Backtest Dashboard
Risico Analyse — Trading Navigator v18
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.57%
Dagelijks
VaR 99% ?
-2.98%
Dagelijks
CVaR 95% ?
-2.53%
Expected Shortfall
Slechtste Dag
-8.3%
2020-03-12
Skewness ?
0.08
Symmetrisch
Kurtosis ?
10.42
Dikke staarten
Slechtste Week
-14.8%
Slechtste Maand
-12.3%
Beste Dag
9.9%
2020-03-17
% Negatieve Dagen
45.0%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-12-27 | 2009-03-05 | 2011-04-28 | -40.5% | 1218 | 784 |
| 2 | 2020-02-20 | 2020-03-25 | 2020-07-01 | -22.3% | 132 | 98 |
| 3 | 2018-10-02 | 2018-12-24 | 2019-04-01 | -17.3% | 181 | 98 |
| 4 | 2011-07-08 | 2011-08-10 | 2012-02-03 | -16.0% | 210 | 177 |
| 5 | 2022-04-11 | 2022-09-30 | 2022-11-22 | -14.1% | 225 | 53 |