Nuestra Semanita en el Nasdaq ( QQQ ) y FOO

Buenas a tod@s !!!

No está mala la semana y el mes en nuestro sistema en el nasdaq, que a la vez es nuestro sistema en Darwinex, lo podeis seguir aquí.

Performance Metrics

                           Strategy
-------------------------  --------------
Start Period               2000-10-18
End Period                 2020-05-27
Risk-Free Rate             0.0%
Time in Market             73.0%

Cumulative Return          71,476,859.23%
CAGR%                      98.79%
Sharpe                     1.61
Sortino                    2.69
Max Drawdown               -60.23%
Longest DD Days            320
Volatility (ann.)          55.15%
Calmar                     1.64
Skew                       1.55
Kurtosis                   20.16

Expected Daily %           0.29%
Expected Monthly %         5.88%
Expected Yearly %          90.01%
Kelly Criterion            17.4%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.36%
Expected Shortfall (cVaR)  -5.36%

Payoff Ratio               1.11
Profit Factor              1.45
Common Sense Ratio         1.72
CPC Index                  0.91
Tail Ratio                 1.19
Outlier Win Ratio          6.62
Outlier Loss Ratio         3.81

MTD                        6.23%
3M                         22.25%
6M                         107.82%
YTD                        79.59%
1Y                         287.99%
3Y (ann.)                  99.0%
5Y (ann.)                  91.31%
10Y (ann.)                 67.11%
All-time (ann.)            98.79%

Best Day                   47.77%
Worst Day                  -23.29%
Best Month                 110.28%
Worst Month                -37.29%
Best Year                  1660.6%
Worst Year                 -23.61%

Avg. Drawdown              -7.11%
Avg. Drawdown Days         22
Recovery Factor            1186746.28
Ulcer Index                inf

Avg. Up Month              14.65%
Avg. Down Month            -8.33%
Win Days %                 56.48%
Win Month %                67.83%
Win Quarter %              70.89%
Win Year %                 90.48%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2001-01-03	2001-04-09	2001-04-20	107	-60.229267	-55.547699
2	2011-05-11	2011-12-09	2012-03-22	316	-51.407849	-50.595542
3	2002-01-18	2002-04-05	2002-12-04	320	-48.057190	-46.355764
4	2010-05-27	2010-09-23	2011-01-24	242	-42.591369	-42.477259
5	2004-02-12	2004-04-28	2004-08-06	176	-38.780453	-38.542367

Strategy Visualization