Wezen
ESTADÍSTICAS BACKTEST: 2000 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 471% | 7,22% | 18,74% | -16,55% | 1,58 | 69% | 0,58 | 38% |
Diario | ETFs
Sistema Diario sobre una lista de 13 supersectores USA.
Sistema de reversión a la media con 1 sola posición y sin SL.
- Compra si el sector está en sobreventa y si ha cerrado por encima de una media de largo plazo.
- Vende si el sector está en sobrecompra.
Si se produce más de una señal, se escoge el sector más sobrevendido.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2000 |
| Fecha final del backtest | 31/12/2024 |
| Periodo de desarrollo | 01/01/2003 - 31/12/2018 |
| Fecha estrategia publicada | 01/01/2022 |
| Capital minimo sugerido | 5.000 |
| Edad de la estrategia | 25 años |
| Retorno desde Inicio (%) | 471.65% |
| Mejor mes (%) | 10.17% |
| Peor mes (%) | -10.38% |
| Volatidad anualizada (%) | 12.37% |
| Recovery Factor | 4.28 |
| CAR/MaxDD | 0.44 |
| RAR/MaxDD | 1.13 |
| Profit Factor | 1.58 |
| Payoff Ratio | 0.72 |
| Risk-Reward Ratio | 0.30 |
| Ulcer Index | 4.98 |
| Ulcer Performance Index | 0.36 |
| Sharpe Ratio of trades | 0.81 |
| Sortino Ratio | 0.90 |
| Max. Drawdown (%) | -16.55% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 571645.63 |
| Net Profit | 471645.63 |
| Net Profit % | 471.65% |
| Exposure % | 38.51% |
| Annual Return % | 7.22% |
| Risk Adjusted Return % | 18.74% |
| Buy&Hold (SPX) | 5.70% |
| Total transaction costs | 9860.00 |
| All trades | 493 |
| Avg. Profit/Loss % | 0.37% |
| Avg. Bars Held | 8.85 |
| Winners | 338 (68.56 %) |
| Avg. Profit % | 1.37% |
| Avg. Bars Held | 8.85 |
| Max. Consecutive | 5 |
| # bars in largest win | 4 |
| Losers | 155 (31.44 %) |
| Avg. Loss % | -1.80% |
| Avg. Bars Held | 8.85 |
| Max. Consecutive | 5 |
| # bars in largest loss | 24 |
- Familia: Reversión a la media
- Subfamilia: Reversión a la media
- Operativa: Solo largos
- Max Posiciones: 1
- Rotación/Trades: Baja
- Temporalidad: Diaria
- Diversificación: Baja
- Mercados: RV Usa
- Clase de activos: ETF
- Comisiones: Incluidas
Renta Variable
- 11 Supersectores USA + XRT y XHB
- 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% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.29% | 6.43% | -10.50% | -6.92% | |||||||||
| 2025 | 2.66% | -0.33% | 2.36% | 1.82% | 3.29% | 1.53% | 1.23% | 3.23% | -1.49% | 0.07% | 0.17% | 1.28% | 16.88% |
| 2024 | -0.36% | 4.60% | 3.88% | -1.79% | 0.64% | 4.45% | 4.97% | 2.56% | 0.47% | -2.66% | 2.93% | -6.76% | 12.93% |
| 2023 | 5.21% | -2.11% | -7.23% | 5.53% | 2.46% | 1.00% | 7.90% | -1.78% | -4.87% | 1.28% | 0.00% | -0.13% | 6.39% |
| 2022 | -3.26% | -2.28% | 2.40% | 3.08% | 2.79% | -6.35% | 0.00% | 4.17% | -11.19% | 3.65% | 0.95% | 1.09% | -6.01% |
