IA SuperSectores USA
ESTADÍSTICAS BACKTEST: 2003 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 785% | 10,41% | 12,11% | -16,11% | 2,81 | 57% | 0,74 | 86% |
Mensual | ETFs | Alfayate
Sistema Rotacional Mensual sobre los SuperSectores Americanos.
Invierte en 2 posiciones sin SL basado en Momentum.
- Compra los dos activos con más IA (Inercia Alcista) positiva.
- Vende cuando deja de ocupar las dos primeras posiciones o tiene IA negativa.
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 - 31/12/2012 |
| Fecha estrategia publicada | 01/01/2014 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 22 años |
| Retorno desde Inicio (%) | 785.11% |
| Mejor mes (%) | 16.77% |
| Peor mes (%) | -12.45% |
| Volatidad anualizada (%) | 14,02% |
| Recovery Factor | 6.80 |
| CAR/MaxDD | 0.65 |
| RAR/MaxDD | 0.75 |
| Profit Factor | 2.81 |
| Payoff Ratio | 2.10 |
| Risk-Reward Ratio | 0.40 |
| Ulcer Index | 4.97 |
| Ulcer Performance Index | 1.01 |
| Sharpe Ratio of trades | 0.25 |
| Sortino Ratio | 1.35 |
| Max. Drawdown (%) | -16.11% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 885105.52 |
| Net Profit | 785105.52 |
| Net Profit % | 785.11% |
| Exposure % | 85.94% |
| Annual Return % | 10.41% |
| Risk Adjusted Return % | 12.11% |
| Buy&Hold (SPX) | 9.01% |
| Total transaction costs | 2900.00 |
| All trades | 145 |
| Avg. Profit/Loss % | 3.78% |
| Avg. Bars Held | 2.84 |
| Winners | 83 (57.24 %) |
| Avg. Profit % | 9.36% |
| Avg. Bars Held | 2.84 |
| Max. Consecutive | 4 |
| # bars in largest win | 11 |
| Losers | 62 (42.76 %) |
| Avg. Loss % | -3.69% |
| Avg. Bars Held | 2.84 |
| Max. Consecutive | 4 |
| # bars in largest loss | 3 |
- Familia: Momentum
- Subfamilia: Rotacional con ranking
- Operativa: Solo largos
- Max Posiciones: 2
- Rotación/Trades: Baja
- Temporalidad: Mensual
- Diversificación: Baja
- Mercados: RV USA
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- 13 SuperSectores USA
- 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 | 4.16% | -3.29% | -4.60% | -1.43% | 4.93% | 4.56% | -0.50% | 1.74% | 3.73% | 0.60% | 9.78% | ||
| 2024 | 0.43% | 6.33% | 4.97% | -5.51% | 2.57% | -0.51% | -1.40% | 1.75% | 2.26% | -4.26% | 4.83% | -6.51% | 4.04% |
| 2023 | 0.94% | -5.31% | 0.24% | 1.34% | 2.74% | 4.70% | 3.52% | -1.47% | -4.57% | -0.57% | 9.50% | 3.73% | 14.81% |
| 2022 | -6.97% | 1.06% | 4.66% | -2.73% | 6.41% | -12.46% | 7.52% | 1.66% | -10.85% | 13.59% | 0.76% | -3.34% | -3.88% |
| 2021 | 16.77% | -4.31% | 11.99% | 5.05% | 0.08% | 0.59% | -1.28% | 2.17% | -6.05% | 3.48% | 0.33% | 1.37% | 31.98% |
| 2020 | 1.98% | -7.81% | -9.00% | 6.48% | 4.99% | 2.26% | 5.17% | 10.27% | -3.92% | -3.87% | 10.42% | 3.49% | 19.72% |
| 2019 | 3.71% | 0.97% | 0.96% | 0.18% | -1.99% | 1.46% | 0.74% | 1.49% | 2.28% | 1.15% | -0.38% | 1.37% | 12.50% |
| 2018 | 5.89% | -1.94% | -3.25% | 1.11% | 4.28% | 1.18% | 1.80% | 5.27% | -0.06% | -8.24% | 5.23% | -6.64% | 3.50% |
| 2017 | 2.41% | 3.75% | 0.32% | 1.77% | 2.60% | -1.15% | 2.19% | 2.16% | 0.46% | 2.77% | 1.11% | 0.78% | 20.83% |
| 2016 | -2.21% | 1.01% | 5.20% | -1.77% | 1.01% | 5.29% | -0.69% | -2.84% | -1.25% | -1.86% | 3.88% | 0.42% | 5.89% |
| 2015 | -0.92% | -0.76% | -0.94% | -2.49% | 2.99% | -0.29% | 3.78% | -7.20% | -3.00% | 6.19% | 0.19% | -2.67% | -5.65% |
| 2014 | -4.66% | 4.66% | -0.51% | 0.31% | 2.18% | 1.42% | 0.81% | 3.68% | -0.39% | 3.15% | 2.15% | -2.04% | 10.92% |
| 2013 | 7.73% | -0.37% | 5.81% | 1.76% | -0.21% | -0.27% | 5.71% | -2.95% | 3.60% | 4.10% | 3.79% | 1.00% | 33.39% |
| 2012 | -2.29% | 3.35% | 3.03% | -0.39% | -4.58% | 2.75% | 0.47% | 5.21% | 2.98% | 1.83% | 0.76% | -0.89% | 12.49% |
| 2011 | -1.76% | 4.26% | 0.31% | 2.65% | -1.23% | -1.68% | 0.53% | -5.55% | -2.15% | 3.72% | 1.71% | 1.82% | 2.22% |
| 2010 | -3.46% | 3.66% | 2.51% | 4.30% | -5.43% | -10.02% | 8.48% | -5.10% | 9.97% | 4.39% | 4.63% | 2.74% | 15.66% |
| 2009 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -0.01% | 4.54% | 3.09% | 4.97% | -1.07% | 3.49% | 3.78% | 20.18% |
| 2008 | -11.62% | 5.67% | -2.14% | 4.89% | 4.99% | -1.13% | -8.83% | 0.17% | 0.00% | 0.00% | 0.00% | 0.00% | -9.14% |
| 2007 | 0.74% | 0.99% | 1.11% | 3.30% | 1.47% | -2.99% | -0.79% | -0.31% | 5.15% | 0.56% | -5.33% | 3.16% | 6.82% |
| 2006 | 8.30% | -4.41% | 2.02% | 3.73% | -2.55% | -0.24% | -4.17% | -0.56% | -1.27% | 1.88% | 0.15% | 0.77% | 3.04% |
| 2005 | 2.60% | 9.16% | -1.02% | -1.48% | 1.35% | 5.58% | 4.58% | 3.60% | 4.63% | -7.52% | 0.71% | 0.54% | 24.07% |
| 2004 | 0.00% | 0.00% | -0.04% | 1.36% | -0.39% | 2.69% | 0.21% | -0.73% | 4.34% | 2.41% | 5.28% | -0.91% | 14.92% |
| 2003 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 9.78 | 0.60 | 6.16 | 15.90 | 7.59 | 8.49 | 13.71 | 11.21 | 843.97 |