Seguimos con una buena rentabilidad en nuestro sistema del oro después de dejar atrás un periodo de drawdown. Ahora incluínos esta estrategia en nuestro Darwin FOO.
Tenemos un CAGR del 107% frente a un máximo drawdown de mas menos el 50%, por tanto deberíamos normalizar a un CAGR entorno al 50% y draw del 25%. El sharpe ratio del 1,5, nos indica una buena perfomance.
Este sistema lleva desde 2019 aplicandose en varias cuentas, lo puedes seguir en este demo en :
las estadísticas del sistema son:
Estrategia en el Oro 3 Jan, 2000 - 19 Nov, 2021
Generated by QuantStats (v. 0.0.43)
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 76.0% |
| Cumulative Return | 844,303,575.94% |
| CAGR﹪ | 107.19% |
| Sharpe | 1.52 |
| Smart Sharpe | 1.51 |
| Sortino | 2.65 |
| Smart Sortino | 2.64 |
| Sortino/√2 | 1.88 |
| Smart Sortino/√2 | 1.86 |
| Omega | 1.43 |
| Max Drawdown | -55.05% |
| Longest DD Days | 687 |
| Volatility (ann.) | 57.33% |
| Calmar | 1.95 |
| Skew | 2.45 |
| Kurtosis | 33.24 |
| Expected Daily % | 0.28% |
| Expected Monthly % | 6.25% |
| Expected Yearly % | 106.46% |
| Kelly Criterion | 16.32% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -5.59% |
| Expected Shortfall (cVaR) | -5.59% |
| Gain/Pain Ratio | 0.43 |
| Gain/Pain (1M) | 3.58 |
| Payoff Ratio | 1.21 |
| Profit Factor | 1.43 |
| Common Sense Ratio | 1.86 |
| CPC Index | 0.94 |
| Tail Ratio | 1.3 |
| Outlier Win Ratio | 6.54 |
| Outlier Loss Ratio | 4.16 |
| MTD | 11.14% |
| 3M | 12.91% |
| 6M | 45.57% |
| YTD | 48.81% |
| 1Y | 59.53% |
| 3Y (ann.) | 79.48% |
| 5Y (ann.) | 54.39% |
| 10Y (ann.) | 58.74% |
| All-time (ann.) | 107.19% |
| Best Day | 65.29% |
| Worst Day | -18.94% |
| Best Month | 74.37% |
| Worst Month | -42.73% |
| Best Year | 273.6% |
| Worst Year | -5.14% |
| Avg. Drawdown | -7.65% |
| Avg. Drawdown Days | 24 |
| Recovery Factor | 15338084.76 |
| Ulcer Index | 0.13 |
| Serenity Index | 9207180.91 |
| Avg. Up Month | 15.03% |
| Avg. Down Month | -7.29% |
| Win Days % | 54.22% |
| Win Month % | 67.76% |
| Win Quarter % | 81.61% |
| Win Year % | 90.91% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 53.11% | 47.03% |
| 2001 | 31.78% | 12.44% |
| 2002 | 147.84% | 273.33% |
| 2003 | 144.65% | 273.6% |
| 2004 | 89.58% | 107.88% |
| 2005 | 97.98% | 133.92% |
| 2006 | 126.76% | 206.24% |
| 2007 | 106.34% | 154.82% |
| 2008 | 186.12% | 262.36% |
| 2009 | 138.31% | 209.9% |
| 2010 | 121.01% | 192.2% |
| 2011 | 93.29% | 104.7% |
| 2012 | 138.5% | 252.35% |
| 2013 | 74.06% | 73.58% |
| 2014 | 14.03% | 5.52% |
| 2015 | 2.46% | -2.5% |
| 2016 | 85.74% | 104.67% |
| 2017 | 88.19% | 126.66% |
| 2018 | -1.52% | -5.14% |
| 2019 | 62.92% | 77.96% |
| 2020 | 98.74% | 95.89% |
| 2021 | 47.96% | 48.81% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-16 | 2008-09-18 | -55.05 | 64 |
| 2011-11-08 | 2012-06-21 | -49.53 | 226 |
| 2020-03-10 | 2020-04-09 | -48.32 | 30 |
| 2014-05-06 | 2016-03-23 | -44.25 | 687 |
| 2013-05-01 | 2013-08-01 | -37.35 | 92 |
| 2021-01-06 | 2021-08-06 | -34.65 | 212 |
| 2000-02-07 | 2001-05-18 | -34.10 | 466 |
| 2016-11-07 | 2017-06-06 | -33.86 | 211 |
| 2006-09-29 | 2006-11-02 | -29.87 | 34 |
| 2005-03-14 | 2005-08-12 | -29.68 | 151 |
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