| 2021 | -1.30% | 4.49% | 11.19% | 3.55% | 1.95% | 1.43% | 7.42% | 3.43% | 0.33% | 6.59% | -5.52% | 8.27% | 49.25% |
| 2020 | -0.85% | -11.70% | 3.79% | 0.00% | 1.80% | 4.63% | 0.39% | -0.29% | 10.40% | -2.06% | 5.95% | 2.08% | 13.30% |
| 2019 | 0.00% | 2.35% | 4.58% | 1.47% | -2.76% | 0.11% | 3.42% | -0.78% | 2.34% | 3.69% | 3.94% | 2.48% | 22.63% |
| 2018 | -0.81% | -6.23% | 2.04% | 2.18% | -1.50% | -0.73% | 3.03% | 3.05% | 0.70% | -3.44% | 2.76% | -3.20% | -2.63% |
| 2017 | 1.58% | -0.92% | -3.63% | -2.28% | 3.05% | 2.43% | -0.84% | 2.84% | 2.28% | 1.77% | 1.89% | -1.02% | 7.10% |
| 2016 | -0.39% | 2.58% | 3.34% | -2.03% | 1.84% | 1.72% | -1.79% | 1.65% | 2.96% | -3.47% | 1.95% | 1.53% | 10.05% |
| 2015 | 1.69% | 5.52% | -4.06% | -2.45% | 4.95% | 0.48% | 2.18% | -3.26% | -5.13% | -1.29% | -1.15% | 0.00% | -3.10% |
| 2014 | -6.69% | 1.13% | -1.73% | 3.64% | 4.24% | 0.67% | -6.47% | 1.10% | -0.21% | 2.56% | 2.15% | 1.38% | 1.08% |
| 2013 | 1.43% | 3.91% | 1.56% | 0.18% | -4.91% | 6.24% | 0.57% | 1.22% | -1.08% | -0.89% | 0.89% | 3.02% | 12.39% |
| 2012 | -1.90% | 5.05% | 2.43% | 2.41% | -2.26% | -0.33% | 3.07% | 1.24% | 1.23% | -1.26% | 4.21% | 2.19% | 16.96% |
| 2011 | 0.30% | 2.29% | -1.69% | -2.46% | 2.64% | -0.89% | -1.50% | -4.35% | 0.05% | 0.00% | -0.94% | 1.21% | -5.41% |
| 2010 | -4.92% | 5.96% | 2.38% | 2.63% | -3.81% | -5.40% | 2.27% | 2.23% | 0.73% | 0.29% | -0.84% | 1.75% | 2.66% |
| 2009 | 0.00% | 0.00% | 0.00% | 0.00% | 1.47% | -2.52% | 1.27% | 2.21% | 0.42% | 7.42% | -2.79% | 5.18% | 12.92% |
| 2008 | -4.70% | 0.00% | 1.75% | 1.62% | 3.59% | 10.46% | -2.12% | 2.41% | -3.15% | 0.00% | 0.00% | 0.00% | 9.47% |
| 2007 | 1.00% | -2.67% | -0.81% | 2.73% | 3.96% | -2.64% | -5.12% | -0.62% | 2.55% | -1.32% | 6.35% | -1.12% | 1.75% |
| 2006 | 4.34% | -0.95% | 1.85% | 0.62% | 2.61% | -3.93% | 6.28% | 1.39% | 0.13% | 2.87% | 3.72% | 1.87% | 22.47% |
| 2005 | -0.56% | -0.35% | 3.79% | -3.53% | 4.40% | -0.35% | 4.58% | 1.16% | -0.10% | 1.85% | 0.59% | 5.86% | 18.31% |
| 2004 | 0.79% | 0.97% | 1.02% | -1.46% | 3.89% | 1.06% | -2.37% | 1.38% | -3.97% | 0.73% | 1.14% | 2.75% | 5.83% |
| 2003 | 0.00% | 0.00% | 0.00% | 0.80% | 2.37% | -2.54% | -2.51% | 0.36% | -0.22% | 2.90% | -0.47% | 1.61% | 2.16% |
| 2002 | -4.05% | 1.55% | -0.52% | -1.23% | -0.21% | 0.33% | 0.00% | 0.00% | 0.00% | 0.89% | 0.20% | 0.00% | -3.10% |
| 2001 | 7.58% | 2.35% | 1.23% | 1.08% | 0.61% | 2.91% | 2.54% | 0.66% | -0.90% | 0.00% | 0.38% | 1.54% | 21.62% |
| 2000 | -1.24% | 3.33% | -1.63% | 0.92% | 2.29% | -3.64% | 0.31% | -3.89% | -1.81% | -1.20% | 1.46% | -5.25% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| -6.92 | -10.50 | -6.92 | -5.51 | 3.86 | 11.01 | 9.84 | 10.72 | 625.67 |