Buenas noticias en nuestro Darwin y estrategia.
Performance Metrics
Strategy ------------------------- -------------- Start Period 2000-10-18 End Period 2020-05-11 Risk-Free Rate 0.0% Time in Market 73.0% Cumulative Return 72,254,857.87% CAGR% 99.2% Sharpe 1.63 Sortino 2.72 Max Drawdown -51.35% Longest DD Days 328 Volatility (ann.) 54.38% Calmar 1.93 Skew 1.54 Kurtosis 19.78 Expected Daily % 0.3% Expected Monthly % 5.88% Expected Yearly % 90.11% Kelly Criterion 17.47% Risk of Ruin 0.0% Daily Value-at-Risk -5.28% Expected Shortfall (cVaR) -5.28% Payoff Ratio 1.12 Profit Factor 1.45 Common Sense Ratio 1.72 CPC Index 0.91 Tail Ratio 1.19 Outlier Win Ratio 6.57 Outlier Loss Ratio 3.84 MTD 6.51% 3M 52.28% 6M 128.42% YTD 80.06% 1Y 236.37% 3Y (ann.) 95.44% 5Y (ann.) 90.73% 10Y (ann.) 76.07% All-time (ann.) 99.2% Best Day 47.77% Worst Day -21.89% Best Month 97.24% Worst Month -28.78% Best Year 1494.21% Worst Year -9.37% Avg. Drawdown -6.89% Avg. Drawdown Days 22 Recovery Factor 1407089.3 Ulcer Index inf Avg. Up Month 14.58% Avg. Down Month -7.95% Win Days % 56.48% Win Month % 66.96% Win Quarter % 70.89% Win Year % 90.48%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2000-12-13 | 2001-04-09 | 2001-04-20 | 128 | -51.350585 | -45.623872 |
| 2 | 2002-01-18 | 2002-04-05 | 2002-12-12 | 328 | -49.550027 | -47.897500 |
| 3 | 2010-05-27 | 2010-09-23 | 2011-01-24 | 242 | -42.591369 | -42.477259 |
| 4 | 2011-05-11 | 2011-12-09 | 2012-02-03 | 268 | -42.351230 | -41.410757 |
| 5 | 2004-02-12 | 2004-04-28 | 2004-08-06 | 176 | -38.780453 | -38.542367 |
Strategy Visualization
0 Comentarios