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)
Yearly Return (%)
Comparison of average performance of the five strategies excluding long-short to SPY ETF performance.
|Strategy||Buy and hold|
|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)
Yearly Return (%) of Long-Short Strategy
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