Raw backtest results
The original set files provided by the seller were used.
The backtest results can only be viewed properly on high resolution screens. Occurring various anomalies (e.g. missing ticks for specific time periods) in the backtest results were analyzed and removed with the Quant Analyzer 4 from StrategyQuant. Based on this analysis all further signal processing and statistical analysis were performed with Matlab from MathWorks.
Click on one of the tabs below to open the corresponding backtest.
|Setfile||Sortino Ratio||Downside Deviation||Independence Factor|
Single setfiles / strategies
The two following figures show the single setfile or strategy results with unchanged performance results (left) and results modified taking into account the risk and independence factor (right). Due to the normalization the final balances in the right curve are irrelevant, what counts is that the balance sheets with higher risk and higher correlation are weighted lower.
Portfolio with all setfiles / strategies
The two following figures show the portfolio balance with unchanged performance results (left) and results modified taking into account the risk and independence factor (right). Due to the normalization the final balance of the right curve is irrelevant, what counts are the slightly smoother curve and the statistics.
Final statistical results of the portfolio
The optimization shows an improvement of the Sortino ratio by about 16%. The other parameters have slightly deteriorated. This is not surprising, because it seems that some strategies show a much better performance regarding these parameters. The weighting of these strategies is now reassessed by applying the downside deviation within the portfolio and adjusted accordingly.
The strategies are still relatively new and must therefore be observed with regard to their live performance and tested again in the foreseeable future.
|Portfolio related factors (on monthly basis)||Unweighted||Weighted||Improvement|
|Sortino ratio||3.3909||3.9416||16.24 %|
|Return/Drawdown ratio||32.639||30.7471||-5.80 %|
|Calmar ratio||0.31999||0.30144||-5.80 %|
Weighted: Downside Deviation and Independence factor