La Semanita en el Nasdaq

Buenas a tod@s:

Tal como dijimos en nuestro anterior post, la evolución del nasdaq marcaría la evolución de nuestro sistema. Un Nasdaq con alta volatilidad y tendencia alcista no es un escenario muy validado. Por eso, nuestro sistema se suele poner corto y la evolución del nasdaq es al contrario. Conclusión Drawdown rápido, ahora a esperar la recuperación.

Performance Metrics

                           Strategy
-------------------------  --------------
Start Period               2000-10-18
End Period                 2020-07-21
Risk-Free Rate             0.0%
Time in Market             73.0%

Cumulative Return          76,892,436.71%
CAGR%                      98.48%
Sharpe                     1.62
Sortino                    2.68
Max Drawdown               -57.76%
Longest DD Days            321
Volatility (ann.)          54.74%
Calmar                     1.71
Skew                       1.39
Kurtosis                   18.32

Expected Daily %           0.29%
Expected Monthly %         5.86%
Expected Yearly %          90.67%
Kelly Criterion            17.25%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.32%
Expected Shortfall (cVaR)  -5.32%

Payoff Ratio               1.12
Profit Factor              1.44
Common Sense Ratio         1.71
CPC Index                  0.91
Tail Ratio                 1.19
Outlier Win Ratio          6.61
Outlier Loss Ratio         3.82

MTD                        -1.57%
3M                         7.24%
6M                         75.43%
YTD                        78.5%
1Y                         145.74%
3Y (ann.)                  84.02%
5Y (ann.)                  96.82%
10Y (ann.)                 80.69%
All-time (ann.)            98.48%

Best Day                   47.77%
Worst Day                  -23.29%
Best Month                 121.67%
Worst Month                -37.29%
Best Year                  1072.65%
Worst Year                 -3.72%

Avg. Drawdown              -6.91%
Avg. Drawdown Days         22
Recovery Factor            1331257.68
Ulcer Index                inf

Avg. Up Month              14.22%
Avg. Down Month            -7.78%
Win Days %                 56.23%
Win Month %                67.67%
Win Quarter %              73.75%
Win Year %                 95.24%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2001-01-03	2001-04-09	2001-04-18	105	-57.759244	-53.826137
2	2002-01-18	2002-04-05	2002-12-05	321	-49.550027	-47.897500
3	2010-05-27	2010-09-23	2011-01-24	242	-42.591369	-42.477259
4	2004-02-12	2004-04-28	2004-08-05	175	-38.780453	-38.542367
5	2011-05-11	2011-11-29	2012-01-25	259	-38.741939	-38.041039

Strategy Visualization