Nasdaq Q27
ESTADÍSTICAS BACKTEST: 2000 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 4777% | 16,81% | 68,80% | -21,79% | 2,02 | 71% | 1,06 | 25% |
Diario | ETFs
Sistema Diario sobre el índice Nasdaq100.
Es un sistema que combina dos subsistemas uno de momentum y otro de reversión a la media:
- Entra cuando se produce un cruce de medias y sale cuando hay sobrecompra.
- Entra cuando se ha producido una bajada considerable y sale cuando cierra por encima del máximo del día anterior.
Se puede operar con ETF’s, CFD’s y futuros.
Su retorno ajustado al riesgo lo convierte en un diamante en bruto, ideal para combinar con otros sistemas. No usa stoploss.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2000 |
| Fecha final del backtest | 31/12/2024 |
| Periodo de desarrollo | 01/01/2010 - 31/12/2014 |
| Fecha estrategia publicada | 01/01/2022 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 25 años |
| Retorno desde Inicio (%) | 4777.20% |
| Mejor mes (%) | 18.07% |
| Peor mes (%) | -13.34% |
| Volatidad anualizada (%) | 15.88% |
| Recovery Factor | 10.17 |
| CAR/MaxDD | 0.77 |
| RAR/MaxDD | 3.16 |
| Profit Factor | 2.02 |
| Payoff Ratio | 0.80 |
| Risk-Reward Ratio | 0.43 |
| Ulcer Index | 3.62 |
| Ulcer Performance Index | 3.15 |
| Sharpe Ratio of trades | 2.32 |
| Sortino Ratio | 1.85 |
| Max. Drawdown (%) | -21.79% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 4877203.88 |
| Net Profit | 4777203.88 |
| Net Profit % | 4777.20% |
| Exposure % | 24.44% |
| Annual Return % | 16.81% |
| Risk Adjusted Return % | 68.80% |
| Buy&Hold (SPX) | 5.74% |
| Total transaction costs | 9560.00 |
| All trades | 478 |
| Avg. Profit/Loss % | 0.85% |
| Avg. Bars Held | 6.02 |
| Winners | 343 (71.76 %) |
| Avg. Profit % | 1.86% |
| Avg. Bars Held | 6.02 |
| Max. Consecutive | 6 |
| # bars in largest win | 3 |
| Losers | 135 (28.24 %) |
| Avg. Loss % | -1.73% |
| Avg. Bars Held | 6.02 |
| Max. Consecutive | 6 |
| # bars in largest loss | 10 |
- Familia: Reversión + Momentum
- Subfamilia: Reversión + Momentum
- Operativa: Solo largos
- Max Posiciones: 1
- Rotación/Trades: Media
- Temporalidad: Diaria
- Diversificación: Baja
- Mercados: Nasdaq100
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- QQQ
- 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% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.11% | 0.00% | 2.11% | ||||||||||
| 2025 | 4.00% | -0.38% | -5.61% | 10.99% | 0.00% | 0.00% | 0.46% | 3.02% | -0.11% | 5.74% | -0.20% | 2.15% | 20.95% |
| 2024 | 0.49% | 2.99% | 2.94% | -2.70% | -1.05% | -0.47% | 2.22% | 6.71% | -3.43% | 2.87% | 2.73% | 0.26% | 13.92% |
| 2023 | 4.37% | -1.43% | 1.69% | 2.13% | 0.00% | -0.89% | 0.34% | -1.88% | -2.11% | -2.32% | 0.00% | 0.15% | -0.16% |
