BCM
ESTADÍSTICAS BACKTEST: 2003 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|
| 1526% | 13,51% | 13,61% | -13,85% | 1,12 | 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 | 31/12/2024 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2017 |
| Fecha estrategia publicada | 01/01/2021 |
| Capital minimo sugerido | 3.000 |
| Edad de la estrategia | 22 años |
| Retorno desde Inicio (%) | 1526.98% |
| Mejor mes (%) | 12.89% |
| Peor mes (%) | -13.07% |
| Volatidad anualizada (%) | 12.09% |
| Recovery Factor | 7.00 |
| CAR/MaxDD | 0.97 |
| RAR/MaxDD | 0.98 |
| Profit Factor | inf |
| Payoff Ratio | nan |
| Risk-Reward Ratio | 0.48 |
| Ulcer Index | 4.85 |
| Ulcer Performance Index | 1.67 |
| Sharpe Ratio of trades | 0.97 |
| Sortino Ratio | 2.21 |
| Max. Drawdown (%) | -13.85% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 1626982.02 |
| Net Profit | 1526982.02 |
| Net Profit % | 1526.98% |
| Exposure % | 99.25% |
| Annual Return % | 13.51% |
| Risk Adjusted Return % | 13.61% |
| Buy&Hold (SPX) | 9.01% |
- 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.
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Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.92% | -1.94% | -0.87% | -0.53% | -1.96% | 2.43% | -2.01% | ||||||
| 2024 | -0.15% | 2.76% | 1.14% | -4.12% | 3.38% | 4.96% | -0.71% | 0.19% | 1.96% | -3.71% | 2.80% | -6.55% | 1.31% |
| 2023 | 3.42% | -5.95% | -1.36% | 0.40% | 2.02% | 2.52% | 3.86% | -1.48% | -2.36% | 0.00% | -0.00% | 5.32% | 6.01% |
| 2022 | -3.64% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.00% | -3.01% | 0.00% | 0.00% | -0.00% | -1.88% | -8.30% |
| 2021 | 2.37% | 4.68% | 2.44% | 2.71% | 0.26% | 0.50% | 1.19% | 1.33% | -5.12% | 3.07% | 2.00% | -0.91% | 15.13% |
| 2020 | -0.18% | -1.98% | 6.22% | 1.07% | -1.89% | 6.10% | 7.35% | 10.94% | -5.78% | -0.40% | 5.70% | 6.51% | 37.58% |
| 2019 | 0.38% | 1.12% | 2.12% | 5.50% | -8.23% | 2.44% | 1.53% | 6.92% | -1.83% | 0.38% | 2.44% | 3.66% | 16.79% |
| 2018 | 11.09% | -5.29% | -1.57% | -1.36% | -0.00% | -1.54% | 1.80% | 5.78% | -1.38% | -3.28% | -0.00% | 0.67% | 4.00% |
| 2017 | 0.71% | 2.97% | 1.21% | 2.73% | 3.90% | -1.17% | 6.91% | 3.52% | -0.31% | 3.90% | 1.63% | 0.23% | 29.26% |
| 2016 | -2.79% | 2.89% | -0.28% | -1.07% | 1.05% | 1.32% | 1.35% | 0.18% | 1.13% | -1.43% | 0.16% | 0.67% | 3.09% |
| 2015 | 6.59% | -2.95% | -1.20% | 2.30% | -1.86% | -2.98% | 1.87% | -3.40% | -0.00% | -0.62% | 0.61% | -1.35% | -3.37% |
| 2014 | -1.92% | 3.22% | -1.75% | 0.88% | 3.02% | 1.48% | 1.18% | 4.83% | -0.99% | 2.59% | 2.61% | -0.90% | 14.92% |
| 2013 | 3.88% | 0.94% | 4.45% | 0.10% | -1.09% | -1.23% | 2.27% | -1.05% | 1.70% | 3.64% | 3.71% | 2.01% | 20.86% |
| 2012 | 2.40% | 5.66% | 4.88% | -1.17% | 2.56% | -1.88% | 2.71% | 0.55% | -0.49% | -1.82% | 1.91% | 2.69% | 19.16% |
| 2011 | 0.43% | 3.64% | 2.32% | 2.63% | -2.07% | -2.51% | 1.50% | 9.30% | 12.87% | -4.08% | -1.06% | 2.86% | 27.57% |
| 2010 | -6.55% | 3.92% | 7.66% | 3.48% | -7.38% | 5.44% | -1.25% | 1.07% | 0.97% | 4.24% | 0.88% | 6.48% | 19.21% |
| 2009 | -13.07% | -0.90% | 1.02% | 1.81% | 7.09% | 0.00% | 6.74% | 0.22% | 4.87% | -3.13% | 6.17% | 2.82% | 12.57% |
| 2008 | 2.55% | 0.44% | 0.74% | -2.79% | 2.27% | -9.73% | -1.04% | 0.40% | 1.11% | -2.16% | 3.88% | 12.89% | 7.33% |
| 2007 | 1.05% | -1.37% | 3.31% | 3.49% | 6.19% | 3.31% | 1.15% | 1.79% | 4.80% | 7.27% | -3.63% | -1.42% | 28.54% |
| 2006 | 7.13% | -0.79% | 2.62% | 3.01% | -5.35% | -0.00% | 0.60% | 2.64% | 1.22% | 3.35% | 4.80% | 0.92% | 21.47% |
| 2005 | -4.84% | 2.32% | -2.72% | 1.19% | 2.76% | -0.60% | 2.84% | -1.66% | 2.84% | -2.51% | -0.01% | 0.92% | 0.19% |
| 2004 | 2.68% | 1.09% | -0.08% | -4.87% | -0.00% | 1.06% | -7.05% | 2.08% | 1.94% | 1.80% | 5.41% | 2.05% | 5.61% |
| 2003 | -0.06% | -1.16% | 2.88% | 5.72% | 0.68% | 6.18% | 5.00% | -2.91% | 8.57% | 2.60% | 1.78% | 32.74% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -2.01 | 2.43 | -0.11 | -2.01 | -8.06 | 0.05 | 6.93 | 9.15 | 1494.25 |