MACD Semanal
ESTADÍSTICAS BACKTEST: 2000 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 395% | 6,61% | 9,24% | -23,71% | 6,07 | 48% | 0,54 | 71% |
Semanal | ETFs | JAlfayate
Sistema Semanal sobre una cesta de ETF’s.
Sistema de 6 posiciones basado en el cruce de la Línea del MACD con respecto a cero.
- Compra si el MACD cruza al alza y cierra por encima de su media de 30 semanas
- Vende cuando cruza a la baja, cierra por debajo de su media de 30 semanas y la distancia del mínimo semanal con la media no es superior al 2%
Usa un stop loss fijo al 8 % del precio de cierre de la señal.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2000 |
| Fecha final del backtest | 31/12/2024 |
| Periodo de desarrollo | 01/01/2000 - 31/12/2011 |
| Fecha estrategia publicada | 01/01/2012 |
| Capital minimo sugerido | 10.000 |
| Edad de la estrategia | 25 años |
| Retorno desde Inicio (%) | 395.34% |
| Mejor mes (%) | 10.16% |
| Peor mes (%) | -10.75% |
| Volatidad anualizada (%) | 12.33% |
| Recovery Factor | 4.68 |
| CAR/MaxDD | 0.28 |
| RAR/MaxDD | 0.39 |
| Profit Factor | 6.07 |
| Payoff Ratio | 6.44 |
| Risk-Reward Ratio | 0.61 |
| Ulcer Index | 8.98 |
| Ulcer Performance Index | 0.13 |
| Sharpe Ratio of trades | 0.18 |
| Sortino Ratio | 0.85 |
| Max. Drawdown (%) | -23.71% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 495343.41 |
| Net Profit | 395343.41 |
| Net Profit % | 395.34% |
| Exposure % | 71.53% |
| Annual Return % | 6.61% |
| Risk Adjusted Return % | 9.24% |
| Buy&Hold (SPX) | 5.77% |
| Total transaction costs | 1360.00 |
| All trades | 68 |
| Avg. Profit/Loss % | 20.30% |
| Avg. Bars Held | 38.60 |
| Winners | 33 (48.53 %) |
| Avg. Profit % | 49.58% |
| Avg. Bars Held | 38.60 |
| Max. Consecutive | 11 |
| # bars in largest win | 306 |
| Losers | 35 (51.47 %) |
| Avg. Loss % | -7.31% |
| Avg. Bars Held | 38.60 |
| Max. Consecutive | 11 |
| # bars in largest loss | 49 |
- Familia: Tendencial
- Subfamilia: Tendenciales con Momentum
- Operativa: Solo largos
- Max Posiciones: 6
- Rotación/Trades: Baja
- Temporalidad: Semanal
- Diversificación: Global
- Mercados: Europa, USA y Emergentes
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- SP500 (^SPX)
- Nasdaq100 (^NDX)
- DAX (^GDAXI)
- Stoxx50 (^STOXX50E)
- CAC (^FCHI)
- Emergentes (EEM.TIN)
- No usamos apalancamiento
- El rendimiento es compuesto, se van reinvirtiendo los beneficios
- Los dividendos sí están incluidos en esta estrategia.
