IA Mensual
ESTADÍSTICAS BACKTEST: 2003 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 6914% | 21,30% | 26,56% | -27,36% | 1,97 | 50% | 1,11 | 80% |
Mensual | Acciones | Alfayate
Sistema Rotacional Mensual sobre las acciones del S&P500, NDX100 y Eurostoxx600.
Invierte en 12 posiciones sin SL basado en Momentum.
- Compra los doce activos con más IA y superior a 680.
- Vende cuando deja de ocupar las doce primeras posiciones o tiene IA inferior a 680.
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 | 01/01/2020 |
| Capital minimo sugerido | 24.000 |
| Edad de la estrategia | 22 años |
| Retorno desde Inicio (%) | 6914.75% |
| Mejor mes (%) | 21.47% |
| Peor mes (%) | -18.03% |
| Volatidad anualizada (%) | 19.23% |
| Recovery Factor | 4.21 |
| CAR/MaxDD | 0.78 |
| RAR/MaxDD | 0.97 |
| Profit Factor | 1.97 |
| Payoff Ratio | 1.92 |
| Risk-Reward Ratio | 0.28 |
| Ulcer Index | 9.37 |
| Ulcer Performance Index | 1.70 |
| Sharpe Ratio of trades | 0.25 |
| Sortino Ratio | 2.22 |
| Max. Drawdown (%) | -27.36% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 7014750.22 |
| Net Profit | 6914750.22 |
| Net Profit % | 6914.75% |
| Exposure % | 80.19% |
| Annual Return % | 21.30% |
| Risk Adjusted Return % | 26.56% |
| Buy&Hold (SPX) | 9.01% |
| Total transaction costs | 21920.00 |
| All trades | 1096 |
| Avg. Profit/Loss % | 6.54% |
| Avg. Bars Held | 2.56 |
| Winners | 555 (50.64 %) |
| Avg. Profit % | 21.04% |
| Avg. Bars Held | 2.56 |
| Max. Consecutive | 11 |
| # bars in largest win | 16 |
| Losers | 541 (49.36 %) |
| Avg. Loss % | -8.34% |
| Avg. Bars Held | 2.56 |
| Max. Consecutive | 11 |
| # bars in largest loss | 2 |
- Familia: Tendencial
- Subfamilia: Momentum Rotacional
- Operativa: Solo largos
- Max Posiciones: 12
- Rotación/Trades: Alta
- Temporalidad: Mensual
- Diversificación: Global
- Mercados: RV USA + RV EUROPA
- Clase de activos: Acciones
- Comisiones: Incluidas
Renta Variable
- Acciones USA+EUROPA
- 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
| A?o | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 7.79% | -1.45% | -7.35% | 3.15% | 9.81% | 0.51% | 6.88% | -0.50% | 13.74% | -4.87% | 28.93% | ||
| 2024 | 4.36% | 12.76% | 5.94% | -4.03% | 2.87% | -2.00% | -4.57% | 3.69% | 3.27% | 2.64% | 13.16% | -10.83% | 27.65% |
| 2023 | 0.00% | -0.00% | -1.75% | -0.84% | -0.44% | 2.47% | 3.75% | 0.66% | -4.25% | -1.08% | 6.86% | 3.55% | 8.79% |
| 2022 | -13.64% | 4.10% | 3.90% | 0.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.00% | -4.35% | -9.99% |
| 2021 | 3.16% | 3.70% | -7.19% | 3.16% | -3.03% | -4.30% | 3.97% | 6.72% | -5.69% | 11.43% | -3.94% | 1.20% | 7.75% |
| 2020 | -1.05% | 3.42% | -9.36% | 6.11% | 8.50% | 7.58% | 9.16% | 11.65% | -3.18% | -1.45% | 27.16% | 7.12% | 81.98% |
| 2019 | 0.00% | 0.00% | -0.01% | 2.06% | 0.74% | 9.26% | 8.45% | 4.73% | -6.53% | -0.60% | 5.42% | 3.26% | 29.04% |
| 2018 | 6.67% | -3.40% | -3.53% | 0.47% | 9.29% | -2.47% | -0.21% | 10.48% | -1.01% | -10.84% | -5.54% | -4.31% | -6.37% |
| 2017 | 2.00% | 10.00% | 3.94% | 3.36% | 13.08% | -0.61% | 1.21% | 3.66% | 10.08% | 8.82% | -3.55% | -1.10% | 62.42% |
| 2016 | -7.43% | 0.00% | 0.00% | 0.00% | 0.00% | -0.02% | 7.67% | -1.00% | 0.84% | -2.33% | 7.16% | 7.83% | 12.28% |
| 2015 | 5.48% | 4.64% | 4.37% | -5.45% | 5.15% | -1.75% | 3.69% | -0.97% | -7.47% | 0.00% | -0.02% | 3.73% | 10.88% |
| 2014 | 0.99% | 8.02% | -6.25% | -2.04% | 1.79% | 1.93% | -2.64% | 6.04% | 0.95% | -2.02% | 7.87% | 0.03% | 14.54% |
| 2013 | 1.24% | 5.24% | 3.22% | -0.63% | 2.70% | -1.08% | 11.51% | 1.31% | 7.08% | 2.66% | 2.65% | 2.42% | 44.93% |
| 2012 | -0.02% | 4.06% | 3.57% | 2.20% | -2.79% | -0.91% | 1.05% | -0.14% | 4.11% | -0.57% | 4.49% | -0.77% | 14.90% |
| 2011 | 1.28% | 4.32% | 7.18% | 2.26% | -2.51% | 3.95% | -3.47% | -6.50% | -2.80% | 0.00% | 0.00% | 0.00% | 2.95% |
| 2010 | -6.24% | 3.68% | 7.48% | 1.08% | -4.31% | -1.05% | 1.83% | 0.46% | 13.42% | 6.88% | 7.37% | -1.62% | 30.98% |
| 2009 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.03% | 2.10% | -7.90% | 11.60% | 5.11% | 10.28% |
| 2008 | -12.89% | 5.91% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -7.74% |
| 2007 | 3.42% | -1.79% | 2.21% | 2.27% | 0.97% | 4.36% | -3.99% | -1.66% | 12.62% | 8.49% | 0.08% | 11.32% | 43.80% |
| 2006 | 18.08% | -2.32% | 1.14% | -2.18% | 0.69% | 4.78% | -6.46% | -9.49% | 3.60% | 4.14% | 4.11% | 2.04% | 16.84% |
| 2005 | -3.23% | 7.72% | -1.83% | -3.30% | 5.09% | 2.09% | 6.91% | 6.49% | 4.22% | -1.30% | 13.16% | 1.07% | 42.22% |
| 2004 | 20.05% | 9.31% | 14.31% | -14.29% | -4.29% | 25.50% | -17.34% | -7.26% | 9.54% | -0.27% | 11.18% | 9.97% | 58.11% |
| 2003 | 0.00% | 0.00% | 0.00% | -0.16% | -0.82% | 5.82% | 4.85% | -3.30% | 16.37% | 8.96% | -1.91% | 32.14% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 28.93 | -4.87 | 7.66 | 27.01 | 30.10 | 19.64 | 18.79 | 21.86 | 9986.56 |