La técnica de la reversión a la media, es la pricipal técnica del trading algoritmico. La hemos implementado en el Ibex.
Podemos ver el ruido blanco de nuestro modelo
Los resultados son los siguientes:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2011-09-09 End Period 2020-04-16 Risk-Free Rate 0.0% Time in Market 19.0% Cumulative Return 24.27% CAGR% 2.56% Sharpe 1.14 Sortino 1.71 Max Drawdown -3.36% Longest DD Days 187 Volatility (ann.) 2.2% Calmar 0.76 Skew -0.86 Kurtosis 27.08 Expected Daily % 0.01% Expected Monthly % 0.21% Expected Yearly % 2.2% Kelly Criterion 21.6% Risk of Ruin 0.0% Daily Value-at-Risk -0.22% Expected Shortfall (cVaR) -0.22% Payoff Ratio 1.01 Profit Factor 1.55 Common Sense Ratio 3.33 CPC Index 0.95 Tail Ratio 2.14 Outlier Win Ratio 17.47 Outlier Loss Ratio 1.84 MTD -1.63% 3M -2.09% 6M -2.58% YTD -2.05% 1Y 0.93% 3Y (ann.) 1.85% 5Y (ann.) 2.78% 10Y (ann.) 2.56% All-time (ann.) 2.56% Best Day 0.9% Worst Day -1.85% Best Month 1.74% Worst Month -1.63% Best Year 5.51% Worst Year -2.05% Avg. Drawdown -0.47% Avg. Drawdown Days 37 Recovery Factor 7.23 Ulcer Index inf Avg. Up Month 0.63% Avg. Down Month -0.41% Win Days % 60.55% Win Month % 66.67% Win Quarter % 78.79% Win Year % 90.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2019-12-04 | 2020-04-09 | 2020-04-16 | 134 | -3.358822 | -3.095836 |
| 2 | 2012-07-20 | 2012-09-06 | 2013-01-07 | 171 | -1.874893 | -1.385517 |
| 3 | 2013-01-08 | 2013-02-21 | 2013-03-27 | 78 | -1.545527 | -1.510920 |
| 4 | 2013-04-03 | 2013-04-16 | 2013-05-30 | 57 | -1.449930 | -1.425974 |
| 5 | 2016-10-14 | 2016-11-21 | 2016-11-29 | 46 | -1.446581 | -1.274189 |
Strategy Visualization
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