Nuestro sistema en el WTI

Sistemas en el WTI

Fuerte caída de la cotización en el wti y con ello nos ha llevado nuestra rentabilidad abajo.

Esperamos remontar

                    Strategy
------------------  ------------------
Start Period        2000-10-18
End Period          2020-02-03
Risk-Free Rate      0.0%
Time in Market      54.0%

Cumulative Return   12,173,479,434.90%
CAGR%               162.29%
Sharpe              1.61
Sortino             2.91
Max Drawdown        -56.57%
Longest DD Days     303

Payoff Ratio        1.35
Profit Factor       1.52
Common Sense Ratio  2.24
CPC Index           1.09
Tail Ratio          1.47
Outlier Win Ratio   9.7
Outlier Loss Ratio  3.11

MTD                 0.0%
3M                  -17.7%
6M                  -20.51%
YTD                 -31.83%
1Y                  51.37%
3Y (ann.)           59.11%
5Y (ann.)           149.0%
10Y (ann.)          155.53%
All-time (ann.)     162.29%

Avg. Drawdown       -10.5%
Avg. Drawdown Days  25
Recovery Factor     215206847.09
Ulcer Index         inf

                    Strategy
------------------  -----------------
Start Period        2000-10-18
End Period          2020-02-03
Risk-Free Rate      0.0%
Time in Market      40.0%

Cumulative Return   4,094,495,353.70%
CAGR%               147.9%
Sharpe              1.56
Sortino             2.9
Max Drawdown        -62.76%
Longest DD Days     499

Payoff Ratio        1.35
Profit Factor       1.61
Common Sense Ratio  2.44
CPC Index           1.18
Tail Ratio          1.52
Outlier Win Ratio   12.44
Outlier Loss Ratio  2.84

MTD                 0.0%
3M                  -17.7%
6M                  -9.93%
YTD                 -31.83%
1Y                  16.27%
3Y (ann.)           35.41%
5Y (ann.)           94.79%
10Y (ann.)          103.49%
All-time (ann.)     147.9%

Avg. Drawdown       -10.78%
Avg. Drawdown Days  30
Recovery Factor     65235861.3
Ulcer Index         inf