Nasdaq Q27
ESTADÍSTICAS BACKTEST: 2000 – 2022
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 4213% | 17,78% | 72,50% | -21,79% | 2,18 | 73% | 1,09 | 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 | 01/01/2023 |
| Periodo de desarrollo | 01/01/2010 - 31/12/2014 |
| Fecha estrategia publicada | 01/01/2022 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 23 años |
| Retorno desde Inicio (%) | 4213.52% |
| Mejor mes (%) | 18,07% |
| Peor mes (%) | -13,34% |
| Volatidad anualizada (%) | 16,30% |
| Recovery Factor | 8.97 |
| CAR/MaxDD | 0.82 |
| RAR/MaxDD | 3.33 |
| Profit Factor | 2.18 |
| Payoff Ratio | 0.81 |
| Risk-Reward Ratio | 0.44 |
| Ulcer Index | 3.57 |
| Ulcer Performance Index | 3.47 |
| Sharpe Ratio of trades | 2.42 |
| Sortino Ratio | 1.91 |
| Max. Drawdown (%) (diario) | -21.79% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 4313519.78 |
| Net Profit | 4213519.78 |
| Net Profit % | 4213.52% |
| Exposure % | 24.52% |
| Annual Return % | 17.78% |
| Risk Adjusted Return % | 72.50% |
| Buy&Hold (SPX) | 4.59% |
| Total transaction costs | 8820.00 |
| All trades | 441 |
| Avg. Profit/Loss % | 0.89% |
| Avg. Bars Held | 4.22 |
| Winners | 322 (73.02 %) |
| Avg. Profit % | 1.87% |
| Avg. Bars Held | 4.22 |
| Max. Consecutive | 14 |
| # bars in largest win | 3 |
| Losers | 119 (26.98 %) |
| Avg. Loss % | -1.76% |
| Avg. Bars Held | 6.16 |
| Max. Consecutive | 3 |
| # 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
| Año | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.49% | 2.99% | -0.93% | -2.70% | -1.05% | -0.47% | 2.22% | 6.71% | -3.44% | 1.56% | 5.11% | ||
| 2023 | 4.37% | -1.43% | 1.69% | 2.13% | 0.00% | 1.78% | 0.34% | -1.88% | -2.11% | -2.32% | 0.00% | 0.15% | 2.53% |
| 2022 | -4.08% | 7.42% | 2.80% | -4.59% | -3.44% | 5.36% | 0.00% | -4.38% | -2.70% | 4.12% | 4.46% | -4.46% | -0.60% |
| 2021 | 3.69% | 0.02% | 3.58% | 2.14% | 2.78% | 0.78% | 1.82% | 1.54% | -2.75% | 2.41% | 2.29% | 0.84% | 20.71% |
| 2020 | 3.01% | -3.60% | 8.14% | 1.74% | 7.73% | 4.47% | 4.11% | 0.00% | -0.40% | -5.50% | 5.26% | 2.19% | 29.61% |
| 2019 | 2.02% | 2.42% | 3.33% | 1.32% | -4.97% | 1.51% | 1.82% | 1.32% | -1.20% | -0.92% | 1.06% | 1.54% | 9.36% |
| 2018 | 1.07% | -6.75% | 0.34% | 6.23% | 3.57% | -0.70% | -1.60% | 1.78% | 3.06% | 0.97% | -1.61% | -5.22% | 0.41% |
| 2017 | 1.42% | 0.67% | 1.30% | -0.34% | 0.53% | 2.93% | 0.93% | 0.97% | 0.44% | 2.29% | 0.69% | 0.62% | 13.14% |
| 2016 | -0.21% | 1.80% | 1.57% | -2.26% | 2.85% | -3.26% | 0.00% | 0.06% | 2.32% | 1.52% | 1.03% | 1.42% | 6.85% |
| 2015 | 1.64% | 1.34% | -2.14% | 0.30% | 1.04% | 0.16% | -0.11% | 11.33% | -0.03% | -0.30% | 1.01% | 3.23% | 18.27% |
| 2014 | 1.00% | 1.92% | -1.80% | 3.19% | 2.93% | 1.78% | -1.84% | 0.68% | 1.61% | 1.61% | 0.57% | 0.92% | 13.16% |
| 2013 | 3.02% | 2.96% | -0.82% | 3.49% | 0.88% | 3.88% | 0.06% | 2.87% | 0.00% | -1.16% | 2.00% | 0.89% | 19.46% |
| 2012 | 0.00% | 1.87% | 0.88% | 2.94% | -1.74% | 0.00% | -0.05% | 0.07% | 2.62% | -3.11% | 1.70% | 1.54% | 6.74% |
| 2011 | 2.66% | 1.75% | 2.04% | -0.13% | 2.39% | -0.40% | 2.86% | -5.23% | -4.20% | 1.87% | -0.81% | 0.50% | 2.95% |
| 2010 | -5.26% | 1.54% | -0.44% | 3.85% | -3.44% | -3.33% | 3.75% | -3.85% | 3.18% | 2.09% | -1.37% | -0.29% | -4.06% |
| 2009 | 8.15% | -6.39% | -1.82% | 3.93% | 3.85% | -1.10% | 1.95% | 0.44% | 3.90% | -1.05% | 2.08% | 0.64% | 14.73% |
| 2008 | -2.14% | 0.00% | 2.40% | 2.69% | 1.43% | -1.99% | 1.75% | 0.02% | 0.66% | 0.63% | 0.71% | -1.27% | 4.86% |
| 2007 | 0.39% | 0.45% | -0.04% | 1.15% | 1.47% | 0.77% | -2.35% | 1.51% | 2.94% | 2.14% | 3.52% | 2.92% | 15.79% |
| 2006 | 3.80% | 0.22% | 4.61% | -1.02% | 2.67% | 8.09% | 0.25% | 0.97% | 1.06% | 4.94% | 1.13% | 0.49% | 30.41% |
| 2005 | 1.22% | 0.61% | -0.38% | -0.88% | 0.17% | 1.06% | 4.00% | -2.44% | 0.38% | 2.14% | 0.00% | -2.92% | 2.80% |
| 2004 | 0.32% | 1.53% | 0.63% | 5.00% | -0.26% | 1.13% | -0.67% | 1.44% | 0.08% | 2.50% | 1.08% | 0.14% | 13.57% |
| 2003 | 7.58% | 1.06% | 5.38% | 7.61% | 1.89% | -2.36% | 4.29% | 2.04% | 4.88% | 3.42% | 1.29% | 4.15% | 49.35% |
| 2002 | -2.22% | 0.11% | 3.44% | 9.58% | 1.31% | 0.65% | 4.70% | 8.25% | 3.41% | 2.86% | 4.37% | 0.66% | 43.29% |
| 2001 | 18.07% | -13.34% | 12.27% | 13.63% | 5.67% | 14.56% | -0.44% | 1.67% | -10.87% | 4.08% | 8.64% | 6.54% | 71.73% |
| 2000 | 8.19% | 10.80% | 14.69% | 2.48% | 1.76% | -2.97% | 2.86% | -3.56% | -7.88% | -3.49% | 17.83% | 44.55% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 5.11 | 1.56 | 4.65 | 5.35 | 5.27 | 3.38 | 11.45 | 10.32 | 4125.15 |
