Por fin se ha puesto en marcha nuestro sistema en el Nasdaq.
Veamos como se ha comportado este semana.
Performance Metrics
Strategy ------------------------- -------------- Start Period 2000-10-18 End Period 2020-05-06 Risk-Free Rate 0.0% Time in Market 74.0% Cumulative Return 71,024,687.46% CAGR% 99.13% Sharpe 1.62 Sortino 2.69 Max Drawdown -56.66% Longest DD Days 475 Volatility (ann.) 54.91% Calmar 1.75 Skew 1.52 Kurtosis 18.99 Expected Daily % 0.3% Expected Monthly % 5.88% Expected Yearly % 89.95% Kelly Criterion 17.12% Risk of Ruin 0.0% Daily Value-at-Risk -5.34% Expected Shortfall (cVaR) -5.34% Payoff Ratio 1.12 Profit Factor 1.44 Common Sense Ratio 1.69 CPC Index 0.9 Tail Ratio 1.18 Outlier Win Ratio 6.31 Outlier Loss Ratio 3.89 MTD 2.91% 3M 58.32% 6M 120.92% YTD 69.87% 1Y 182.75% 3Y (ann.) 107.35% 5Y (ann.) 92.65% 10Y (ann.) 74.78% All-time (ann.) 99.13% Best Day 47.77% Worst Day -21.89% Best Month 97.24% Worst Month -28.78% Best Year 1111.87% Worst Year -31.32% Avg. Drawdown -6.71% Avg. Drawdown Days 23 Recovery Factor 1253465.97 Ulcer Index inf Avg. Up Month 14.51% Avg. Down Month -8.69% Win Days % 56.28% Win Month % 68.26% Win Quarter % 73.42% Win Year % 90.48%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2011-05-11 | 2011-12-09 | 2012-08-28 | 475 | -56.662637 | -55.293491 |
| 2 | 2000-12-13 | 2001-04-09 | 2001-04-20 | 128 | -51.350585 | -45.623872 |
| 3 | 2002-01-18 | 2002-04-05 | 2002-11-14 | 300 | -38.587004 | -37.084377 |
| 4 | 2002-12-17 | 2003-03-14 | 2003-05-06 | 140 | -37.439520 | -37.336751 |
| 5 | 2014-03-06 | 2014-05-15 | 2014-12-30 | 299 | -37.000488 | -35.334332 |
Strategy Visualization
){kind=link}
0 Comentarios