BCM
ESTADÍSTICAS BACKTEST: 2003 – PRESENTE
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|
| 1729% | 16,40% | 16,40% | -13,85% | 1,31 | 100% |
Mensual | ETFs
Combinación de tres sistemas mensuales de ETF’s: Bender + Chappie + Marvin
Utiliza tres algoritmos propios de momentum (fuerza relativa) y datos de Market Timing para decidir si está invertido en los activos más fuertes de la cesta de renta variable o de la cesta de activos «sin riesgo»/renta fija.
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2003 |
| Fecha final del backtest | 01/01/2022 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2017 |
| Fecha estrategia publicada | 01/01/2021 |
| Capital minimo sugerido | 3.000 |
| Edad de la estrategia | 19 años |
| Retorno desde Inicio (%) | 1729.43% |
| Mejor mes (%) | 12.89% |
| Peor mes (%) | -13.07% |
| Volatidad anualizada | 12.59% |
| Recovery Factor | 18.06 |
| CAR/MaxDD | 1.2 |
| RAR/MaxDD | 1.2 |
| Profit Factor | inf |
| Payoff Ratio | nan |
| Risk-Reward Ratio | 0.46 |
| Ulcer Index | 4.2 |
| Ulcer Performance Index | 2.67 |
| Sharpe Ratio | 1.32 |
| Sortino Ratio | 2.72 |
| Maximo Drawdown (%) | -13.85% |
| DD1 (01/12/2008 - 01/02/2009) | -13.89% |
| DD2 (01/10/2007 - 01/07/2008) | -12.13% |
| DD3 (01/01/2015 - 01/01/2016) | -10.85% |
| DD4 (01/02/2004 - 01/07/2004) | -8.93% |
| DD5 (01/04/2019 - 01/05/2019) | -8.23% |
| A | B |
|---|---|
| Initial capital | 100000 |
| Ending capital | 1829428.8 |
| Net Profit | 1729428.8 |
| Net Profit % | 1729.43% |
| Exposure % | 100.00% |
| Annual Return % | 16.60% |
| Risk Adjusted Return % | 16.60% |
| Buy&Hold (SPX) | 9.09% |
| Total transaction costs | N/A |
| All trades | 3 |
| Avg. Profit/Loss % | 1729.96% |
| Avg. Bars Held | 229 |
| Winners | 3 (100.00 %) |
| Avg. Profit % | 1729.96% |
| Avg. Bars Held | 229 |
| Max. Consecutive | 3 |
| # bars in largest win | 229 |
| 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: 1
- Rotación/Trades: Muy baja
- Temporalidad: Mensual
- Diversificación: Global
- Mercados: RV USA, RF USA
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- MDY
- QQQ
- SPY
Renta Fija
- TLT
- 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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Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -3.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -3.35% | |||||
| 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 (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -3.35 | 0.00 | 0.00 | 0.00 | -3.52 | 70.69 | 106.44 | 249.13 | 1634.67 |
