CEF
ESTADÍSTICAS BACKTEST: 2005 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 1916% | 16,20% | 16,98% | -20,71% | 5,18 | 54% | 0,99 | 95% |
Diario | ETFs
Estrategia basada en el índice de renta variable S&P 500 que emplea la amplitud del mercado de Bonos CEF como indicador principal para determinar la exposición alcista o bajista. Históricamente, estos bonos han mostrado una alta eficacia como indicador adelantado, proporcionando señales tempranas sobre posibles movimientos del mercado.
Utiliza una posición (alcista o bajista)
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2005 |
| Fecha final del backtest | 31/12/2024 |
| Periodo de desarrollo | 01/01/2005 - 31/12/2018 |
| Fecha estrategia publicada | 01/01/2025 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 19 años |
| Retorno desde Inicio (%) | 1916.93% |
| Mejor mes (%) | 12.70% |
| Peor mes (%) | -8.56% |
| Volatidad anualizada (%) | 16.30 |
| Recovery Factor | 5.32 |
| CAR/MaxDD | 0.78 |
| RAR/MaxDD | 0.82 |
| Profit Factor | 5.18 |
| Payoff Ratio | 4.34 |
| Risk-Reward Ratio | 0.34 |
| Ulcer Index | 5.92 |
| Ulcer Performance Index | 1.82 |
| Sharpe Ratio of trades | 0.45 |
| Sortino Ratio | 1.63 |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 2016929.84 |
| Net Profit | 1916929.84 |
| Net Profit % | 1916.93% |
| Exposure % | 95.43% |
| Annual Return % | 16.20% |
| Risk Adjusted Return % | 16.98% |
| Buy&Hold (SPX) | 8.26% |
| Total transaction costs | 1580.00 |
| All trades | 79 |
| Avg. Profit/Loss % | 4.74% |
| Avg. Bars Held | 22.14 |
| Winners | 43 (54.43 %) |
| Avg. Profit % | 10.28% |
| Avg. Bars Held | 22.14 |
| Max. Consecutive | 7 |
| # bars in largest win | 429 |
| Losers | 36 (45.57 %) |
| Avg. Loss % | -1.87% |
| Avg. Bars Held | 22.14 |
| Max. Consecutive | 7 |
| # bars in largest loss | 90 |
- Familia: Cartera de sistemas
- Operativa: Largos y Cortos
- Max Posiciones: 1
- Rotación/Trades: Media
- Temporalidad: Diaria
- Diversificación: Baja
- Mercados: S&P500
- Clase de activos: ETF
- Comisiones: Incluidas
Índice USA
- S&P500
- No usamos apalancamiento
- El rendimiento es compuesto, se van reinvirtiendo los beneficios
- Los dividendos no están incluidos, deberías añadir entre 2 y 3% más a la rentabilidad anual si los reinviertes en la operativa.
- Las comisiones están incluidas, usamos 10$ para cada operación, la comisión es mayor que la de algunos brokers pero es otra forma de saber que los gastos transaccionales no afectan al rendimiento anual.
- Si quieres saber más sobre nuestra metolodogía puedes leer más información aquí.
UNIVERSO COMPLETO DE ACTIVOS
A veces encontrar su equivalente UCITS puede ser una tarea complicada, en este listado hemos recopilado sus equivalencias.
¿Tienes alguna duda?
Contacta con nosotros para resolvértela.
Únete ahora a la Zona Premium y accede todo el contenido.
Únete ahora a la Zona Premium y accede todo el contenido.
Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| A?o | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.68% | -1.27% | -6.96% | 3.78% | 6.28% | 4.83% | 2.30% | 2.05% | 1.11% | 15.13% | |||
| 2024 | -2.61% | 5.22% | 2.95% | -4.03% | 5.06% | 3.19% | 1.21% | 2.34% | 1.79% | -0.89% | 5.96% | -2.73% | 18.20% |
| 2023 | -0.78% | 3.65% | -3.12% | -1.60% | -0.48% | -1.19% | 3.27% | -5.64% | 2.88% | 1.98% | -7.98% | -1.65% | -10.79% |
| 2022 | -0.53% | 2.81% | -3.09% | 8.42% | -0.18% | 7.00% | -6.37% | 7.87% | 8.66% | -6.09% | -4.79% | 5.92% | 19.28% |
| 2021 | -1.02% | 2.78% | 4.20% | 5.29% | 0.66% | 1.91% | 2.44% | 2.98% | -4.96% | 7.02% | -0.80% | 4.50% | 27.33% |
| 2020 | -0.04% | -7.91% | 2.49% | -2.19% | 4.76% | 1.33% | 5.89% | 6.98% | -4.13% | -2.49% | 10.88% | 3.26% | 18.77% |
| 2019 | 3.32% | 3.24% | 1.36% | 4.08% | -6.38% | 3.75% | 1.51% | -1.67% | 1.48% | 2.21% | 3.62% | 2.40% | 20.09% |
| 2018 | 8.65% | 3.53% | 2.83% | -0.44% | -0.25% | 0.13% | 3.70% | 3.19% | 0.56% | 6.88% | -1.61% | 8.38% | 41.06% |
| 2017 | 1.79% | 3.93% | -0.31% | 0.99% | 1.41% | 0.15% | 2.06% | 0.29% | 1.51% | 2.36% | 1.73% | 0.70% | 17.84% |
| 2016 | -12.35% | 0.47% | 6.18% | 0.39% | 1.70% | -0.17% | 3.65% | 0.12% | -0.50% | -1.73% | 3.68% | 1.43% | 1.70% |
| 2015 | -2.96% | 5.62% | -2.01% | 0.98% | 2.31% | 2.44% | -2.07% | 5.97% | 2.60% | -6.36% | -1.79% | 3.17% | 7.38% |
| 2014 | -3.54% | 4.55% | 0.39% | 0.69% | 2.32% | 1.58% | -1.34% | 3.95% | -1.84% | 5.43% | 2.75% | -0.80% | 14.60% |
| 2013 | 5.12% | 1.28% | 3.34% | 1.92% | 4.73% | 1.81% | -4.87% | 3.12% | -2.61% | -4.78% | -3.36% | -2.47% | 2.52% |
| 2012 | 4.64% | 4.34% | 2.77% | -0.67% | -6.01% | 3.52% | 1.18% | 2.51% | 1.99% | -1.82% | 0.57% | 0.18% | 13.47% |
| 2011 | 2.33% | 3.47% | -0.42% | 2.90% | -1.12% | -2.17% | -2.00% | -5.50% | -7.42% | 10.91% | -0.41% | 0.41% | -0.20% |
| 2010 | -3.63% | 3.12% | 5.65% | 1.55% | -7.95% | -5.62% | 6.83% | -4.50% | 8.37% | 3.82% | 0.00% | 6.13% | 12.84% |
| 2009 | 4.16% | 4.80% | -2.88% | 2.49% | 5.84% | -0.63% | 7.46% | 3.69% | 3.05% | -1.92% | 6.16% | 1.36% | 38.52% |
| 2008 | 5.37% | -4.54% | 1.31% | -2.73% | 1.51% | -0.04% | 0.82% | -1.39% | 9.18% | 12.58% | 3.93% | -0.08% | 27.65% |
| 2007 | 1.50% | -1.96% | 0.76% | 4.42% | 3.39% | -2.19% | 6.64% | -1.14% | -2.10% | 2.31% | 3.83% | 1.51% | 17.84% |
| 2006 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -2.21% | 2.18% | 2.25% | 3.15% | 1.99% | 0.77% | 8.31% |
| 2005 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 15.13 | 1.11 | 5.56 | 22.05 | 17.60 | 4.76 | 15.53 | 15.48 | 1517.22 |