MACD Semanal
ESTADÍSTICAS BACKTEST: 2000 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 237% | 5,42% | 8,96% | -23,71% | 5,33 | 52% | 0,48 | 61% |
Semanal | ETFs | JAlfayate
Sistema Semanal sobre una cesta de ETF’s.
Sistema de 6 posiciones basado en el cruce de la Línea del MACD con respecto a cero.
- Compra si el MACD cruza al alza y cierra por encima de su media de 30 semanas
- Vende cuando cruza a la baja, cierra por debajo de su media de 30 semanas y la distancia del mínimo semanal con la media no es superior al 2%
Usa un stop loss fijo al 8 % del precio de cierre de la señal.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2000 |
| Fecha final del backtest | 01/01/2023 |
| Periodo de desarrollo | 01/01/2000 - 31/12/2011 |
| Fecha estrategia publicada | 01/01/2012 |
| Capital minimo sugerido | 10.000 |
| Edad de la estrategia | 23 años |
| Retorno desde Inicio (%) | 237.21% |
| Mejor mes (%) | 8,25% |
| Peor mes (%) | -10,75% |
| Volatidad anualizada (%) | 11,21% |
| Recovery Factor | 3.24 |
| CAR/MaxDD | 0.23 |
| RAR/MaxDD | 0.38 |
| Profit Factor | 5.33 |
| Payoff Ratio | 4.92 |
| Risk-Reward Ratio | 0.59 |
| Ulcer Index | 6.63 |
| Ulcer Performance Index | 0.00 |
| Sharpe Ratio of trades | 0.17 |
| Sortino Ratio | 0,75 |
| Max. Drawdown (%) (semanal) | -23.71% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 337214.93 |
| Net Profit | 237214.93 |
| Net Profit % | 237.21% |
| Exposure % | 60.56% |
| Annual Return % | 5.42% |
| Risk Adjusted Return % | 8.96% |
| Buy&Hold (SPX) | 4.26% |
| Total transaction costs | 1000.00 |
| All trades | 50 |
| Avg. Profit/Loss % | 19.89% |
| Avg. Bars Held | 89.00 |
| Winners | 26 (52.00 %) |
| Avg. Profit % | 45.00% |
| Avg. Bars Held | 89.00 |
| Max. Consecutive | 6 |
| # bars in largest win | 306 |
| Losers | 24 (48.00 %) |
| Avg. Loss % | -7.31% |
| Avg. Bars Held | 37.58 |
| Max. Consecutive | 6 |
| # bars in largest loss | 49 |
- Familia: Tendencial
- Subfamilia: Tendenciales con Momentum
- Operativa: Solo largos
- Max Posiciones: 6
- Rotación/Trades: Baja
- Temporalidad: Semanal
- Diversificación: Global
- Mercados: Europa, USA y Emergentes
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- SP500 (^SPX)
- Nasdaq100 (^NDX)
- DAX (^GDAXI)
- Stoxx50 (^STOXX50E)
- CAC (^FCHI)
- Emergentes (EEM.TIN)
- 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
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.00% | 2.79% | 2.72% | -1.70% | 1.88% | 0.61% | -0.43% | 2.43% | 2.43% | -0.24% | 11.99% | ||
| 2023 | 3.41% | -1.78% | 2.48% | 0.95% | 0.96% | 2.22% | 2.64% | -4.25% | -1.17% | -2.86% | 6.79% | 3.24% | 12.78% |
| 2022 | -6.13% | -2.12% | 1.04% | -0.41% | 0.20% | -1.21% | 0.89% | -0.45% | -0.25% | 0.26% | 0.47% | -1.35% | -8.88% |
