IA Mensual
ESTADÍSTICAS BACKTEST: 2003 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 5393% | 22,16% | 27,01% | -33,04% | 1,90 | 50% | 1,17 | 82% |
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 | 01/01/2023 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2017 |
| Fecha estrategia publicada | 01/01/2020 |
| Capital minimo sugerido | 24.000 |
| Edad de la estrategia | 20 años |
| Retorno desde Inicio (%) | 5393.31% |
| Mejor mes (%) | 27,29% |
| Peor mes (%) | -18,73% |
| Volatidad anualizada (%) | 18,91% |
| Recovery Factor | 2.03 |
| CAR/MaxDD | 0.67 |
| RAR/MaxDD | 0.82 |
| Profit Factor | 1.90 |
| Payoff Ratio | 1.89 |
| Risk-Reward Ratio | 0.22 |
| Ulcer Index | 9.51 |
| Ulcer Performance Index | 1.76 |
| Sharpe Ratio of trades | 0.29 |
| Sortino Ratio | 2,29 |
| Max. Drawdown (%) (EOM) | -33.04% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 5493310.75 |
| Net Profit | 5393310.75 |
| Net Profit % | 5393.31% |
| Exposure % | 82.06% |
| Annual Return % | 22.16% |
| Risk Adjusted Return % | 27.01% |
| Buy&Hold (SPX) | 7.64% |
| Total transaction costs | 20400.00 |
| All trades | 1020 |
| Avg. Profit/Loss % | 6.42% |
| Avg. Bars Held | 3.41 |
| Winners | 511 (50.10 %) |
| Avg. Profit % | 20.74% |
| Avg. Bars Held | 3.41 |
| Max. Consecutive | 12 |
| # bars in largest win | 16 |
| Losers | 509 (49.90 %) |
| Avg. Loss % | -7.95% |
| Avg. Bars Held | 2.55 |
| Max. Consecutive | 18 |
| # 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.
¿Tienes alguna duda?
Contacta con nosotros para resolvértela.
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 | 0.27% | 0.06% | -2.05% | -1.22% | -0.34% | 1.25% | 3.96% | 2.04% | -3.15% | -1.86% | -1.23% | ||
| 2022 | -19.96% | -4.16% | 8.88% | 4.93% | -0.96% | -16.18% | 2.63% | -2.12% | -6.02% | 3.72% | 1.10% | -3.72% | -30.67% |
| 2021 | 1.08% | 1.71% | -5.56% | 6.73% | 0.38% | -5.22% | 8.69% | 7.11% | -4.51% | 12.63% | 4.13% | -0.83% | 27.49% |
| 2020 | 6.47% | 9.20% | -14.29% | 14.29% | 14.96% | 12.27% | 4.44% | 15.64% | -2.55% | 2.81% | 24.57% | 7.22% | 137.54% |
| 2019 | 2.99% | 4.72% | 5.67% | 1.32% | 3.04% | 4.65% | 8.35% | 3.46% | -7.07% | -2.63% | 2.27% | 3.44% | 33.61% |
| 2018 | 2.12% | -1.86% | -0.51% | -7.82% | 8.80% | -0.68% | 2.43% | 2.32% | -3.63% | -13.37% | -3.60% | -7.16% | -22.24% |
| 2017 | 1.96% | 6.62% | 2.88% | 1.93% | 7.71% | 2.48% | -1.07% | 3.95% | 9.44% | 8.71% | -6.22% | 1.39% | 46.39% |
| 2016 | -5.98% | 1.45% | -1.67% | -2.65% | 6.58% | -0.42% | 3.95% | -0.53% | 4.46% | -2.11% | 5.93% | 10.54% | 19.97% |
| 2015 | 1.27% | 2.88% | 2.12% | -4.07% | 3.51% | -0.67% | 6.88% | -2.44% | -2.23% | 4.89% | 5.27% | 3.76% | 22.59% |
| 2014 | 9.47% | 9.18% | -6.76% | -0.20% | 3.41% | 1.90% | -2.34% | 3.13% | 0.24% | 0.74% | 7.61% | 0.98% | 29.52% |
| 2013 | 2.86% | 5.49% | 4.01% | 2.80% | 3.99% | -3.03% | 7.15% | 4.14% | 10.94% | 3.21% | 1.59% | 3.37% | 56.99% |
| 2012 | 1.42% | 4.58% | 2.70% | 1.81% | -1.47% | -1.50% | 0.88% | 2.08% | 1.48% | -2.40% | 2.13% | 0.69% | 12.90% |
| 2011 | -0.12% | 3.27% | 4.42% | 3.71% | -1.48% | 1.72% | -3.45% | -6.41% | -3.29% | 3.22% | -0.45% | -2.36% | -1.88% |
| 2010 | -4.18% | -1.32% | 7.60% | 0.46% | -3.81% | -3.09% | 2.43% | -1.11% | 10.56% | 6.23% | 8.08% | -0.82% | 21.51% |
| 2009 | 0.00% | -0.01% | -0.51% | 1.66% | -0.62% | -0.15% | 1.26% | -0.12% | 0.88% | -4.38% | 0.34% | 6.32% | 4.44% |
| 2008 | -12.80% | 6.70% | -1.82% | 9.59% | 1.86% | 4.15% | -9.22% | -6.76% | 0.00% | 0.00% | 0.00% | 0.00% | -10.10% |
| 2007 | -0.71% | -1.44% | 1.01% | 1.61% | 0.10% | 2.17% | -1.21% | -0.73% | 8.25% | 7.12% | 0.72% | 9.17% | 28.45% |
| 2006 | 5.24% | -2.76% | 6.02% | 3.44% | 0.82% | -0.01% | -3.45% | -10.51% | 5.38% | 1.35% | 3.02% | 8.43% | 16.61% |
| 2005 | 0.52% | 6.08% | 10.37% | -1.84% | 6.00% | 1.75% | 6.34% | -2.47% | 5.15% | -4.26% | 10.55% | -1.49% | 41.68% |
| 2004 | 0.71% | 0.84% | -0.21% | -2.78% | 5.58% | 6.19% | -7.96% | 0.69% | -0.83% | 1.65% | 9.39% | 4.38% | 17.81% |
| 2003 | -0.86% | 0.42% | 0.42% | 1.48% | -1.12% | 6.07% | 3.63% | -3.03% | 3.85% | 4.37% | -2.83% | 12.60% |
Rentabilidades
| YTD (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -1.23 | -1.86 | -3.01 | 1.75 | -3.86 | 16.60 | 147.97 | 531.03 | 3267.06 |
