Seguimos parados en un bar. La alta volatilidad del subyacente sigue parando la evolución del sistema, pero esperamos dentro de poco que la cosa cambie.
Performance Metrics
Strategy ------------------------- -------------- Start Period 2000-10-18 End Period 2020-04-09 Risk-Free Rate 0.0% Time in Market 72.0% Cumulative Return 55,202,392.33% CAGR% 97.08% Sharpe 1.61 Sortino 2.68 Max Drawdown -51.35% Longest DD Days 353 Volatility (ann.) 54.27% Calmar 1.89 Skew 1.55 Kurtosis 20.05 Expected Daily % 0.29% Expected Monthly % 5.79% Expected Yearly % 87.68% Kelly Criterion 17.42% Risk of Ruin 0.0% Daily Value-at-Risk -5.28% Expected Shortfall (cVaR) -5.28% Payoff Ratio 1.1 Profit Factor 1.44 Common Sense Ratio 1.71 CPC Index 0.9 Tail Ratio 1.18 Outlier Win Ratio 6.59 Outlier Loss Ratio 3.83 MTD -4.41% 3M 64.69% 6M 178.07% YTD 66.45% 1Y 239.29% 3Y (ann.) 99.8% 5Y (ann.) 78.75% 10Y (ann.) 67.49% All-time (ann.) 97.08% Best Day 47.77% Worst Day -21.89% Best Month 97.24% Worst Month -28.78% Best Year 1494.21% Worst Year -3.72% Avg. Drawdown -6.69% Avg. Drawdown Days 23 Recovery Factor 1075010.01 Ulcer Index inf Avg. Up Month 14.53% Avg. Down Month -8.27% Win Days % 56.7% Win Month % 67.25% Win Quarter % 70.89% Win Year % 90.48%
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5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2000-12-13 | 2001-04-09 | 2001-04-20 | 128 | -51.350585 | -45.623872 |
| 2 | 2002-01-18 | 2002-04-05 | 2003-01-06 | 353 | -51.024058 | -49.419815 |
| 3 | 2010-05-27 | 2010-09-23 | 2011-01-26 | 244 | -43.645946 | -43.533932 |
| 4 | 2004-02-12 | 2004-04-28 | 2004-08-06 | 176 | -38.780453 | -38.542367 |
| 5 | 2011-05-11 | 2011-12-09 | 2012-02-03 | 268 | -38.048082 | -37.037408 |
Strategy Visualization
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