Nuevos pasos en el machine learning

Vuelta a la media

Seguimos avanzando en nuestros sistemas de vuelta a la media.

Performance Metrics

                           Strategy
-------------------------  -------------
Start Period               2000-01-04
End Period                 2020-03-19
Risk-Free Rate             0.0%
Time in Market             3.0%

Cumulative Return          2,880,573.10%
CAGR%                      66.17%
Sharpe                     1.44
Sortino                    5.58
Max Drawdown               -25.19%
Longest DD Days            272
Volatility (ann.)          40.64%
Calmar                     2.63
Skew                       7.27
Kurtosis                   58.24

Expected Daily %           0.2%
Expected Monthly %         4.32%
Expected Yearly %          63.06%
Kelly Criterion            48.28%
Risk of Ruin               0.0%
Daily Value-at-Risk        -3.98%
Expected Shortfall (cVaR)  -3.98%

Payoff Ratio               3.0
Profit Factor              4.73
Common Sense Ratio         nan
CPC Index                  8.69
Tail Ratio                 nan
Outlier Win Ratio          70.8
Outlier Loss Ratio         -0.0

MTD                        0.0%
3M                         21.0%
6M                         124.33%
YTD                        21.0%
1Y                         205.45%
3Y (ann.)                  120.48%
5Y (ann.)                  72.32%
10Y (ann.)                 53.45%
All-time (ann.)            66.17%

Best Day                   21.0%
Worst Day                  -7.0%
Best Month                 46.41%
Worst Month                -19.56%
Best Year                  315.91%
Worst Year                 0.0%

Avg. Drawdown              -8.92%
Avg. Drawdown Days         36
Recovery Factor            114332.05
Ulcer Index                0.95

Avg. Up Month              20.57%
Avg. Down Month            -8.59%
Win Days %                 61.21%
Win Month %                83.78%
Win Quarter %              92.68%
Win Year %                 100.0%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2017-11-16	2017-12-05	2018-05-08	173	-25.194799	-19.5643
2	2011-01-13	2011-02-18	2011-10-12	272	-19.564300	-13.5100
3	2014-08-07	2014-08-12	2014-08-29	22	-13.510000	-7.0000
4	2016-09-27	2016-10-07	2016-10-11	14	-13.510000	-7.0000
5	2005-05-10	2005-05-24	2005-05-31	21	-13.510000	-7.0000

Strategy Visualization