Seguimos un poco parados en el Oro ahora que todo parece mas estabilizado. De momento se plantean dos distribuciones diferentes, pues el comportamiento de nuestros dos sistemas han sido muy diferentes.
Os dejo los datos.
Tambien podeis seguir la estrategia en Darwinex
Strategy ------------------ --------------- Start Period 2000-10-18 End Period 2020-05-08 Risk-Free Rate 0.0% Time in Market 78.0% Cumulative Return 409,536,896.79% CAGR% 117.74% Sharpe 1.6 Sortino 2.78 Max Drawdown -56.68% Longest DD Days 687 Payoff Ratio 1.23 Profit Factor 1.44 Common Sense Ratio 1.9 CPC Index 0.96 Tail Ratio 1.31 Outlier Win Ratio 6.43 Outlier Loss Ratio 4.22 MTD 6.16% 3M 29.94% 6M 50.51% YTD 30.22% 1Y 133.3% 3Y (ann.) 69.71% 5Y (ann.) 58.67% 10Y (ann.) 82.53% All-time (ann.) 117.74% Avg. Drawdown -7.39% Avg. Drawdown Days 21 Recovery Factor 7225858.53 Ulcer Index 1.0
Strategy ------------------ ----------------- Start Period 2000-10-18 End Period 2020-05-08 Risk-Free Rate 0.0% Time in Market 79.0% Cumulative Return 2,652,541,894.41% CAGR% 139.55% Sharpe 1.83 Sortino 3.28 Max Drawdown -49.64% Longest DD Days 869 Payoff Ratio 1.26 Profit Factor 1.51 Common Sense Ratio 1.98 CPC Index 1.04 Tail Ratio 1.31 Outlier Win Ratio 6.48 Outlier Loss Ratio 3.82 MTD -5.8% 3M 6.31% 6M 31.3% YTD 15.02% 1Y 103.95% 3Y (ann.) 54.96% 5Y (ann.) 53.74% 10Y (ann.) 71.41% All-time (ann.) 139.55% Avg. Drawdown -6.67% Avg. Drawdown Days 22 Recovery Factor 53431248.9 Ulcer Index 1.0
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