Fondo en el Ibex III

Buenas a tod@s !!!

Seguimos con nuestro sistema-fondo en  el ibex

los resultados últimos son:

Comprar los siguientes valores

	0
0	SAB
1	TL5
2	IAG
3	SAN
4	TRE
5	MRL
6	AMS
7	TEF
8	CABK
9	BBVA

Y los rendimientos de las últimas semanas serían:

2020-04-12    0.116459
2020-04-19   -0.040743
2020-04-26   -0.039438
2020-05-03    0.088262
2020-05-10   -0.032136

Los resultados los podemos ver a continuación:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-05-10
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,334.40%
CAGR%                      14.36%
Sharpe                     1.54
Sortino                    2.19
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          50.6%
Calmar                     0.26
Skew                       -0.8
Kurtosis                   7.71

Expected Daily %           0.26%
Expected Monthly %         1.12%
Expected Yearly %          13.52%
Kelly Criterion            14.27%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.93%
Expected Shortfall (cVaR)  -4.93%

Payoff Ratio               0.89
Profit Factor              1.31
Common Sense Ratio         1.34
CPC Index                  0.7
Tail Ratio                 1.02
Outlier Win Ratio          3.94
Outlier Loss Ratio         3.4

MTD                        5.33%
3M                         -20.1%
6M                         -19.44%
YTD                        -22.98%
1Y                         -16.25%
3Y (ann.)                  -0.94%
5Y (ann.)                  5.24%
10Y (ann.)                 12.16%
All-time (ann.)            14.36%

Best Day                   15.28%
Worst Day                  -24.58%
Best Month                 22.54%
Worst Month                -30.83%
Best Year                  64.74%
Worst Year                 -37.15%

Avg. Drawdown              -5.3%
Avg. Drawdown Days         76
Recovery Factor            24.28
Ulcer Index                1.01

Avg. Up Month              4.99%
Avg. Down Month            -5.0%
Win Days %                 59.61%
Win Month %                63.6%
Win Quarter %              71.25%
Win Year %                 71.43%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2007-07-22	2009-03-08	2013-05-19	2128	-54.965724	-47.464582
2	2020-03-01	2020-03-22	2020-05-10	70	-38.153218	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965378	-31.619608
4	2001-05-27	2001-09-23	2002-02-17	266	-25.842233	-20.690803
5	2002-06-09	2002-09-29	2002-12-01	175	-20.741070	-20.331832

Strategy Visualization

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