Nuestra Evolución en el ORO ( XAUSUSD )

Buenas a tod@s !!!

Llevamos tiempo sin acutualizar nuestro sistema en el XAU.

Tenemos dos con sharpe de 1,54 y 1,78 respectivamente y drawdowns muy controlados.

                    Strategy
------------------  ---------------
Start Period        2000-10-18
End Period          2021-04-29
Risk-Free Rate      0.0%
Time in Market      78.0%

Cumulative Return   352,390,430.43%
CAGR%               108.31%

Sharpe              1.54
Sortino             2.67
Sortino/√2          1.89

Max Drawdown        -55.05%
Longest DD Days     687

Gain/Pain Ratio     0.43
Gain/Pain (1M)      3.5

Payoff Ratio        1.21
Profit Factor       1.43
Common Sense Ratio  1.86
CPC Index           0.93
Tail Ratio          1.31
Outlier Win Ratio   6.44
Outlier Loss Ratio  4.16

MTD                 4.27%
3M                  4.4%
6M                  0.04%
YTD                 -8.12%
1Y                  38.25%
3Y (ann.)           45.63%
5Y (ann.)           61.68%
10Y (ann.)          62.09%
All-time (ann.)     108.31%

Avg. Drawdown       -7.82%
Avg. Drawdown Days  23
Recovery Factor     6401719.06
Ulcer Index         1.0

                    Strategy
------------------  -----------------
Start Period        2000-10-18
End Period          2021-04-29
Risk-Free Rate      0.0%
Time in Market      78.0%

Cumulative Return   3,076,709,719.81%
CAGR%               131.48%

Sharpe              1.78
Sortino             3.24
Sortino/√2          2.29

Max Drawdown        -49.64%
Longest DD Days     869

Gain/Pain Ratio     0.51
Gain/Pain (1M)      4.13

Payoff Ratio        1.26
Profit Factor       1.51
Common Sense Ratio  2.01
CPC Index           1.03
Tail Ratio          1.34
Outlier Win Ratio   6.58
Outlier Loss Ratio  3.78

MTD                 2.58%
3M                  -10.48%
6M                  -13.27%
YTD                 -9.09%
1Y                  16.31%
3Y (ann.)           39.83%
5Y (ann.)           52.97%
10Y (ann.)          58.39%
All-time (ann.)     131.48%

Avg. Drawdown       -6.79%
Avg. Drawdown Days  23
Recovery Factor     61975436.91
Ulcer Index         1.0

                    Strategy
------------------  --------------
Start Period        2000-10-18
End Period          2021-04-29
Risk-Free Rate      0.0%
Time in Market      57.0%

Cumulative Return   84,009,840.94%
CAGR%               94.26%

Sharpe              1.3
Sortino             2.27
Sortino/√2          1.61

Max Drawdown        -76.8%
Longest DD Days     835

Gain/Pain Ratio     0.41
Gain/Pain (1M)      2.37

Payoff Ratio        1.2
Profit Factor       1.41
Common Sense Ratio  1.75
CPC Index           0.92
Tail Ratio          1.24
Outlier Win Ratio   9.73
Outlier Loss Ratio  3.46

MTD                 11.91%
3M                  24.5%
6M                  6.33%
YTD                 24.13%
1Y                  -1.57%
3Y (ann.)           11.41%
5Y (ann.)           24.2%
10Y (ann.)          64.59%
All-time (ann.)     94.26%

Avg. Drawdown       -9.88%
Avg. Drawdown Days  33
Recovery Factor     1093822.83
Ulcer Index         1.11