Seasons
ESTADÍSTICAS BACKTEST: 2005 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 1331% | 14,48% | 17,32% | -17,61% | 6,21 | 75% | 1,11 | 84% |
Diario | ETFs
Cartera estacional, utiliza la estacionalidad histórica de los últimos 20 años para invertir en 4 activos: SPY, QQQ, XLU y GLD, siempre y cuando cumplan 1 condición de entrada.
Invierte en un máximo de 2 posiciones simultáneas equitativamente.
No utiliza stop loss.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2005 |
| Fecha final del backtest | 30/08/2024 |
| Periodo de desarrollo | 01/01/2005 - 31/12/2018 |
| Fecha estrategia publicada | 01/09/2024 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 19 años |
| Retorno desde Inicio (%) | 1332% |
| Mejor mes (%) | 10.93% |
| Peor mes (%) | -7.79% |
| Volatidad anualizada (%) | 13.01% |
| Recovery Factor | 11.10 |
| CAR/MaxDD | 0.83 |
| RAR/MaxDD | 0.98 |
| Profit Factor | 6.21 |
| Payoff Ratio | 2.11 |
| Risk-Reward Ratio | 0.44 |
| Ulcer Index | 4.79 |
| Ulcer Performance Index | 1.91 |
| Sharpe Ratio of trades | 0.87 |
| Sortino Ratio | 1.82 |
| Max. Drawdown (%) (EOD) | -17.61% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 1431879.40 |
| Net Profit | 1331956.40 |
| Net Profit % | 1332% |
| Exposure % | 84.08% |
| Annual Return % | 14.48% |
| Risk Adjusted Return % | 17.32% |
| Buy&Hold (SPX) | 8.14% |
| Total transaction costs | 2760.00 |
| All trades | 138 |
| Avg. Profit/Loss % | 4.12% |
| Avg. Bars Held | 61.49 |
| Winners | 103 (74.64 %) |
| Avg. Profit % | 6.83% |
| Avg. Bars Held | 61.49 |
| Max. Consecutive | 16 |
| # bars in largest win | 108 |
| Losers | 35 (25.36 %) |
| Avg. Loss % | -3.84% |
| Avg. Bars Held | 61.86 |
| Max. Consecutive | 4 |
| # bars in largest loss | 106 |
- Familia: Sistemas Estacionales
- Operativa: Largos
- Max Posiciones: 2
- Rotación/Trades: Baja
- Temporalidad: Diaria/Mensual
- Diversificación: Media
- Mercados: RV y Oro
- Clase de activos: ETF
- Comisiones: Incluidas
Universo
- QQQ
- SPY
- XLU
- GLD
- 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.
¿Tienes alguna duda?
Contacta con nosotros para resolvértela.
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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 | -1.42% | 0.46% | 4.78% | -0.72% | 7.60% | -0.28% | 6.05% | 3.41% | 1.39% | 0.70% | 23.76% | ||
| 2023 | 5.76% | -5.37% | 4.49% | 1.93% | 0.97% | 3.64% | 2.05% | -3.44% | -2.47% | -1.99% | 9.81% | 1.04% | 16.58% |
| 2022 | -1.68% | 6.12% | 0.82% | -2.41% | 2.11% | -2.82% | 3.74% | -1.18% | -0.34% | 0.00% | 0.00% | 1.29% | 5.40% |
| 2021 | -3.22% | -6.26% | -0.19% | 4.99% | -1.77% | 1.62% | 2.74% | 1.84% | -2.83% | 7.09% | 0.57% | 3.23% | 7.28% |
| 2020 | 4.50% | -0.64% | 0.51% | 5.88% | 5.41% | 0.34% | 9.17% | -1.37% | -2.88% | -3.13% | 10.89% | 3.74% | 36.18% |
| 2019 | 2.89% | -0.61% | -0.93% | 2.83% | -4.57% | 4.81% | 1.52% | 6.48% | 1.11% | 3.13% | 3.85% | 3.42% | 26.15% |
| 2018 | 3.22% | -2.07% | 0.04% | 1.88% | 2.27% | 1.40% | -0.96% | -0.41% | -0.35% | -7.97% | 0.80% | 5.65% | 2.92% |
| 2017 | 2.72% | 1.64% | -0.54% | 1.69% | 4.02% | -3.03% | 2.84% | 3.72% | -0.17% | 3.42% | 2.50% | 2.33% | 23.03% |
| 2016 | 5.41% | 10.93% | -0.37% | -2.98% | 2.93% | 2.06% | 0.13% | -4.43% | 0.14% | -1.49% | 2.05% | 0.62% | 15.09% |
| 2015 | 8.69% | -5.90% | -0.93% | 1.25% | 1.45% | -4.73% | 3.44% | -1.71% | -2.51% | 5.73% | 0.49% | -1.44% | 2.92% |
| 2014 | 3.42% | 6.27% | -0.63% | 1.71% | 1.63% | 3.20% | -5.05% | 2.61% | -1.45% | 2.56% | 3.63% | -1.68% | 16.89% |
| 2013 | -0.25% | -2.50% | 0.05% | 4.20% | -2.84% | -1.48% | 5.26% | 0.23% | 1.67% | 4.71% | 3.29% | -1.86% | 10.51% |
| 2012 | 5.38% | -1.48% | 0.54% | 0.40% | -3.18% | 3.26% | 1.93% | 0.13% | 0.27% | -3.75% | 0.93% | -0.65% | 3.48% |
| 2011 | -6.38% | 6.00% | 1.11% | 2.21% | 0.47% | -1.69% | 2.71% | 7.28% | -2.48% | 4.06% | -1.59% | -5.33% | 5.53% |
| 2010 | -1.26% | 3.27% | -0.21% | 1.86% | -6.46% | -4.02% | 1.77% | 3.39% | 4.10% | 4.74% | -0.10% | 2.80% | 9.66% |
| 2009 | 5.54% | 1.45% | -0.88% | 5.46% | 3.38% | 3.49% | 3.10% | 0.52% | 2.79% | -1.32% | 6.25% | -7.79% | 23.34% |
| 2008 | 10.84% | 5.23% | -2.14% | 0.73% | 1.83% | -0.77% | -4.61% | -5.15% | -0.77% | 0.00% | 0.00% | 12.12% | 16.96% |
| 2007 | 2.56% | 2.54% | -0.84% | 4.58% | 1.81% | -2.45% | -1.23% | 1.31% | 2.92% | 4.25% | -5.39% | 4.28% | 14.72% |
| 2006 | 9.92% | -1.11% | 1.76% | 0.14% | -2.79% | 0.70% | 3.55% | 0.83% | 1.99% | 3.97% | 2.73% | -1.63% | 21.32% |
| 2005 | 1.51% | -0.80% | 0.66% | -0.03% | 2.57% | 1.56% | 0.99% | 0.65% | -1.92% | 5.25% | 4.48% | 15.72% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 23.76 | 0.70 | 5.59 | 20.14 | 37.32 | 16.45 | 19.00 | 15.66 | 1383.58 |
