Strategy
Builds on top of the simple 200 day moving average concept, but uses a short window to determine whether there is positive momentum in the market. The optimized short window was a 20 day simple moving average.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.08 | | Annual Volatility | 0.12 | | Sharp Ratio | 0.66 | | Max Drawdown | -0.17 | | Alpha | 0.08 | | Beta | 0.35 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.1728 | 04-29-2011 | 08-10-2011 | 02/08/2013 | 466 | | 2 | -0.1433 | 05-21-2015 | 06-27-2016 | Not Recovered | Not Recovered | | 3 | -0.1328 | 04-23-2010 | 06-07-2010 | 01/14/2011 | 191 | | 4 | -0.1236 | 10-09-2007 | 07-10-2009 | 08/04/2009 | 476 | | 5 | -0.0764 | 09-18-2014 | 10-16-2014 | 10/31/2014 | 32 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Stress Events| Stress Events | Mean | Min | Max |
|---|
| Lehmann | 0 | 0 | 0 |
| US downgrade/European Debt Crisis | -0.002 | -0.064 | 0.046 |
| Fukushima | 0.001 | -0.019 | 0.015 |
| EZB IR Event | 0 | -0.01 | 0.016 |
| August 2007 | 0.001 | -0.027 | 0.024 |
| March 2008 | 0 | 0 | 0 |
| September 2008 | 0 | 0 | 0 |
| 2009Q1 | 0 | 0 | 0 |
| 2009Q2 | 0 | 0 | 0 |
| Flash Crash | -0.003 | -0.034 | 0.043 |
| April 2014 | 0.001 | -0.021 | 0.011 |
| October 2014 | 0.001 | -0.02 | 0.019 |
| Fall 2015 | -0.002 | -0.041 | 0.039 |
| Low Volatility Bull Market | 0 | -0.036 | 0.019 |
| GFC Crash | 0 | -0.03 | 0.029 |
| Recovery | 0 | -0.064 | 0.046 |
| New Normal | 0 | -0.041 | 0.039 |
/* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */
