Buena semana la anterior, con una fuerte revalorización. Ha habido una vuelta rápida en la cotización en la que no hemos entrado
| Metric | Strategy |
|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 75.0% |
|
| Cumulative Return | 406.12% |
| CAGR﹪ | 47.27% |
|
| Sharpe | 1.01 |
| Smart Sharpe | 0.94 |
| Sortino | 1.62 |
| Smart Sortino | 1.5 |
| Sortino/√2 | 1.14 |
| Smart Sortino/√2 | 1.06 |
| Omega | 1.28 |
|
| Max Drawdown | -48.32% |
| Longest DD Days | 309 |
| Volatility (ann.) | 48.7% |
| Calmar | 0.98 |
| Skew | 1.21 |
| Kurtosis | 16.72 |
|
| Expected Daily % | 0.15% |
| Expected Monthly % | 3.23% |
| Expected Yearly % | 38.31% |
| Kelly Criterion | 12.07% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -4.85% |
| Expected Shortfall (cVaR) | -4.85% |
|
| Gain/Pain Ratio | 0.28 |
| Gain/Pain (1M) | 1.62 |
|
| Payoff Ratio | 1.07 |
| Profit Factor | 1.28 |
| Common Sense Ratio | 1.48 |
| CPC Index | 0.75 |
| Tail Ratio | 1.15 |
| Outlier Win Ratio | 7.54 |
| Outlier Loss Ratio | 4.23 |
|
| MTD | 9.42% |
| 3M | 10.48% |
| 6M | 16.43% |
| YTD | 4.0% |
| 1Y | 84.53% |
| 3Y (ann.) | 68.51% |
| 5Y (ann.) | 47.27% |
| 10Y (ann.) | 47.27% |
| All-time (ann.) | 47.27% |
|
| 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 | -9.75% |
| Avg. Drawdown Days | 41 |
| Recovery Factor | 8.4 |
| Ulcer Index | 0.14 |
| Serenity Index | 3.53 |
|
| Avg. Up Month | 11.42% |
| Avg. Down Month | -7.66% |
| Win Days % | 54.48% |
| Win Month % | 62.5% |
| Win Quarter % | 76.47% |
| Win Year % | 80.0% |
| Year | Return | Cumulative |
|---|
| 2018 | -3.72% | -7.19% |
| 2019 | 62.92% | 77.96% |
| 2020 | 98.74% | 95.89% |
| 2021 | 49.63% | 50.41% |
| 2022 | 4.69% | 4.0% |
| 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 |
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