Buenas a tod@s !!
Como seguimiento a nuestros artículos de durmiendo la siesta, vamos con una actualización de algunos de los sistemas que teníamos olvidados.
En este caso es un sistema sobre el nasdaq, que se desarrolla en el periodo 2000-2019, es decir, no incluye el COVID. Vemos como se ha comportado.
Aquí tenemos la estadística del sistema
Performance Metrics
| Strategy | |
|---|---|
| Start Period | 2000-10-18 |
| End Period | 2021-04-23 |
| Risk-Free Rate | 0 |
| Time in Market | 0.79 |
| Cumulative Return | 38,972.11 |
| CAGR% | 0.67 |
| Sharpe | 1.29 |
| Sortino | 2.02 |
| Max Drawdown | -0.67 |
| Longest DD Days | 689 |
| Volatility (ann.) | 0.54 |
| Calmar | 1 |
| Skew | 0.44 |
| Kurtosis | 8.05 |
| Expected Daily % | 0 |
| Expected Monthly % | 0.04 |
| Expected Yearly % | 0.62 |
| Kelly Criterion | 0.14 |
| Risk of Ruin | 0 |
| Daily Value-at-Risk | -0.05 |
| Expected Shortfall (cVaR) | -0.05 |
| Payoff Ratio | 1.13 |
| Profit Factor | 1.33 |
| Common Sense Ratio | 1.62 |
| CPC Index | 0.81 |
| Tail Ratio | 1.22 |
| Outlier Win Ratio | 6.69 |
| Outlier Loss Ratio | 4.34 |
| MTD | 0.02 |
| 3M | 0.2 |
| 6M | 0.56 |
| YTD | 0.27 |
| 1Y | 1.5 |
| 3Y (ann.) | 0.82 |
| 5Y (ann.) | 0.64 |
| 10Y (ann.) | 0.54 |
| All-time (ann.) | 0.67 |
| Best Day | 0.26 |
| Worst Day | -0.26 |
| Best Month | 0.64 |
| Worst Month | -0.38 |
| Best Year | 6.97 |
| Worst Year | -0.34 |
| Avg. Drawdown | -0.06 |
| Avg. Drawdown Days | 23 |
| Recovery Factor | 57883.8 |
| Ulcer Index | inf |
| Avg. Up Month | 0.13 |
| Avg. Down Month | -0.12 |
| Win Days % | 0.54 |
| Win Month % | 0.71 |
| Win Quarter % | 0.76 |
| Win Year % | 0.82 |
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-06-09 | 2009-03-20 | 2009-07-15 | 401 | -67.328134 | -66.740508 |
| 2 | 2002-01-18 | 2002-08-05 | 2003-01-07 | 354 | -57.248693 | -55.350778 |
| 3 | 2018-10-01 | 2019-01-29 | 2019-08-08 | 311 | -49.116222 | -47.795461 |
| 4 | 2015-07-21 | 2015-09-28 | 2017-06-09 | 689 | -46.377907 | -45.320536 |
| 5 | 2011-05-11 | 2011-10-03 | 2012-02-10 | 275 | -44.469284 | -38.982887 |
Strategy Visualization
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