Ha sido un buen mes en nuestro seguimiento al Nasdaq, pero es cierto que los problemas informáticos derivados de que no se actualizaba un archivo nos ha provocado un menor rendimiento en real del sistema.
Los resultados son los siguientes:
Performance Metrics
Strategy ------------------------- ------------- Start Period 2002-01-02 End Period 2020-01-31 Risk-Free Rate 0.0% Time in Market 72.0% Cumulative Return 5,056,917.35% CAGR% 81.98% Sharpe 1.55 Sortino 2.48 Max Drawdown -53.93% Longest DD Days 469 Volatility (ann.) 49.93% Calmar 1.52 Skew 0.82 Kurtosis 10.35 Expected Daily % 0.26% Expected Monthly % 5.12% Expected Yearly % 76.84% Kelly Criterion 16.29% Risk of Ruin 0.0% Daily Value-at-Risk -4.87% Expected Shortfall (cVaR) -4.87% Payoff Ratio 1.09 Profit Factor 1.41 Common Sense Ratio 1.63 CPC Index 0.86 Tail Ratio 1.16 Outlier Win Ratio 6.8 Outlier Loss Ratio 3.78 MTD 3.25% 3M 45.87% 6M 45.04% YTD 3.25% 1Y 93.46% 3Y (ann.) 79.71% 5Y (ann.) 73.06% 10Y (ann.) 66.85% All-time (ann.) 81.98% Best Day 35.16% Worst Day -19.32% Best Month 53.44% Worst Month -29.38% Best Year 648.37% Worst Year -0.13% Avg. Drawdown -6.42% Avg. Drawdown Days 24 Recovery Factor 93764.31 Ulcer Index 1.0 Avg. Up Month 13.31% Avg. Down Month -7.63% Win Days % 56.41% Win Month % 65.26% 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 | 2003-05-02 | 469 | -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 | 2004-02-18 | 2004-04-29 | 2004-08-05 | 169 | -31.603488 | -30.135781 |
Strategy Visualization
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