Buscando el Oro ( XAUUSD )

Buenas a tod@s !!

Buena semana en nuestra estrategia, pero esperamos mas

Performance Metrics

                           Strategy         Benchmark
-------------------------  ---------------  -----------------
Start Period               2002-01-02       2002-01-02
End Period                 2020-05-13       2020-05-13
Risk-Free Rate             0.0%             0.0%
Time in Market             78.0%            79.0%

Cumulative Return          351,582,830.64%  1,738,897,695.38%
CAGR%                      127.14%          147.79%
Sharpe                     1.68             1.9
Sortino                    2.9              3.42
Max Drawdown               -56.68%          -49.64%
Longest DD Days            687              869
Volatility (ann.)          57.64%           54.4%
R^2                        0.23             0.23
Calmar                     2.24             2.98
Skew                       2.1              1.68
Kurtosis                   29.64            13.5

Expected Daily %           0.32%            0.35%
Expected Monthly %         7.06%            7.84%
Expected Yearly %          121.07%          140.47%
Kelly Criterion            18.06%           18.84%
Risk of Ruin               0.0%             0.0%
Daily Value-at-Risk        -5.59%           -5.23%
Expected Shortfall (cVaR)  -5.59%           -5.23%

Payoff Ratio               1.27             1.27
Profit Factor              1.47             1.54
Common Sense Ratio         1.97             2.06
CPC Index                  1.01             1.07
Tail Ratio                 1.34             1.33
Outlier Win Ratio          6.39             6.55
Outlier Loss Ratio         3.93             4.27

MTD                        6.31%            -7.96%
3M                         32.09%           6.77%
6M                         45.92%           28.29%
YTD                        30.4%            12.39%
1Y                         118.17%          86.1%
3Y (ann.)                  70.12%           54.33%
5Y (ann.)                  58.45%           52.39%
10Y (ann.)                 80.99%           69.01%
All-time (ann.)            127.14%          147.79%

Best Day                   65.29%           35.19%
Worst Day                  -18.94%          -16.78%
Best Month                 74.37%           75.98%
Worst Month                -42.73%          -21.69%
Best Year                  274.67%          643.88%
Worst Year                 -2.29%           -11.11%

Avg. Drawdown              -7.18%           -6.51%
Avg. Drawdown Days         20               21
Recovery Factor            6203318.47       35027335.77
Ulcer Index                inf              inf

Avg. Up Month              17.26%           15.47%
Avg. Down Month            -7.62%           -6.51%
Win Days %                 54.15%           54.57%
Win Month %                68.42%           68.18%
Win Quarter %              83.56%           83.78%
Win Year %                 94.74%           89.47%

Beta                       0.51             -
Alpha                      0.43             -

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2008-07-16	2008-09-11	2008-09-18	64	-56.676573	-52.021574
2	2011-11-08	2011-12-29	2012-06-07	212	-49.530348	-46.268101
3	2020-03-10	2020-03-19	2020-04-09	30	-48.319480	-47.290005
4	2014-05-06	2014-10-03	2016-03-23	687	-43.530454	-37.971635
5	2013-05-01	2013-06-27	2013-08-01	92	-37.354661	-31.144987

Strategy Visualization