe                     1.62
Sortino                    3.04
Max Drawdown               -62.76%
Longest DD Days            499
Volatility (ann.)          75.09%
Calmar                     2.55
Skew                       2.25
Kurtosis                   20.69

Expected Daily %           0.38%
Expected Monthly %         8.25%
Expected Yearly %          148.44%
Kelly Criterion            21.35%
Risk of Ruin               0.0%
Daily Value-at-Risk        -7.3%
Expected Shortfall (cVaR)  -7.3%

Payoff Ratio               1.36
Profit Factor              1.64
Common Sense Ratio         2.54
CPC Index                  1.22
Tail Ratio                 1.55
Outlier Win Ratio          12.47
Outlier Loss Ratio         2.82

MTD                        0.0%
3M                         30.36%
6M                         29.29%
YTD                        0.0%
1Y                         124.24%
3Y (ann.)                  53.86%
5Y (ann.)                  110.47%
10Y (ann.)                 115.09%
All-time (ann.)            159.94%

Best Day                   60.79%
Worst Day                  -32.01%
Best Month                 202.86%
Worst Month                -34.8%
Best Year                  681.13%
Worst Year                 -2.0%

Avg. Drawdown              -10.56%
Avg. Drawdown Days         30
Recovery Factor            317614469.4
Ulcer Index                1.0

Avg. Up Month              25.65%
Avg. Down Month            -8.9%
Win Days %                 54.61%
Win Month %                69.01%
Win Quarter %              76.62%
Win Year %                 95.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2017-04-12	2017-07-07	2018-08-24	499	-62.764487	-57.167240
2	2016-03-22	2016-04-04	2016-09-21	183	-49.306165	-48.410416
3	2004-11-30	2005-11-03	2006-03-16	471	-46.046765	-38.737043
4	2008-01-03	2008-02-06	2008-02-28	56	-44.349435	-43.356526
5	2001-01-22	2001-01-31	2001-04-10	78	-42.628434	-38.596104

Strategy Visualization