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Weekly Signals Performance

Details of performance calculations:

  • Equal allocation to all strategies.
  • The start of the backtest is on January 3, 2007, except for long-short.
  • The start of the backtest for long-short is on July 1, 2016.
  • Commission: $0.01/share for all strategies except for long-short ($0.005/share).
  • All trades are placed at the open of the next weekly bar.
  • There is no use of leverage.

Last update: June 3, 2022

Five strategies (excluding long-short)

Equity Performance

Yearly Return (%)

Drawdown Profile 

Comparison of average performance of the five strategies excluding long-short to SPY ETF performance.

Strategy Buy and hold
Annualized return 8% 9.3%
Maximum Drawdown -8.3% -55.2%
Volatility 7.7% 20.3%
Sharpe ratio 1.05 0.46
MAR ratio (CAGR/MDD) 0.97 0.17

The main benefit of using an ensemble of strategies is the low volatility of the equity curve. Leveraged alpha is possible while maintaining a low maximum drawdown. Note that the Sharpe ratio stays nearly constant under leverage.

Six strategies (including long-short after July 1, 2016)

Equity Performance

Yearly Return (%) of Long-Short Strategy

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