- 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
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Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| A?o | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.87% | 0.64% | 2.52% | ||||||||||
| 2025 | 2.49% | 0.75% | -1.19% | -1.72% | 5.69% | 4.02% | 2.49% | -0.42% | 2.74% | 2.69% | -0.28% | 1.72% | 20.41% |
| 2024 | 0.43% | 3.60% | 2.90% | -1.90% | 2.99% | 0.20% | 0.05% | 3.22% | 3.28% | -2.34% | -0.91% | 0.67% | 12.62% |
| 2023 | 5.63% | -2.90% | 4.53% | 1.97% | -0.08% | 3.82% | 3.06% | -5.35% | -2.97% | -3.99% | 10.58% | 4.34% | 18.90% |
| 2022 | -7.56% | -1.24% | 2.42% | -1.94% | 0.45% | -1.56% | 1.11% | -0.65% | -0.30% | 0.00% | 0.00% | -1.22% | -10.30% |
| 2021 | 0.05% | 1.06% | 1.90% | 5.41% | 0.52% | 2.70% | 1.48% | 2.39% | -0.81% | 2.38% | -0.39% | 2.42% | 20.69% |
| 2020 | -1.06% | -6.64% | -11.44% | 9.50% | 6.21% | 1.98% | 7.73% | 8.24% | -6.45% | -1.41% | 11.97% | 4.36% | 21.93% |
| 2019 | 5.32% | 2.99% | 1.96% | 4.47% | -6.94% | 7.42% | 2.11% | -3.92% | 0.96% | 3.89% | 3.27% | 4.35% | 28.08% |
| 2018 | 8.85% | -3.76% | -3.69% | 1.26% | 1.37% | -0.81% | 2.95% | 1.82% | -0.07% | -7.10% | 2.19% | -5.84% | -3.81% |
| 2017 | 4.72% | 2.01% | 2.63% | 2.73% | 3.58% | -0.78% | 3.46% | 0.12% | 2.73% | 2.63% | 2.31% | 0.38% | 29.81% |
| 2016 | -3.23% | -0.08% | 2.14% | -0.23% | 0.54% | -4.42% | 6.48% | 0.87% | 1.21% | -1.33% | -0.34% | 2.13% | 3.37% |
| 2015 | -1.90% | 3.10% | -0.88% | 2.27% | -1.25% | 0.87% | -2.29% | -5.92% | -1.24% | 4.64% | 0.44% | -1.02% | -3.56% |
| 2014 | -3.95% | 5.50% | -0.90% | -0.25% | 3.92% | 0.95% | -0.49% | -0.15% | -2.03% | -0.83% | 3.52% | -1.15% | 3.78% |
| 2013 | 5.73% | -2.14% | -0.00% | 1.77% | 3.53% | -3.64% | 6.22% | -1.59% | 6.39% | 4.67% | 1.57% | 1.88% | 26.55% |
| 2012 | 4.42% | 2.65% | 1.23% | -2.97% | -5.83% | 2.51% | 0.74% | 1.38% | 2.08% | -0.55% | 2.14% | 1.43% | 9.17% |
| 2011 | 2.12% | 2.62% | 0.18% | 7.26% | -5.17% | -3.76% | 2.06% | -12.71% | -4.48% | 8.06% | -5.72% | 2.07% | -9.08% |
| 2010 | -6.90% | 0.84% | 5.74% | -0.60% | -9.10% | 1.67% | 4.66% | -2.45% | 4.75% | 4.88% | -2.73% | 3.29% | 2.78% |
| 2009 | -1.94% | -1.55% | 1.43% | 1.31% | 3.37% | -2.40% | 9.89% | 4.15% | 3.34% | -2.29% | 5.52% | 1.97% | 24.44% |
| 2008 | -13.59% | 2.22% | -0.14% | 4.16% | 0.85% | -6.37% | -0.40% | -1.02% | -1.29% | -5.06% | -1.42% | 1.18% | -20.07% |
| 2007 | -0.47% | 4.11% | -0.81% | 6.87% | 1.70% | 1.73% | -3.19% | 1.94% | 6.86% | 4.12% | -2.27% | 0.57% | 22.67% |
| 2006 | 6.88% | 0.10% | 2.23% | 3.52% | -3.86% | -1.07% | 0.61% | 1.31% | 2.65% | 3.64% | 4.35% | 2.94% | 25.44% |
| 2005 | -3.83% | 5.63% | -3.83% | -2.56% | 4.26% | -0.88% | 6.06% | -1.27% | 4.39% | -4.36% | 5.30% | 2.36% | 10.85% |
| 2004 | 3.70% | 1.03% | -4.94% | -0.86% | 2.31% | 1.26% | -3.57% | 0.60% | 1.99% | 4.28% | 6.80% | 3.37% | 16.51% |
| 2003 | 0.00% | 0.00% | 0.00% | 0.05% | 3.48% | 1.22% | 3.18% | 0.76% | -0.45% | 5.62% | 3.28% | 5.30% | 24.57% |
| 2002 | 0.00% | 0.00% | -0.06% | -0.90% | -0.33% | -1.42% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -2.69% |
| 2001 | -0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.26% |
| 2000 | 5.71% | 1.71% | -6.62% | -1.06% | 2.22% | -2.20% | 1.55% | -3.68% | -2.38% | -0.26% | 1.17% | -4.31% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 2.52 | 0.64 | 4.29 | 9.71 | 19.54 | 17.24 | 12.10 | 14.07 | 912.83 |