Alpha en el Dow

Buenas a tod@s !!!

Sacar alpha al Dow o al Sp siempre será nuestro objetivo. Lo comparamos con el propio Dow.

Obtenemos:

un CAGR del 22% frente al 4%.

Sharpe del 2,78 frente al 0,72

Performance Metrics

                           Strategy    Benchmark
-------------------------  ----------  -----------
Start Period               2000-01-02  2000-01-02
End Period                 2020-09-27  2020-09-27
Risk-Free Rate             0.0%        0.0%
Time in Market             98.0%       100.0%

Cumulative Return          6,258.16%   138.25%
CAGR%                      22.15%      4.27%
Sharpe                     2.78        0.72
Sortino                    4.95        0.99
Max Drawdown               -26.39%     -52.98%
Longest DD Days            623         2450
Volatility (ann.)          37.33%      39.06%
R^2                        0.41        0.41
Calmar                     0.84        0.08
Skew                       1.42        -0.66
Kurtosis                   11.44       7.75

Expected Daily %           0.38%       0.08%
Expected Monthly %         1.68%       0.35%
Expected Yearly %          21.86%      4.22%
Kelly Criterion            24.63%      1.2%
Risk of Ruin               0.0%        0.0%
Daily Value-at-Risk        -3.46%      -3.94%
Expected Shortfall (cVaR)  -3.46%      -3.94%

Payoff Ratio               1.15        0.81
Profit Factor              1.69        1.14
Common Sense Ratio         2.08        1.01
CPC Index                  1.16        0.51
Tail Ratio                 1.23        0.89
Outlier Win Ratio          4.25        4.32
Outlier Loss Ratio         4.13        3.44

MTD                        -1.56%      -5.16%
3M                         6.28%       5.03%
6M                         56.41%      41.72%
YTD                        28.18%      -5.14%
1Y                         34.76%      0.89%
3Y (ann.)                  29.4%       6.75%
5Y (ann.)                  22.23%      10.64%
10Y (ann.)                 22.42%      9.61%
All-time (ann.)            22.15%      4.27%

Best Day                   20.31%      12.84%
Worst Day                  -9.88%      -18.15%
Best Month                 13.67%      13.73%
Worst Month                -12.91%     -25.37%
Best Year                  48.15%      27.36%
Worst Year                 -3.28%      -36.29%

Avg. Drawdown              -2.86%      -4.94%
Avg. Drawdown Days         33          135
Recovery Factor            237.1       2.61
Ulcer Index                inf         1.04

Avg. Up Month              3.91%       3.48%
Avg. Down Month            -3.02%      -5.3%
Win Days %                 59.66%      55.86%
Win Month %                69.55%      61.45%
Win Quarter %              83.95%      61.45%
Win Year %                 95.24%      66.67%

Beta                       0.61        -
Alpha                      0.87        -

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2008-08-24	2008-11-23	2009-01-04	133	-26.394930	-22.946854
2	2020-02-23	2020-03-22	2020-04-12	49	-21.407020	-14.025418
3	2001-02-11	2001-09-23	2002-10-27	623	-18.304685	-15.535747
4	2009-02-15	2009-03-08	2009-04-05	49	-16.426989	-12.494094
5	2010-05-02	2010-05-09	2010-09-19	140	-9.359327	-8.757362

Strategy Visualization

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