Backtest Dashboard
Risico Analyse — Geoffrey's Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.29%
Dagelijks
VaR 99% ?
-2.16%
Dagelijks
CVaR 95% ?
-1.81%
Expected Shortfall
Slechtste Dag
-4.9%
2020-03-09
Skewness ?
-0.44
Symmetrisch
Kurtosis ?
1.74
Normaal
Slechtste Week
-10.1%
Slechtste Maand
-9.0%
Beste Dag
3.3%
2019-12-09
% Negatieve Dagen
46.4%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-13 | 2009-05-13 | 2013-11-13 | -41.1% | 2315 | 1645 |
| 2 | 2015-03-20 | 2016-02-09 | 2017-12-15 | -30.2% | 1001 | 675 |
| 3 | 2020-01-21 | 2020-04-03 | 2020-12-18 | -22.9% | 332 | 259 |
| 4 | 2021-11-09 | 2023-05-04 | 2025-09-22 | -17.6% | 1413 | 872 |
| 5 | 2018-07-10 | 2018-12-24 | 2019-06-20 | -13.5% | 345 | 178 |