He creado un indice que actúa como un fondo sobre los valores del Ibex35. Hemos escogido 10 valores.
los valores para esta semana serían:
0 | SAB |
---|---|
1 | TRE |
2 | SAN |
3 | MRL |
4 | REP |
5 | TL5 |
6 | TEF |
7 | BBVA |
8 | NTGY |
9 | IAG |
Los resultados semanales son los siguientes:
2020-03-22 -0.056545 2020-03-29 0.115168 2020-04-05 -0.001624 2020-04-12 0.116459 2020-04-19 -0.036442
Las otras semanas los valores fueron:
'ENG', 'CLNX', 'IAG', 'IBE', 'FER', 'CABK', 'ACX', 'BBVA', 'GRF', 'SGRE']
['ENG', 'CLNX', 'IBE', 'IAG', 'GRF', 'ACX', 'ANA', 'FER', 'CABK', 'BBVA']
['REP', 'ENG', 'CLNX', 'TL5', 'ACS', 'ANA', 'AENA', 'MAP', 'TEF', 'IBE']
['REP', 'TL5', 'ACS', 'CLNX', 'MAP', 'TRE', 'TEF', 'AENA', 'ANA', 'CIE']
['ACS', 'TL5', 'TRE', 'REP', 'MAP', 'TEF', 'CIE', 'AENA', 'NTGY', 'SAN']
['TL5', 'REP', 'TRE', 'MRL', 'ACS', 'CIE', 'MAP', 'SAB', 'SAN', 'AMS']
['MRL', 'TRE', 'TL5', 'REP', 'ACS', 'TEF', 'IAG', 'MAP', 'SAB', 'CIE']
['MRL', 'TRE', 'TL5', 'ACS', 'TEF', 'SAN', 'REP', 'SAB', 'IAG', 'BBVA'
El sistema tiene las siguientes características:
Performance Metrics
Strategy Benchmark ------------------------- ---------- ----------- Start Period 2000-07-09 2000-07-09 End Period 2020-04-19 2020-04-19 Risk-Free Rate 0.0% 0.0% Time in Market 100.0% 100.0% Cumulative Return 1,240.06% -36.29% CAGR% 14.01% -2.25% Sharpe 1.51 0.03 Sortino 2.15 0.04 Max Drawdown -54.75% -61.67% Longest DD Days 2121 4543 Volatility (ann.) 50.42% 49.72% R^2 0.8 0.8 Calmar 0.26 -0.04 Skew -0.8 -0.76 Kurtosis 7.84 4.83 Expected Daily % 0.25% -0.04% Expected Monthly % 1.1% -0.19% Expected Yearly % 13.15% -2.12% Kelly Criterion 15.42% -6.66% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -4.92% -5.15% Expected Shortfall (cVaR) -4.92% -5.15% Payoff Ratio 0.91 0.76 Profit Factor 1.31 1.01 Common Sense Ratio 1.3 0.91 CPC Index 0.71 0.41 Tail Ratio 0.99 0.9 Outlier Win Ratio 3.61 3.6 Outlier Loss Ratio 3.33 3.26 MTD 7.4% 2.42% 3M -23.34% -27.49% 6M -14.77% -25.15% YTD -23.0% -28.44% 1Y -14.59% -26.68% 3Y (ann.) 1.85% -12.43% 5Y (ann.) 3.73% -9.98% 10Y (ann.) 10.4% -4.73% All-time (ann.) 14.01% -2.25% Best Day 15.39% 12.55% Worst Day -24.58% -21.2% Best Month 22.0% 15.35% Worst Month -30.76% -31.44% Best Year 58.53% 31.97% Worst Year -36.64% -40.27% Avg. Drawdown -5.42% -10.07% Avg. Drawdown Days 77 437 Recovery Factor 22.65 -0.59 Ulcer Index 1.01 1.05 Avg. Up Month 5.94% 4.61% Avg. Down Month -5.32% -6.09% Win Days % 59.79% 53.78% Win Month % 62.18% 52.94% Win Quarter % 68.75% 51.25% Win Year % 71.43% 47.62% Beta 0.91 - Alpha 0.75 -
None
5 Worst Drawdowns
Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
---|---|---|---|---|---|---|
1 | 2007-07-22 | 2009-03-08 | 2013-05-12 | 2121 | -54.748708 | -47.225781 |
2 | 2020-03-01 | 2020-03-22 | 2020-04-19 | 49 | -37.912429 | -34.191244 |
3 | 2015-04-19 | 2016-02-14 | 2016-12-11 | 602 | -32.688348 | -31.151402 |
4 | 2001-05-27 | 2001-09-23 | 2002-03-03 | 280 | -25.852231 | -21.122137 |
5 | 2002-06-09 | 2002-09-29 | 2002-12-01 | 175 | -20.330764 | -20.005647 |
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