Una semanita regular con una pequeña perdida en nuestro sistema del Oro.
Aquí están los datos:
Performance Metrics
Strategy Benchmark ------------------------- --------------- ----------------- Start Period 2000-10-18 2000-10-18 End Period 2020-06-01 2020-06-01 Risk-Free Rate 0.0% 0.0% Time in Market 78.0% 80.0% Cumulative Return 406,054,397.41% 2,455,161,320.65% CAGR% 117.07% 137.91% Sharpe 1.6 1.81 Sortino 2.77 3.26 Max Drawdown -56.68% -49.64% Longest DD Days 687 869 Volatility (ann.) 57.77% 55.02% R^2 0.27 0.27 Calmar 2.07 2.78 Skew 2.15 1.76 Kurtosis 29.15 14.04 Expected Daily % 0.3% 0.34% Expected Monthly % 6.63% 7.44% Expected Yearly % 106.39% 124.86% Kelly Criterion 17.15% 17.82% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -5.62% -5.31% Expected Shortfall (cVaR) -5.62% -5.31% Payoff Ratio 1.25 1.25 Profit Factor 1.44 1.51 Common Sense Ratio 1.9 1.98 CPC Index 0.97 1.02 Tail Ratio 1.32 1.32 Outlier Win Ratio 6.42 6.47 Outlier Loss Ratio 3.89 4.18 MTD -2.3% -1.39% 3M 47.47% -1.0% 6M 50.21% 24.35% YTD 29.12% 6.46% 1Y 106.56% 87.51% 3Y (ann.) 62.2% 45.37% 5Y (ann.) 57.42% 48.78% 10Y (ann.) 79.49% 68.79% All-time (ann.) 117.07% 137.91% Best Day 65.29% 35.19% Worst Day -18.94% -16.78% Best Month 74.37% 75.98% Worst Month -42.73% -21.69% Best Year 273.33% 643.88% Worst Year -2.29% -11.11% Avg. Drawdown -7.4% -6.68% Avg. Drawdown Days 21 22 Recovery Factor 7164413.4 49455330.34 Ulcer Index 1.0 1.0 Avg. Up Month 16.81% 15.3% Avg. Down Month -7.82% -6.99% Win Days % 54.02% 54.4% Win Month % 67.41% 67.8% Win Quarter % 82.05% 82.28% Win Year % 95.24% 90.48% Beta 0.55 - Alpha 0.38 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-07-16 | 2008-09-11 | 2008-09-18 | 64 | -56.676573 | -52.021574 |
| 2 | 2011-11-08 | 2011-12-29 | 2012-06-07 | 212 | -49.530348 | -46.268101 |
| 3 | 2020-03-10 | 2020-03-19 | 2020-04-09 | 30 | -48.319480 | -47.290005 |
| 4 | 2014-05-06 | 2014-10-03 | 2016-03-23 | 687 | -43.530454 | -37.971635 |
| 5 | 2013-05-01 | 2013-06-27 | 2013-08-01 | 92 | -37.354661 | -31.144987 |
Strategy Visualization
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