Buenas a tod@s !!
Bonita semana en el oro que como un atardecer en Cádiz es el esplendor de nuestra vida.
Con otros palabras, el sistema sigue funcinando y nos da alegría.
En Julio hemos sumado un 23,4% más para un acumulado en lo que va de año del 70,34%. El CAGR se sigue mostrando muy alto entorno al 100% si bien es cierto que el riesgo máximo medido como dradown es del 66%. Deberíamos dividir al menos por 2 las rentabilidades del modelo.
Ahora le toca una temporada parado esperamos nuevas noticias.
Saludos.
Performance Metrics
Strategy ------------------------- --------------- Start Period 2000-01-03 End Period 2020-07-31 Risk-Free Rate 0.0% Time in Market 77.0% Cumulative Return 800,869,592.36% CAGR% 116.42% Sharpe 1.58 Sortino 2.79 Max Drawdown -56.68% Longest DD Days 687 Volatility (ann.) 57.96% Calmar 2.05 Skew 2.47 Kurtosis 33.2 Expected Daily % 0.3% Expected Monthly % 6.65% Expected Yearly % 113.18% Kelly Criterion 16.77% Risk of Ruin 0.0% Daily Value-at-Risk -5.64% Expected Shortfall (cVaR) -5.64% Payoff Ratio 1.23 Profit Factor 1.45 Common Sense Ratio 1.91 CPC Index 0.96 Tail Ratio 1.32 Outlier Win Ratio 6.56 Outlier Loss Ratio 4.2 MTD 23.84% 3M 28.47% 6M 69.97% YTD 70.34% 1Y 86.83% 3Y (ann.) 74.23% 5Y (ann.) 68.93% 10Y (ann.) 83.79% All-time (ann.) 116.42% Best Day 65.29% Worst Day -18.94% Best Month 74.37% Worst Month -42.73% Best Year 273.33% Worst Year -2.29% Avg. Drawdown -7.44% Avg. Drawdown Days 22 Recovery Factor 14130522.59 Ulcer Index inf Avg. Up Month 15.09% Avg. Down Month -7.03% Win Days % 54.11% Win Month % 68.67% Win Quarter % 82.93% Win Year % 95.24%
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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