Buenas a tod@s !!
Si vemos el desempeño de nuestra cartera en el ibex podemos obtener un resultado mas o menos aceptable, pero tenemos un problema con el drawdown.
Podemos rectificar mediante machine learning nuestra cartera y obtener unos resultados que podamos defender de manera mas lógica.
En este caso hemos obtado por esta solución.
El CAGR pasa del 14% al 20%
El sharpe pasa de 1,4 al 3
el máximo Drawdown pasa del 57% al 27%
Por tanto tenemos ena mejora en todos los estadísticos objetivo.
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-01-09 End Period 2020-09-27 Risk-Free Rate 0.0% Time in Market 98.0% Cumulative Return 4,687.11% CAGR% 20.51% Sharpe 3.07 Sortino 5.06 Max Drawdown -27.16% Longest DD Days 735 Volatility (ann.) 30.99% Calmar 0.76 Skew 0.18 Kurtosis 5.78 Expected Daily % 0.36% Expected Monthly % 1.57% Expected Yearly % 20.23% Kelly Criterion 24.91% Risk of Ruin 0.0% Daily Value-at-Risk -2.83% Expected Shortfall (cVaR) -2.83% Payoff Ratio 1.18 Profit Factor 1.72 Common Sense Ratio 2.18 CPC Index 1.21 Tail Ratio 1.26 Outlier Win Ratio 3.61 Outlier Loss Ratio 3.73 MTD -5.02% 3M -10.49% 6M 20.09% YTD 0.87% 1Y 12.92% 3Y (ann.) 16.7% 5Y (ann.) 19.4% 10Y (ann.) 20.6% All-time (ann.) 20.51% Best Day 12.9% Worst Day -11.71% Best Month 15.61% Worst Month -17.43% Best Year 49.38% Worst Year -13.8% Avg. Drawdown -2.51% Avg. Drawdown Days 40 Recovery Factor 172.6 Ulcer Index inf Avg. Up Month 3.35% Avg. Down Month -2.88% Win Days % 59.28% Win Month % 73.25% Win Quarter % 80.25% Win Year % 95.24%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2007-07-22 | 2009-03-08 | 2009-07-26 | 735 | -27.155273 | -25.526259 |
| 2 | 2011-05-29 | 2011-09-25 | 2012-09-23 | 483 | -20.057561 | -18.734344 |
| 3 | 2020-02-02 | 2020-03-22 | 2020-05-03 | 91 | -18.408689 | -14.527574 |
| 4 | 2020-06-14 | 2020-08-02 | 2020-09-27 | 105 | -12.744287 | -11.704571 |
| 5 | 2015-04-19 | 2015-09-27 | 2016-04-03 | 350 | -11.832287 | -11.379129 |
Strategy Visualization
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