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.
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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 | 3.24% | -8.61% | -4.65% | -10.03% | |||||||||
| 2022 | -3.36% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.00% | -3.08% | -2.87% | 0.00% | -0.00% | -1.78% | -10.64% |
| 2021 | 2.23% | 6.39% | 2.34% | 2.63% | 0.26% | 0.59% | 0.81% | 1.18% | -4.97% | 2.82% | 2.00% | -1.01% | 15.93% |
| 2020 | 0.05% | -2.27% | 6.22% | 1.07% | -1.89% | 6.10% | 7.35% | 10.94% | -5.78% | -0.62% | 5.27% | 6.39% | 36.49% |
| 2019 | 0.38% | 1.28% | 2.24% | 5.50% | -8.23% | 3.10% | 0.07% | 6.19% | -1.65% | 0.67% | 2.56% | 3.66% | 16.04% |
| 2018 | 11.17% | -5.43% | -1.48% | -1.42% | -0.00% | 0.48% | 1.87% | 5.78% | -1.31% | -3.01% | -0.00% | 0.81% | 6.68% |
| 2017 | 0.68% | 2.90% | 1.82% | 2.73% | 3.90% | -1.26% | 5.51% | 3.57% | -0.44% | 3.88% | 1.62% | 0.25% | 27.97% |
| 2016 | -2.64% | 2.89% | -0.28% | -1.17% | 1.58% | 1.93% | 2.50% | -0.08% | 0.80% | -1.32% | 0.15% | 0.62% | 4.94% |
| 2015 | 6.21% | -2.54% | -1.27% | 2.86% | -2.00% | -2.84% | 1.77% | -3.27% | -0.00% | -0.62% | 0.61% | -1.38% | -2.84% |
| 2014 | -1.92% | 3.28% | -1.81% | 0.83% | 3.08% | 1.54% | 1.18% | 4.83% | -0.99% | 2.59% | 2.60% | -0.96% | 14.92% |
| 2013 | 5.14% | -0.92% | 4.44% | 0.08% | -1.19% | -1.20% | 2.16% | -1.14% | 1.62% | 3.59% | 3.71% | 2.28% | 19.89% |
| 2012 | 4.95% | 5.70% | 4.88% | -1.17% | 2.90% | -1.88% | 2.76% | 0.79% | -0.43% | -1.99% | 1.88% | 2.49% | 22.50% |
| 2011 | 0.40% | 3.63% | 1.40% | 2.86% | -1.80% | -2.50% | 1.53% | 9.30% | 12.87% | -4.08% | -1.11% | 2.86% | 26.96% |
| 2010 | -6.56% | 3.83% | 7.68% | 4.09% | -7.39% | 5.44% | -1.25% | 0.87% | 1.48% | 4.52% | -1.06% | 5.56% | 17.16% |
| 2009 | -13.07% | -0.89% | 1.01% | 1.82% | 8.21% | 0.87% | 9.32% | -0.01% | 6.26% | -3.09% | 6.22% | 2.77% | 18.83% |
| 2008 | 2.55% | 0.44% | 0.74% | -2.79% | 2.28% | -9.73% | -1.04% | 0.40% | 1.11% | -2.16% | 3.88% | 12.89% | 7.35% |
| 2007 | 1.04% | -1.39% | 2.00% | 3.49% | 6.19% | 3.31% | 1.16% | 1.79% | 4.85% | 7.32% | -3.70% | -1.42% | 26.94% |
| 2006 | 7.09% | -0.78% | 1.53% | 3.03% | -5.34% | -0.00% | 0.60% | 2.64% | 1.21% | 3.37% | 4.81% | 0.93% | 20.24% |
| 2005 | -4.83% | 2.31% | -2.72% | 1.19% | 2.76% | 0.67% | 2.92% | -1.66% | 2.81% | -2.48% | -0.01% | 0.92% | 1.52% |
| 2004 | 2.69% | 1.09% | -0.08% | -4.87% | -0.01% | 1.06% | -7.05% | 2.06% | 0.55% | 1.56% | 7.00% | 2.05% | 5.49% |
| 2003 | -0.06% | -1.38% | 2.88% | 8.52% | 0.68% | 6.18% | 5.00% | -2.92% | 8.64% | 1.60% | 1.22% | 33.96% |
Rentabilidades
| YTD (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -10.03 | -4.65 | -10.03 | -11.64 | -16.81 | 22.47 | 52.01 | 160.18 | 1340.52 |
