Backtest Dashboard
Risico Analyse — Trend Following
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-2.11%
Dagelijks
VaR 99% ?
-3.79%
Dagelijks
CVaR 95% ?
-3.32%
Expected Shortfall
Slechtste Dag
-12.0%
2020-03-16
Skewness ?
-0.60
Negatief scheef
Kurtosis ?
6.37
Dikke staarten
Slechtste Week
-16.5%
Slechtste Maand
-15.8%
Beste Dag
8.8%
2020-03-24
% Negatieve Dagen
43.7%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2008-06-19 | 2009-03-09 | 2010-01-04 | -47.9% | 564 | 301 |
| 2 | 2020-02-21 | 2020-03-18 | 2020-06-22 | -37.6% | 122 | 96 |
| 3 | 2025-02-19 | 2025-04-08 | 2025-07-02 | -22.8% | 133 | 85 |
| 4 | 2018-09-05 | 2018-12-24 | 2019-12-06 | -22.2% | 457 | 347 |
| 5 | 2022-06-08 | 2022-09-26 | 2023-12-22 | -21.0% | 562 | 452 |