MACD Semanal
ESTADÍSTICAS BACKTEST: 2000 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 372% | 7,31% | 10,32% | -23,71% | 6,66 | 55% | 0,59 | 71% |
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.
- Vende cuando cruza a la baja y el cierre no está alejado de su media.
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 | 01/01/2022 |
| Periodo de desarrollo | 01/01/2000 - 31/12/2011 |
| Fecha estrategia publicada | 01/01/2012 |
| Capital minimo sugerido | 10.000 |
| Edad de la estrategia | 22 años |
| Retorno desde Inicio (%) | 372.42% |
| Mejor mes (%) | 8.25% |
| Peor mes (%) | -10.75% |
| Volatidad anualizada (%) | 12.38% |
| Recovery Factor | 3.99 |
| CAR/MaxDD | 0.31 |
| RAR/MaxDD | 0.44 |
| Profit Factor | 6.66 |
| Payoff Ratio | 5.47 |
| Risk-Reward Ratio | 0.72 |
| Ulcer Index | 7.37 |
| Ulcer Performance Index | 0.26 |
| Sharpe Ratio of trades | 0.21 |
| Sortino Ratio | 0.93 |
| A | B |
|---|---|
| Initial capital | 100000 |
| Ending capital | 472422 |
| Net Profit | 372422 |
| Net Profit % | 372.42% |
| Exposure % | 70.77% |
| Annual Return % | 7.31% |
| Risk Adjusted Return % | 10.32% |
| Buy&Hold (SPX) | 5.49% |
| Total transaction costs | 1020 |
| All trades | 51 |
| Avg. Profit/Loss % | 26.27% |
| Avg. Bars Held | 99.35 |
| Winners | 28 (54.90 %) |
| Avg. Profit % | 54.20% |
| Avg. Bars Held | 99.35 |
| Max. Consecutive | 7 |
| # bars in largest win | 294 |
| Losers | 23 (45.10 %) |
| Avg. Loss % | -7.72% |
| Avg. Bars Held | 50.7 |
| 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.
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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% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -6.13% | -2.12% | 1.04% | -0.41% | 0.20% | -1.21% | 0.89% | -0.44% | -0.25% | 0.25% | 0.46% | 0.07% | -7.58% |
| 2021 | -0.45% | 2.01% | 2.87% | 4.56% | 1.10% | 2.29% | 0.59% | 2.02% | -0.68% | 2.34% | -0.56% | 3.05% | 20.73% |
| 2020 | -2.01% | -6.96% | -10.75% | 5.49% | 3.45% | 0.58% | 4.05% | 5.87% | -5.46% | -1.33% | 8.24% | 3.05% | 2.37% |
| 2019 | 4.50% | 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 | -4.37% | -0.69% | 1.83% | 0.06% | -1.06% | -1.62% | 3.17% | 0.68% | 0.15% | -0.16% | -0.01% | 3.23% | 0.98% |
| 2015 | -0.97% | 6.31% | -0.45% | 3.27% | -2.37% | 0.17% | -0.50% | -8.93% | -2.83% | 7.14% | -0.16% | -2.71% | -3.00% |
| 2014 | -3.39% | 4.98% | -0.60% | -0.47% | 3.98% | 0.61% | 0.13% | 0.62% | -1.12% | -0.55% | 3.58% | -1.44% | 6.17% |
| 2013 | 4.41% | -1.68% | 1.34% | 0.88% | 3.47% | -4.21% | 5.18% | -1.73% | 6.38% | 4.06% | 2.04% | 1.16% | 22.86% |
| 2012 | 5.28% | 3.31% | 0.97% | -2.67% | -5.77% | 2.25% | 0.65% | 1.53% | 1.71% | -0.80% | 1.80% | 1.04% | 9.21% |
| 2011 | 1.99% | 1.90% | -0.83% | 5.05% | -4.24% | -3.78% | 2.51% | -10.08% | -3.09% | 9.90% | -7.50% | 2.83% | -6.85% |
| 2010 | -5.64% | 0.97% | 6.41% | -0.17% | -6.79% | 0.62% | 2.75% | -2.23% | 5.85% | 3.82% | -0.75% | 3.23% | 7.38% |
| 2009 | 0.00% | 0.00% | 0.00% | 0.00% | -0.02% | -0.79% | 4.62% | 3.82% | 2.22% | -2.10% | 4.69% | 3.88% | 17.26% |
| 2008 | -5.39% | 0.45% | -0.63% | 2.27% | 1.23% | -3.00% | -0.09% | 0.25% | 0.00% | 0.00% | 0.00% | 0.00% | -5.02% |
| 2007 | 0.06% | 1.61% | -1.13% | 2.95% | 0.56% | 1.13% | -0.25% | 0.79% | 3.64% | 2.83% | -2.57% | -0.27% | 9.56% |
| 2006 | 1.15% | -0.28% | 0.35% | 0.77% | -3.15% | -0.46% | -0.75% | 0.40% | 1.49% | 1.58% | 2.31% | 0.35% | 3.72% |
| 2005 | -2.04% | 2.90% | -2.94% | -0.66% | 2.62% | -7.19% | 1.69% | -0.87% | 0.77% | -0.87% | 2.46% | -0.84% | -5.30% |
| 2004 | 2.05% | 0.56% | -1.74% | -1.24% | 1.21% | 0.55% | -2.08% | 0.50% | 0.68% | 1.52% | 3.42% | 1.35% | 6.84% |
| 2003 | 0.00% | 0.00% | 0.00% | -0.03% | 2.06% | 0.30% | 1.34% | 0.99% | -0.59% | 2.20% | 0.50% | 1.59% | 8.63% |
| 2002 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
| 2001 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
| 2000 | -0.98% | 1.76% | -0.48% | -0.78% | 0.81% | -1.58% | 1.39% | -2.15% | -1.63% | 0.00% | 0.00% | -3.65% |
Rentabilidades
| YTD (%) | 1 mes (%) | 3 meses (%) | 6 meses (%) | 1 año (%) | 3 años (%) | 5 años (%) | 10 años (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -7.58 | 0.07 | 0.79 | 0.99 | -7.58 | 14.23 | 26.89 | 91.13 | 179.80 |
