Nuestro semestre en el XAUUSD ( ORO )

Buenas a tod@s !!

Tiempo de ver desempeños, en este caso en el Oro.

Hemos tenido fuertes vaivenes, pero el desempeño ha sido expectacular. Para hacr una evolución mas exacta deberiamos dividir por 2 o por tres el CAGR y MaxDrawdown.

Esto nos llevaría a rentabilidades entorno al 50% y MaxDrawdown entorno al 25%. El sharpe ratio esta entorno al 1,6.

Estamos saliendo del drawdown, y parece que nos vienen buenas noticias.

Os dejo la estadística.

Performance Metrics

                           Strategy         Benchmark
-------------------------  ---------------  -----------------
Start Period               2000-10-18       2000-10-18
End Period                 2020-07-06       2020-07-06
Risk-Free Rate             0.0%             0.0%
Time in Market             78.0%            79.0%

Cumulative Return          436,952,025.30%  2,771,545,275.49%
CAGR%                      117.06%          138.37%
Sharpe                     1.6              1.82
Sortino                    2.77             3.27
Max Drawdown               -56.68%          -49.64%
Longest DD Days            687              869
Volatility (ann.)          57.77%           54.9%
R^2                        0.27             0.27
Calmar                     2.07             2.79
Skew                       2.14             1.76
Kurtosis                   29.02            14.1

Expected Daily %           0.3%             0.34%
Expected Monthly %         6.64%            7.47%
Expected Yearly %          107.11%          126.16%
Kelly Criterion            17.13%           17.87%
Risk of Ruin               0.0%             0.0%
Daily Value-at-Risk        -5.62%           -5.29%
Expected Shortfall (cVaR)  -5.62%           -5.29%

Payoff Ratio               1.24             1.24
Profit Factor              1.44             1.51
Common Sense Ratio         1.9              1.99
CPC Index                  0.97             1.02
Tail Ratio                 1.32             1.32
Outlier Win Ratio          6.41             6.49
Outlier Loss Ratio         3.88             4.18

MTD                        1.01%            1.63%
3M                         37.87%           -11.93%
6M                         38.94%           17.72%
YTD                        38.94%           20.18%
1Y                         52.38%           51.3%
3Y (ann.)                  70.57%           56.39%
5Y (ann.)                  60.47%           52.81%
10Y (ann.)                 79.01%           70.12%
All-time (ann.)            117.06%          138.37%

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              -7.41%           -6.68%
Avg. Drawdown Days         21               22
Recovery Factor            7709570.35       55828383.25
Ulcer Index                1.0              1.0

Avg. Up Month              16.59%           15.14%
Avg. Down Month            -7.94%           -7.12%
Win Days %                 54.06%           54.5%
Win Month %                68.0%            68.35%
Win Quarter %              82.28%           82.5%
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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