Dado la disyuntiva del mercado, hemos vuelto a preguntar a nuestro oráculo alpha.
Estos son sus predicciones:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-01-09 End Period 2020-06-21 Risk-Free Rate 0.0% Time in Market 98.0% Cumulative Return 2,068.43% CAGR% 16.22% Sharpe 3.2 Sortino 5.54 Max Drawdown -15.84% Longest DD Days 322 Volatility (ann.) 23.56% Calmar 1.02 Skew 0.32 Kurtosis 2.04 Expected Daily % 0.29% Expected Monthly % 1.26% Expected Yearly % 15.78% Kelly Criterion 24.68% Risk of Ruin 0.0% Daily Value-at-Risk -2.14% Expected Shortfall (cVaR) -2.14% Payoff Ratio 1.23 Profit Factor 1.73 Common Sense Ratio 2.27 CPC Index 1.25 Tail Ratio 1.31 Outlier Win Ratio 3.49 Outlier Loss Ratio 3.2 MTD 8.24% 3M 18.9% 6M 17.55% YTD 18.5% 1Y 24.34% 3Y (ann.) 17.9% 5Y (ann.) 18.46% 10Y (ann.) 16.2% All-time (ann.) 16.22% Best Day 7.4% Worst Day -6.4% Best Month 9.62% Worst Month -7.22% Best Year 56.57% Worst Year 4.11% Avg. Drawdown -2.44% Avg. Drawdown Days 45 Recovery Factor 130.58 Ulcer Index inf Avg. Up Month 2.78% Avg. Down Month -1.68% Win Days % 58.45% Win Month % 67.5% Win Quarter % 78.75% Win Year % 100.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-09-07 | 2008-10-19 | 2009-02-15 | 161 | -15.840788 | -15.021691 |
| 2 | 2009-02-22 | 2009-03-22 | 2009-05-24 | 91 | -11.766750 | -10.798122 |
| 3 | 2011-08-07 | 2011-10-02 | 2012-04-01 | 238 | -10.951032 | -10.737131 |
| 4 | 2001-10-14 | 2001-11-18 | 2002-01-27 | 105 | -8.843769 | -7.324046 |
| 5 | 2007-07-22 | 2007-11-25 | 2008-06-08 | 322 | -8.811696 | -8.697533 |
Strategy Visualization
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