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 372.92% CAGR% 42.6% Sharpe 0.95 Sortino 1.5 Max Drawdown -48.32% Longest DD Days 309 Volatility (ann.) 48.76% Calmar 0.88 Skew 1.13 Kurtosis 16.0 Expected Daily % 0.14% Expected Monthly % 2.98% Expected Yearly % 36.45% Kelly Criterion 11.31% Risk of Ruin 0.0% Daily Value-at-Risk -4.87% Expected Shortfall (cVaR) -4.87% Payoff Ratio 1.04 Profit Factor 1.26 Common Sense Ratio 1.39 CPC Index 0.72 Tail Ratio 1.1 Outlier Win Ratio 7.49 Outlier Loss Ratio 4.07 MTD -13.74% 3M 3.48% 6M -2.41% YTD -2.82% 1Y 42.98% 3Y (ann.) 71.93% 5Y (ann.) 42.6% 10Y (ann.) 42.6% All-time (ann.) 42.6% 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 -9.77% Avg. Drawdown Days 39 Recovery Factor 7.72 Ulcer Index inf Avg. Up Month 11.32% Avg. Down Month -7.98% Win Days % 54.76% Win Month % 62.0% Win Quarter % 72.22% Win Year % 60.0%
Year Return Cumulative 2018 41583183376.48% inf% 2019 58208523343.09% inf% 2020 109763638541.25% inf% 2021 169037087764.85% inf% 2022 86136456735.93% inf%
Started Recovered Drawdown Days 2020-03-10 2020-04-09 -48.32 30 2021-01-06 2021-08-06 -34.65 212 2022-04-20 2022-05-19 -26.68 29 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
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