Nuestro sistema en FOO

Primer Sistema sobre el Nasdaq¶

hemos tenido la mejor semana desde hace tiempo y nos permite estar en máximos. Esperamos que siga así. 

 

Performance Metrics

                           Strategy
-------------------------  -------------
Start Period               2002-01-02
End Period                 2020-02-11
Risk-Free Rate             0.0%
Time in Market             73.0%

Cumulative Return          5,305,390.63%
CAGR%                      82.28%
Sharpe                     1.55
Sortino                    2.49
Max Drawdown               -53.93%
Longest DD Days            354
Volatility (ann.)          49.94%
Calmar                     1.53
Skew                       0.81
Kurtosis                   10.32

Expected Daily %           0.26%
Expected Monthly %         5.12%
Expected Yearly %          77.28%
Kelly Criterion            16.33%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.87%
Expected Shortfall (cVaR)  -4.87%

Payoff Ratio               1.08
Profit Factor              1.41
Common Sense Ratio         1.64
CPC Index                  0.86
Tail Ratio                 1.16
Outlier Win Ratio          6.77
Outlier Loss Ratio         3.77

MTD                        15.25%
3M                         50.96%
6M                         70.52%
YTD                        19.0%
1Y                         132.44%
3Y (ann.)                  81.61%
5Y (ann.)                  74.22%
10Y (ann.)                 70.69%
All-time (ann.)            82.28%

Best Day                   35.16%
Worst Day                  -19.32%
Best Month                 53.44%
Worst Month                -29.38%
Best Year                  639.52%
Worst Year                 -0.13%

Avg. Drawdown              -6.5%
Avg. Drawdown Days         24
Recovery Factor            98371.45
Ulcer Index                1.0

Avg. Up Month              13.11%
Avg. Down Month            -7.67%
Win Days %                 56.49%
Win Month %                65.89%
Win Quarter %              71.23%
Win Year %                 94.74%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2002-01-18	2002-04-05	2003-01-07	354	-53.932217	-52.423233
2	2010-05-27	2010-09-23	2010-12-21	208	-40.374288	-40.255771
3	2011-05-11	2011-08-03	2012-02-01	266	-34.946048	-33.479315
4	2012-03-23	2012-06-13	2012-08-16	146	-33.629100	-32.369437
5	2015-06-10	2015-08-10	2016-01-04	208	-32.352619	-32.102084

Strategy Visualization

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