Semana de caídas en la bolsa americana, esta semana del -1,8% y nuestra cartera cae un 1,9%.
| Dow | Cartera | __ % __ | |
|---|---|---|---|
| Date | |||
| 2020-05-31 | 0.037521 | 0.034798 | -0.002722 |
| 2020-06-07 | 0.068072 | 0.065532 | -0.002540 |
| 2020-06-14 | -0.055529 | -0.042312 | 0.013217 |
| 2020-06-21 | 0.010385 | 0.018352 | 0.007967 |
| 2020-06-28 | -0.033083 | -0.033397 | -0.000314 |
| 2020-07-05 | 0.032452 | 0.036214 | 0.003762 |
| 2020-07-12 | 0.009600 | 0.014490 | 0.004890 |
| 2020-07-19 | 0.022882 | 0.005838 | -0.017044 |
| 2020-07-26 | -0.007576 | -0.008636 | -0.001060 |
| 2020-08-02 | -0.001570 | -0.004569 | -0.002999 |
| 2020-08-09 | 0.038033 | 0.028064 | -0.009970 |
| 2020-08-16 | 0.018136 | 0.014834 | -0.003302 |
| 2020-08-23 | -0.000025 | 0.001034 | 0.001059 |
| 2020-08-30 | 0.025905 | 0.061599 | 0.035694 |
| 2020-09-06 | -0.018167 | -0.018982 | -0.000815 |
En lo que llevamos de mes -1,9 frente a un rendimiento positivo en el año del 14,68%.
El comportamiento de los valores ha sido:
| 2020-08-30 | 2020-09-06 | _%_ | |
|---|---|---|---|
| AAPL | 124.8075 | 120.96 | -0.0308 |
| CRM | 271.1000 | 254.70 | -0.0605 |
| MSFT | 228.9100 | 214.25 | -0.0640 |
| WMT | 140.3000 | 142.83 | 0.0180 |
| HD | 284.7882 | 269.66 | -0.0531 |
| AMGN | 253.1200 | 248.40 | -0.0186 |
| NKE | 112.2900 | 112.40 | 0.0010 |
| PG | 138.7700 | 137.96 | -0.0058 |
| UNH | 314.3700 | 312.00 | -0.0075 |
| CAT | 143.6300 | 148.18 | 0.0317 |
El buen comportamiento de WMT y de CAT equilibran en parte el rendimiento de AAPL, CRM, MSFT y HD.
Los valores para esta semana son:
| 2020-09-06 | |
|---|---|
| AAPL | 120.96 |
| CRM | 254.70 |
| DOW | 48.60 |
| CAT | 148.18 |
| MSFT | 214.25 |
| NKE | 112.40 |
| AMGN | 248.40 |
| WMT | 142.83 |
| HD | 269.66 |
| PG | 137.96 |
Entra DOW y sale UNH.
Los resultados acumulados son:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-09-06 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 2,506.89% CAGR% 17.54% Sharpe 2.01 Sortino 3.14 Max Drawdown -36.57% Longest DD Days 469 Volatility (ann.) 43.54% Calmar 0.48 Skew 0.35 Kurtosis 10.22 Expected Daily % 0.31% Expected Monthly % 1.35% Expected Yearly % 16.8% Kelly Criterion 18.29% Risk of Ruin 0.0% Daily Value-at-Risk -4.16% Expected Shortfall (cVaR) -4.16% Payoff Ratio 1.03 Profit Factor 1.45 Common Sense Ratio 1.65 CPC Index 0.88 Tail Ratio 1.13 Outlier Win Ratio 4.4 Outlier Loss Ratio 3.72 MTD -1.9% 3M 14.0% 6M 27.4% YTD 14.68% 1Y 22.3% 3Y (ann.) 23.3% 5Y (ann.) 20.99% 10Y (ann.) 21.2% All-time (ann.) 17.54% Best Day 20.72% Worst Day -17.52% Best Month 13.88% Worst Month -23.5% Best Year 44.8% Worst Year -19.49% Avg. Drawdown -3.72% Avg. Drawdown Days 41 Recovery Factor 68.56 Ulcer Index 1.01 Avg. Up Month 3.91% Avg. Down Month -3.68% Win Days % 58.56% Win Month % 67.9% Win Quarter % 75.31% Win Year % 85.71%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-06-08 | 2009-03-08 | 2009-09-20 | 469 | -36.565933 | -36.338046 |
| 2 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -34.342077 | -23.431915 |
| 3 | 2002-03-24 | 2002-10-06 | 2003-06-08 | 441 | -23.699002 | -21.157166 |
| 4 | 2001-05-27 | 2001-09-23 | 2002-03-10 | 287 | -22.026486 | -15.301910 |
| 5 | 2001-02-11 | 2001-04-08 | 2001-05-20 | 98 | -15.426693 | -13.765802 |
Strategy Visualization
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