Seguimiento del Petróleo 1 ( WTI )

Sistema del Petróleo ( WTI )

Ha estado muy tranquilo nuestro sistema en el petróleo durante estos días. Ahora ha vuelto a la marcha. Esperamos buenos datos

Performance Metrics

                           Strategy
-------------------------  ------------------
Start Period               2000-01-06
End Period                 2020-01-14
Risk-Free Rate             0.0%
Time in Market             53.0%

Cumulative Return          51,759,281,413.99%
CAGR%                      172.22%
Sharpe                     1.66
Sortino                    3.01
Max Drawdown               -56.57%
Longest DD Days            303
Volatility (ann.)          77.17%
Calmar                     3.04
Skew                       1.57
Kurtosis                   11.72

Expected Daily %           0.4%
Expected Monthly %         8.68%
Expected Yearly %          159.99%
Kelly Criterion            18.68%
Risk of Ruin               0.0%
Daily Value-at-Risk        -7.49%
Expected Shortfall (cVaR)  -7.49%

Payoff Ratio               1.35
Profit Factor              1.54
Common Sense Ratio         2.3
CPC Index                  1.11
Tail Ratio                 1.49
Outlier Win Ratio          9.76
Outlier Loss Ratio         3.11

MTD                        0.26%
3M                         22.65%
6M                         0.55%
YTD                        0.26%
1Y                         157.79%
3Y (ann.)                  81.14%
5Y (ann.)                  168.96%
10Y (ann.)                 167.35%
All-time (ann.)            172.22%

Best Day                   49.16%
Worst Day                  -32.01%
Best Month                 108.29%
Worst Month                -34.94%
Best Year                  611.26%
Worst Year                 0.26%

Avg. Drawdown              -10.45%
Avg. Drawdown Days         25
Recovery Factor            915017914.18
Ulcer Index                1.0

Avg. Up Month              21.0%
Avg. Down Month            -11.45%
Win Days %                 53.22%
Win Month %                73.66%
Win Quarter %              80.77%
Win Year %                 100.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2017-04-12	2017-07-07	2018-02-09	303	-56.566413	-50.745298
2	2001-01-22	2001-04-02	2001-06-11	140	-53.871083	-48.892141
3	2019-09-17	2019-10-03	2020-01-14	119	-51.499954	-50.849205
4	2001-09-18	2001-11-15	2001-12-26	99	-48.357022	-43.034467
5	2001-07-09	2001-07-19	2001-08-28	50	-45.832645	-43.716986

Strategy Visualization

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