IA SuperSectores USA
ESTADÍSTICAS BACKTEST: 2003 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 659% | 10,66% | 12,40% | -16,11% | 2,89 | 59% | 0,76 | 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 | 01/01/2023 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2012 |
| Fecha estrategia publicada | 01/01/2014 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 20 años |
| Retorno desde Inicio (%) | 658.67% |
| Mejor mes (%) | 16,77% |
| Peor mes (%) | -12,45% |
| Volatidad anualizada (%) | 14,04% |
| Recovery Factor | 5.57 |
| CAR/MaxDD | 0.66 |
| RAR/MaxDD | 0.77 |
| Profit Factor | 2.89 |
| Payoff Ratio | 2.04 |
| Risk-Reward Ratio | 0.42 |
| Ulcer Index | 4.99 |
| Ulcer Performance Index | 1.05 |
| Sharpe Ratio of trades | 0.26 |
| Sortino Ratio | 1,37 |
| Max. Drawdown (%) (EOM) | -16.11% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 758667.93 |
| Net Profit | 658667.93 |
| Net Profit % | 658.67% |
| Exposure % | 85.93% |
| Annual Return % | 10.66% |
| Risk Adjusted Return % | 12.40% |
| Buy&Hold (SPX) | 7.64% |
| Total transaction costs | 2560.00 |
| All trades | 128 |
| Avg. Profit/Loss % | 3.98% |
| Avg. Bars Held | 4.50 |
| Winners | 75 (58.59 %) |
| Avg. Profit % | 9.52% |
| Avg. Bars Held | 4.50 |
| Max. Consecutive | 9 |
| # bars in largest win | 11 |
| Losers | 53 (41.41 %) |
| Avg. Loss % | -3.86% |
| Avg. Bars Held | 2.81 |
| 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.
¿Necesitas ayuda?
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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 | 0.94% | -5.31% | -2.78% | -7.08% | |||||||||
| 2022 | -6.97% | 1.06% | 4.66% | -2.73% | 6.41% | -12.45% | 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% | 5.90% |
| 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% | -4.57% | 2.75% | 0.47% | 5.21% | 2.98% | 1.83% | 0.76% | -0.89% | 12.50% |
| 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% | 2.23% |
| 2010 | -3.46% | 3.66% | 2.51% | 4.30% | -5.43% | -10.01% | 8.48% | -5.10% | 9.97% | 4.39% | 4.63% | 2.74% | 15.67% |
| 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% | 4.90% | 4.99% | -1.13% | -8.83% | 0.17% | 0.00% | 0.00% | 0.00% | 0.00% | -9.13% |
| 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% | 6.83% |
| 2006 | 8.35% | -4.44% | 2.03% | 3.75% | -2.55% | -0.24% | -4.16% | -0.56% | -1.26% | 1.88% | 0.15% | 0.77% | 3.09% |
| 2005 | 2.62% | 9.24% | -1.03% | -1.48% | 1.36% | 5.63% | 4.62% | 3.62% | 4.66% | -7.57% | 0.72% | 0.55% | 24.28% |
| 2004 | -2.33% | 2.01% | -1.72% | 1.35% | -0.39% | 2.65% | 0.18% | -0.71% | 4.26% | -0.13% | 5.32% | -0.75% | 9.86% |
| 2003 | 0.00% | 0.00% | -0.04% | 4.77% | 0.88% | -2.24% | 0.70% | -4.49% | 4.32% | 0.24% | 5.85% | 9.95% |
Rentabilidades
| YTD (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -7.08 | -2.78 | -7.08 | 2.80 | -9.23 | 64.96 | 63.56 | 158.45 | 604.92 |
