Nuestro sistema en el oro

Podemos hacer balance anual en nuestro sistema principal en el Oro. Hemos obtenido una rentabilidad del 50%, aunque la deberiamos dividir por dos para tener una rentabilidad comparable. El peor mes ha sido Enero frente al mejor agosto. La volatilidad se ha mentenido controlada, mientras mejoraba nuestro sharpe ratio. De momento desde el 2017 ya son cuatro años de predicción

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	75.0%
Cumulative Return	371.76%
CAGR﹪	47.3%
Sharpe	1.01
Smart Sharpe	0.93
Sortino	1.61
Smart Sortino	1.49
Sortino/√2	1.14
Smart Sortino/√2	1.05
Omega	1.28
Max Drawdown	-48.32%
Longest DD Days	309
Volatility (ann.)	49.49%
Calmar	0.98
Skew	1.2
Kurtosis	16.34
Expected Daily %	0.15%
Expected Monthly %	3.22%
Expected Yearly %	36.38%
Kelly Criterion	12.05%
Risk of Ruin	0.0%
Daily Value-at-Risk	-4.93%
Expected Shortfall (cVaR)	-4.93%
Gain/Pain Ratio	0.28
Gain/Pain (1M)	1.65
Payoff Ratio	1.06
Profit Factor	1.28
Common Sense Ratio	1.48
CPC Index	0.74
Tail Ratio	1.16
Outlier Win Ratio	7.48
Outlier Loss Ratio	4.23
MTD	-3.06%
3M	12.75%
6M	39.73%
YTD	-3.06%
1Y	45.81%
3Y (ann.)	71.45%
5Y (ann.)	47.3%
10Y (ann.)	47.3%
All-time (ann.)	47.3%
Best Day	26.25%
Worst Day	-16.94%
Best Month	44.14%
Worst Month	-22.53%
Best Year	95.89%
Worst Year	-7.19%
Avg. Drawdown	-9.71%
Avg. Drawdown Days	40
Recovery Factor	7.69
Ulcer Index	0.14
Serenity Index	3.17
Avg. Up Month	11.7%
Avg. Down Month	-7.28%
Win Days %	54.75%
Win Month %	60.87%
Win Quarter %	70.59%
Win Year %	60.0%

Year	Return	Cumulative
2018	-3.72%	-7.19%
2019	62.92%	77.96%
2020	98.74%	95.89%
2021	49.63%	50.41%
2022	-3.06%	-3.06%

Started	Recovered	Drawdown	Days
2020-03-10	2020-04-09	-48.32	30
2021-01-06	2021-08-06	-34.65	212
2020-10-12	2020-12-30	-26.62	79
2018-04-12	2019-02-15	-26.40	309
2019-02-20	2019-06-18	-24.84	118
2018-01-25	2018-04-11	-16.97	76
2020-01-08	2020-03-03	-15.94	55
2020-06-08	2020-07-21	-15.09	43
2020-04-24	2020-05-26	-12.23	32
2019-08-02	2019-12-24	-12.18	144