BCM
ESTADÍSTICAS BACKTEST: 2003 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|
| 1501% | 14,87% | 14,99% | -13,85% | 1,20 | 100% |
Mensual | ETFs
Sistema Mensual que combina de forma proporcional los sistemas TAA: Bender, Chappie y Marvin.
El sistema lleva como máximo 3 posiciones. No utiliza Stop Loss.
Los sistemas utilizan filtros de mercado, en caso de no estar 100% invertidos la parte proporcional se destina a la liquidez.
Se puede operar con ETF’s, CFD’s.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2003 |
| Fecha final del backtest | 01/01/2023 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2017 |
| Fecha estrategia publicada | 01/01/2021 |
| Capital minimo sugerido | 3.000 |
| Edad de la estrategia | 20 años |
| Retorno desde Inicio (%) | 1501.19% |
| Mejor mes (%) | 12,89% |
| Peor mes (%) | -13,07% |
| Volatidad anualizada (%) | 12,42% |
| Recovery Factor | 6.98 |
| CAR/MaxDD | 1.07 |
| RAR/MaxDD | 1.08 |
| Profit Factor | inf |
| Payoff Ratio | nan |
| Risk-Reward Ratio | 0.45 |
| Ulcer Index | 4.41 |
| Ulcer Performance Index | 2.15 |
| Sharpe Ratio of trades | 1.80 |
| Sortino Ratio | 2,45 |
| Max. Drawdown (%) (EOM) | -13.85% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 1601185.40 |
| Net Profit | 1501185.40 |
| Net Profit % | 1501.19% |
| Exposure % | 99.17% |
| Annual Return % | 14.87% |
| Risk Adjusted Return % | 14.99% |
| Buy&Hold (SPX) | 7.64% |
| Total transaction costs | 60.00 |
| All trades | 3 |
| Avg. Profit/Loss % | 1501.66% |
| Avg. Bars Held | 240.00 |
| Winners | 3 (100.00 %) |
| Avg. Profit % | 1501.66% |
| Avg. Bars Held | 240.00 |
| Max. Consecutive | 3 |
| # bars in largest win | 240 |
| Losers | 0 (0.00 %) |
| Avg. Loss % | 0 |
| Avg. Bars Held | 0 |
| Max. Consecutive | 0 |
| # bars in largest loss | 0 |
- Familia: Tendencial
- Subfamilia: Rotacional con ranking
- Operativa: Solo largos
- Max Posiciones: 3
- Rotación/Trades: Muy baja
- Temporalidad: Mensual
- Diversificación: Global
- Mercados: RV USA + EUROPA + CHINA, RF USA
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- VWO
- SPY
- QQQ
- IWM
- MCHI
- VEA
- MDY
Renta Fija
- TLT
- IEF
- 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.
Para ver este contenido debes tener una Membresía Premium o la suscripción a nuestros sistemas
Para ver este contenido debes tener una Membresía Premium o la suscripción a nuestros sistemas
Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 3.23% | -8.61% | -2.74% | 0.39% | 1.98% | 2.49% | 3.86% | -1.48% | -2.33% | 0.00% | -0.00% | 0.41% | -3.39% |
| 2022 | -3.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.00% | -3.09% | -2.92% | 0.00% | -0.00% | -1.78% | -10.70% |
| 2021 | 2.21% | 6.39% | 2.33% | 2.63% | 0.26% | 0.60% | 0.78% | 1.18% | -4.95% | 2.82% | 2.00% | -1.02% | 15.88% |
| 2020 | 0.09% | -2.32% | 6.22% | 1.07% | -1.89% | 6.10% | 7.35% | 10.94% | -5.78% | -0.65% | 5.25% | 6.37% | 36.36% |
| 2019 | 0.38% | 1.29% | 2.26% | 5.50% | -8.23% | 3.13% | 0.05% | 6.13% | -1.63% | 0.69% | 2.57% | 3.66% | 16.08% |
| 2018 | 11.18% | -5.43% | -1.47% | -1.42% | -0.00% | 0.49% | 1.88% | 5.78% | -1.30% | -3.01% | -0.00% | 0.82% | 6.73% |
| 2017 | 0.67% | 2.89% | 1.82% | 2.73% | 3.90% | -1.28% | 5.49% | 3.57% | -0.46% | 3.88% | 1.62% | 0.25% | 27.89% |
| 2016 | -2.63% | 2.89% | -0.28% | -1.19% | 1.58% | 1.90% | 2.50% | -0.08% | 0.79% | -1.30% | 0.15% | 0.62% | 4.91% |
| 2015 | 6.15% | -2.48% | -1.27% | 2.95% | -2.01% | -2.82% | 1.76% | -3.26% | -0.00% | -0.62% | 0.61% | -1.38% | -2.74% |
| 2014 | -1.92% | 3.30% | -1.81% | 0.82% | 3.09% | 1.55% | 1.18% | 4.84% | -0.99% | 2.59% | 2.61% | -0.99% | 14.93% |
| 2013 | 5.16% | -0.95% | 4.44% | 0.08% | -1.19% | -1.20% | 2.16% | -1.15% | 1.62% | 3.58% | 3.72% | 2.29% | 19.84% |
| 2012 | 4.99% | 5.70% | 4.88% | -1.17% | 2.91% | -1.88% | 2.77% | 0.83% | -0.42% | -2.03% | 1.87% | 2.45% | 22.53% |
| 2011 | 0.40% | 3.63% | 1.38% | 2.86% | -1.80% | -2.50% | 1.55% | 9.30% | 12.87% | -4.08% | -1.11% | 2.86% | 26.97% |
| 2010 | -6.56% | 3.81% | 7.68% | 4.08% | -7.39% | 5.44% | -1.25% | 0.87% | 1.55% | 4.52% | -1.08% | 5.54% | 17.17% |
| 2009 | -13.07% | -0.90% | 1.03% | 1.81% | 8.15% | 0.89% | 9.31% | -0.01% | 6.29% | -3.09% | 6.23% | 2.76% | 18.81% |
| 2008 | 2.55% | 0.44% | 0.74% | -2.79% | 2.27% | -9.73% | -1.04% | 0.40% | 1.11% | -2.16% | 3.87% | 12.89% | 7.33% |
| 2007 | 1.04% | -1.39% | 1.99% | 3.49% | 6.19% | 3.31% | 1.15% | 1.79% | 4.80% | 7.27% | -3.63% | -1.42% | 26.86% |
| 2006 | 7.06% | -0.77% | 1.53% | 3.06% | -5.28% | -0.00% | 0.59% | 2.64% | 1.21% | 3.37% | 4.83% | 0.94% | 20.35% |
| 2005 | -4.83% | 2.31% | -2.72% | 1.18% | 2.76% | 0.70% | 2.93% | -1.66% | 2.77% | -2.45% | -0.01% | 0.90% | 1.53% |
| 2004 | 2.70% | 1.09% | -0.07% | -4.87% | -0.00% | 1.05% | -7.05% | 2.03% | 0.55% | 1.55% | 7.02% | 2.05% | 5.47% |
| 2003 | -0.06% | -1.16% | 2.87% | 8.52% | 0.68% | 6.18% | 5.00% | -2.92% | 8.64% | 1.58% | 1.22% | 34.23% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -3.39 | 0.41 | 0.41 | 0.34 | -3.39 | -0.01 | 9.62 | 9.74 | 1448.59 |
