In moving forward with my goal to fully automate my portfolio, I’ve ran a backtest for my TFSA algorithm which encompasses an asset allocation rotation strategy and a short volatility strategy. The results are quite decent and seems to be able to weather large corrections well. One thing to note is that the algo really starts to pick up steam when XIV is introduced for trading in 2011. I’m currently running this algorithm in paper trading just to check the logs and ensure that all signals are being calculated correctly. If all goes well, I’m hoping to have this thing deployed by the end of this week so that I can use the time to pursue other topics.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.14 | | Annual Volatility | 0.12 | | Sharp Ratio | 1.17 | | Max Drawdown | -0.14 | | Alpha | 0.13 | | Beta | 0.21 | /* 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 | -0.1438 | 06-22-2015 | 01-06-2016 | 2016-04-18 | 215 | | 2 | -0.1082 | 05-30-2011 | 11-08-2011 | 2012-01-18 | 167 | | 3 | -0.1032 | 04-11-2013 | 06-19-2013 | 2013-07-26 | 76 | | 4 | -0.0861 | 03-25-2012 | 05-17-2012 | 2012-07-02 | 71 | | 5 | -0.0838 | 02-13-2011 | 03-15-2011 | 2011-04-25 | 51 | /* 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 | -0.01 | 0.01 |
| US downgrade/European Debt Crisis | 0 | -0.03 | 0.02 |
| Fukushima | 0 | -0.02 | 0.01 |
| EZB IR Event | 0 | -0.03 | 0.03 |
| August 2007 | 0 | -0.01 | 0.01 |
| March 2008 | 0 | 0 | 0.01 |
| September 2008 | 0 | -0.01 | 0.01 |
| 2009Q1 | 0 | -0.01 | 0.01 |
| 2009Q2 | 0 | 0 | 0 |
| Flash Crash | 0 | -0.01 | 0.01 |
| April 2014 | 0 | -0.02 | 0.01 |
| October 2014 | 0 | -0.03 | 0.02 |
| Fall 2015 | 0 | -0.02 | 0.01 |
| Low Volatility Bull Market | 0 | -0.01 | 0.01 |
| GFC Crash | 0 | -0.01 | 0.02 |
| Recovery | 0 | -0.03 | 0.03 |
| New Normal | 0 | -0.06 | 0.03 |
/* 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 { ... } */
