Chappie
ESTADÍSTICAS BACKTEST: 2003 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 1633% | 15,32% | 16,79% | -18,53% | 4,47 | 64% | 1,03 | 91% |
Mensual | ETFs
Sistema Rotacional TAA Mensual sobre un cesta de ETF’s.
Invierte en 1 posición sin Stop Loss basado en Momentum.
Tiene dos cestas de activos: Renta variable y Renta Fija.
El sistema compra el activo que tenga más Momentum.
Si ninguno de los activos tiene Momentum positivo se mantiene en liquidez.
Forma parte de la Cartera BCM.
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 (%) | 1633.17% |
| Mejor mes (%) | 14,30% |
| Peor mes (%) | -13,07% |
| Volatidad anualizada (%) | 14,90% |
| Recovery Factor | 4.14 |
| CAR/MaxDD | 0.83 |
| RAR/MaxDD | 0.91 |
| Profit Factor | 4.47 |
| Payoff Ratio | 2.49 |
| Risk-Reward Ratio | 0.42 |
| Ulcer Index | 6.53 |
| Ulcer Performance Index | 1.52 |
| Sharpe Ratio of trades | 0.49 |
| Sortino Ratio | 2,07 |
| Max. Drawdown (%) (EOM) | -18.53% |
| A | B |
|---|---|
| Initial capital | 100000 |
| Ending capital | 1733170.76 |
| Net Profit | 1633170.76 |
| Net Profit % | 1633.17% |
| Exposure % | 91.27% |
| Annual Return % | 15.32% |
| Risk Adjusted Return % | 16.79% |
| Buy&Hold (SPX) | 7.64% |
| Total transaction costs | 1400.00 |
| All trades | 70 |
| Avg. Profit/Loss % | 4.58% |
| Avg. Bars Held | 4.14 |
| Winners | 45 (64.29 %) |
| Avg. Profit % | 8.59% |
| Avg. Bars Held | 4.14 |
| Max. Consecutive | 7 |
| # bars in largest win | 8 |
| Losers | 25 (35.71 %) |
| Avg. Loss % | -2.65% |
| Avg. Bars Held | 2.88 |
| Max. Consecutive | 4 |
| # bars in largest loss | 3 |
- 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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Para ver este contenido debes tener una Membresía Premium, la suscripción a nuestros sistemas, o la suscripción gratuita.
Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 9.25% | -5.10% | -6.72% | -3.28% | |||||||||
| 2022 | -8.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.00% | -5.13% | 0.00% | 0.00% | -0.00% | -5.89% | -18.53% |
| 2021 | 1.44% | 6.78% | 4.66% | 4.31% | 0.24% | 1.91% | 2.86% | 4.22% | -5.79% | 7.86% | 2.00% | 1.02% | 35.59% |
| 2020 | 3.04% | -6.06% | 6.22% | 1.07% | -1.89% | 6.10% | 7.35% | 10.94% | -5.78% | -3.05% | 14.30% | 6.10% | 42.72% |
| 2019 | 0.38% | -1.60% | 5.35% | 5.50% | -8.23% | 0.74% | 0.06% | 10.83% | -2.85% | -1.29% | -0.58% | 3.66% | 11.24% |
| 2018 | 8.76% | -1.29% | -4.23% | 0.51% | -0.00% | 0.13% | 2.80% | 5.78% | -0.46% | -8.60% | 0.00% | -0.00% | 2.36% |
| 2017 | 1.65% | 2.59% | 1.82% | 2.73% | 3.90% | -2.58% | 4.06% | 2.07% | -0.51% | 4.61% | 1.97% | -0.15% | 24.25% |
| 2016 | -6.91% | 2.89% | -0.28% | -0.94% | 2.25% | 0.15% | 1.91% | -1.19% | -1.69% | -1.46% | 0.43% | 1.79% | -3.39% |
| 2015 | 9.81% | -6.33% | 0.89% | -1.48% | 2.25% | -2.71% | 4.56% | -6.82% | -0.00% | -0.62% | 0.61% | -1.89% | -2.79% |
| 2014 | -1.92% | 4.71% | 0.07% | 1.83% | 2.32% | -0.51% | 1.18% | 5.01% | -0.99% | 2.64% | 4.55% | -2.61% | 17.13% |
| 2013 | 7.08% | 0.83% | 4.59% | 0.59% | 2.36% | -2.70% | 6.31% | -0.40% | 4.52% | 4.89% | 3.61% | 2.60% | 39.62% |
| 2012 | 6.59% | 4.51% | 4.87% | -1.17% | -7.04% | -1.88% | 3.59% | -1.53% | 0.60% | -5.28% | 2.30% | 1.84% | 6.64% |
| 2011 | 1.92% | 4.54% | 2.32% | 2.63% | -0.92% | -2.68% | 4.06% | 9.30% | 12.87% | -4.07% | 1.73% | 2.85% | 39.01% |
| 2010 | -6.48% | 5.06% | 6.87% | 4.17% | -7.06% | 5.44% | -1.25% | 8.04% | -2.82% | 6.34% | -0.18% | 4.55% | 23.35% |
| 2009 | -13.07% | -1.80% | -0.01% | 13.06% | 3.21% | 2.83% | 8.44% | 1.46% | 5.33% | -4.51% | 4.19% | 5.03% | 24.02% |
| 2008 | 2.09% | -0.80% | -0.01% | -2.90% | 5.93% | -9.69% | -1.82% | -0.01% | 1.11% | -2.16% | 13.88% | 12.89% | 17.44% |
| 2007 | 3.35% | 1.08% | 0.93% | 2.77% | 5.12% | 0.40% | -0.15% | 2.82% | 5.20% | 7.04% | -6.77% | -1.41% | 21.51% |
| 2006 | 5.33% | -0.28% | 2.32% | 1.35% | -4.33% | 0.00% | -0.01% | 2.64% | 1.51% | 0.04% | 3.43% | -2.01% | 10.07% |
| 2005 | -6.31% | 3.64% | -1.65% | 3.48% | 2.77% | 1.79% | -3.72% | -0.96% | 0.38% | -1.50% | -0.01% | -2.02% | -4.53% |
| 2004 | 2.17% | 1.36% | -1.68% | -3.62% | 0.00% | -0.01% | -7.56% | 3.76% | 0.55% | 1.33% | 6.02% | 2.03% | 3.71% |
| 2003 | 2.74% | -1.75% | 8.71% | 8.52% | 0.54% | 6.18% | 5.00% | -2.90% | 8.51% | 0.55% | 1.20% | 43.10% |
Rentabilidades
| YTD (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -3.28 | -6.72 | -3.28 | -8.98 | -13.65 | 48.31 | 68.88 | 193.38 | 1576.60 |