| 2022 | -4.08% | 7.42% | 3.52% | -4.59% | -3.44% | 5.36% | 0.00% | -4.38% | -2.70% | 4.12% | 4.46% | -4.46% | 0.10% |
| 2021 | 2.93% | -0.55% | 2.84% | 2.14% | 2.78% | 0.78% | -1.19% | 1.54% | -2.75% | 1.71% | 2.29% | 0.84% | 14.02% |
| 2020 | 3.01% | -3.60% | 8.14% | 1.74% | 7.73% | 4.33% | 4.11% | 0.00% | -0.40% | -5.50% | 5.26% | 2.19% | 29.43% |
| 2019 | 2.02% | 2.42% | 1.91% | 1.32% | -4.97% | 1.51% | 1.82% | 1.32% | -1.20% | -0.92% | 1.06% | 1.67% | 7.99% |
| 2018 | 1.07% | -6.75% | 0.34% | 6.23% | 3.57% | -0.70% | -1.60% | 1.79% | 3.06% | 0.97% | -1.61% | -5.22% | 0.42% |
| 2017 | 1.42% | 0.69% | 1.30% | 0.95% | 0.53% | 2.93% | 0.93% | 0.97% | -0.77% | 2.29% | 0.69% | 0.62% | 13.24% |
| 2016 | -0.21% | 1.80% | 1.57% | -2.26% | 1.02% | -3.26% | 0.00% | 0.06% | 3.93% | 1.52% | 1.03% | 1.47% | 6.66% |
| 2015 | 1.64% | 0.57% | -2.90% | 0.30% | -0.04% | 0.16% | -0.11% | 12.53% | -0.03% | -0.30% | -0.54% | 1.75% | 13.03% |
| 2014 | 1.00% | 1.92% | -1.80% | 3.19% | 3.61% | 1.78% | -1.84% | 1.00% | 2.25% | 1.61% | 0.57% | 1.51% | 15.66% |
| 2013 | 3.02% | 2.96% | -1.47% | 3.49% | 0.88% | 3.44% | 2.20% | 3.59% | 0.00% | -0.63% | 2.00% | 0.89% | 22.19% |
| 2012 | 0.00% | 0.85% | 0.88% | 2.94% | -1.74% | 1.24% | -0.18% | 0.07% | 2.04% | -2.95% | 1.94% | 1.54% | 6.67% |
| 2011 | 2.40% | 1.75% | 2.04% | -0.13% | 2.24% | -0.40% | 2.86% | -5.23% | -4.20% | 1.87% | -0.10% | 1.10% | 3.87% |
| 2010 | -5.26% | 1.54% | -0.44% | 3.85% | -3.44% | -3.33% | 3.75% | -3.85% | 3.18% | 2.09% | -2.22% | -0.29% | -4.90% |
| 2009 | 4.63% | -6.39% | -1.82% | 11.25% | 3.85% | -1.10% | 1.95% | 0.44% | 3.90% | -1.05% | 2.08% | 2.11% | 20.56% |
| 2008 | -1.39% | 0.86% | 5.48% | 2.69% | 1.43% | -1.99% | 1.75% | 0.02% | -1.11% | 13.23% | 0.71% | -1.27% | 21.34% |
| 2007 | 0.39% | 0.45% | 1.19% | 0.86% | 2.70% | 0.77% | -3.14% | 1.51% | 2.94% | 2.14% | 3.52% | 2.92% | 17.34% |
| 2006 | 1.29% | 0.22% | 4.60% | -1.02% | 2.67% | 6.11% | 0.25% | 0.97% | 0.00% | 4.94% | 1.13% | 1.66% | 25.04% |
| 2005 | 1.22% | 1.77% | -0.39% | -0.88% | 0.17% | -0.03% | 4.00% | -1.86% | 0.38% | 2.14% | 0.00% | -1.36% | 5.14% |
| 2004 | -2.40% | 1.00% | 1.78% | 5.00% | 0.13% | 1.13% | -0.67% | 1.44% | 0.08% | 0.00% | 1.08% | -1.47% | 7.13% |
| 2003 | 3.03% | 1.06% | 5.38% | 7.61% | 1.89% | -2.36% | 3.59% | 1.68% | 4.26% | 6.35% | 3.76% | 0.85% | 43.58% |
| 2002 | 4.15% | -5.08% | 2.75% | 9.57% | 1.31% | -5.76% | 8.59% | 8.25% | 1.68% | 3.81% | 8.34% | 0.66% | 43.80% |
| 2001 | 18.07% | -13.34% | 14.49% | 13.63% | 5.66% | 14.55% | -0.44% | 1.67% | -10.87% | 4.08% | 7.31% | 6.54% | 72.96% |
| 2000 | 8.18% | 9.83% | -1.71% | 8.74% | 0.39% | -4.74% | 2.86% | 1.24% | -2.85% | -5.15% | 10.40% | 28.66% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 2.11 | 0.00 | 4.31 | 9.95 | 19.21 | 10.95 | 9.39 | 10.34 | 4982.99 |