| 2021 | -0.45% | 2.01% | 2.87% | 4.56% | 1.10% | 2.29% | 0.58% | 2.02% | -0.68% | 2.34% | -0.57% | 3.05% | 20.73% |
| 2020 | -2.01% | -6.96% | -10.75% | 5.49% | 3.45% | 0.58% | 4.06% | 5.87% | -5.46% | -1.33% | 8.24% | 3.05% | 2.38% |
| 2019 | 4.49% | 2.05% | 0.68% | 3.81% | -6.56% | 6.18% | 1.72% | -3.58% | 1.80% | 3.17% | 2.73% | 3.10% | 20.64% |
| 2018 | 6.74% | -4.40% | -3.21% | 2.19% | 0.62% | -2.50% | 2.58% | 0.09% | 0.16% | -6.48% | 1.90% | -5.10% | -7.92% |
| 2017 | 2.54% | 1.40% | 2.98% | 1.81% | 2.11% | -1.92% | 2.07% | -0.11% | 3.11% | 2.59% | 0.63% | -0.52% | 17.89% |
| 2016 | -5.69% | -0.69% | 1.83% | 0.07% | -1.06% | -1.62% | 3.17% | 0.69% | 0.15% | -0.16% | -0.01% | 3.23% | -0.39% |
| 2015 | -0.96% | 6.30% | -0.49% | 3.38% | -2.44% | 0.13% | -0.60% | -8.16% | -3.22% | 7.85% | -0.43% | -3.20% | -2.83% |
| 2014 | -3.50% | 5.02% | -0.54% | -0.46% | 4.02% | 0.63% | 0.17% | 0.62% | -1.21% | -0.58% | 3.54% | -1.51% | 6.01% |
| 2013 | 4.41% | -1.71% | 1.30% | 0.85% | 3.40% | -4.31% | 5.22% | -1.81% | 6.51% | 4.09% | 2.01% | 1.11% | 22.55% |
| 2012 | 5.45% | 3.36% | 0.89% | -2.69% | -5.95% | 2.33% | 0.67% | 1.51% | 1.80% | -0.79% | 1.83% | 1.14% | 9.44% |
| 2011 | 1.86% | 1.88% | -0.74% | 5.10% | -4.29% | -3.84% | 2.55% | -10.22% | -3.34% | 10.16% | -7.69% | 2.89% | -7.23% |
| 2010 | -5.73% | 0.99% | 6.44% | -0.13% | -6.90% | 0.69% | 2.83% | -2.24% | 5.95% | 3.87% | -0.82% | 3.33% | 7.54% |
| 2009 | 0.00% | 0.00% | 0.00% | 0.00% | 1.55% | -1.23% | 6.18% | 3.80% | 2.31% | -2.11% | 4.77% | 3.90% | 20.53% |
| 2008 | -10.59% | 0.91% | -1.19% | 3.58% | 0.88% | -4.25% | -0.03% | -0.04% | -0.89% | -3.74% | 0.00% | 0.00% | -14.96% |
| 2007 | -0.04% | 3.72% | -1.27% | 6.44% | 1.86% | 2.17% | -3.67% | 1.50% | 6.05% | 3.42% | -2.37% | 0.35% | 19.12% |
| 2006 | 6.07% | 0.66% | 1.66% | 2.27% | -4.36% | -1.59% | 0.62% | 1.00% | 2.85% | 3.91% | 3.52% | 2.27% | 20.14% |
| 2005 | -2.33% | 4.82% | -2.45% | -3.11% | 5.12% | 0.54% | 5.97% | -1.95% | 5.22% | -4.75% | 6.66% | 1.76% | 15.59% |
| 2004 | 3.92% | 1.06% | -3.93% | -0.08% | 0.53% | 1.83% | -3.46% | 0.20% | 1.35% | 2.58% | 5.37% | 2.41% | 12.01% |
| 2003 | 0.00% | 0.00% | 0.00% | -0.03% | 2.05% | 0.17% | 1.89% | 3.10% | -2.24% | 5.23% | 1.59% | 3.38% | 15.97% |
| 2002 | 0.00% | 0.00% | 0.06% | -1.14% | -0.18% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -1.26% |
| 2001 | -0.02% | -1.56% | -0.61% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | -2.18% |
| 2000 | 4.65% | 2.45% | -5.22% | -2.35% | 1.57% | -1.28% | 2.10% | -3.92% | -1.48% | -0.78% | -1.28% | -5.80% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 11.99 | -0.24 | 4.67 | 6.84 | 23.47 | 5.65 | 8.54 | 6.28 | 391.71 |
