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Test & Results

The underlying logic of the Pathfinfer is that PAST CAN BE A BETTER GUIDE for present if it worked in an efficient way. Otherwise, it is not useful.

On this logic, we try to implement this (very simple) methodology and transform it in market results. The screener is the pattern, and it is used to implement four different automatic strategies: two long only strategies, both with and without leverage, and two long/short strategies, both with and without leverage.

NB: all the following charts, numbers and statistics are EXAMPLES based on the EUROSTOXX50.

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Stats #4
total return 12524.15%
12m AvgRet 25.15%
Num years 24.7
Mon STD 7.58%
Year STD 26.27%
worst month -30.45%
best month 30.00%
neg months 73
pos months 124
flat months 98
ratio pos:neg 1.70
EffRatio 0.96
Max 12m DD -35.03%
Max 12m DUp 143.34%
Stats #3
total return 1713.09%
12m AvgRet 13.10%
Num years 24.7
Mon STD 4.11%
Year STD 14.25%
worst month -15.23%
best month 15.00%
neg months 73
pos months 124
flat months 98
ratio pos:neg 1.70
EffRatio 0.92
Max 12m DD -16.78%
Max 12m DUp 63.21%
Stats #2
total return 4205.25%
12m AvgRet 19.23%
Num years 24.7
Mon STD 6.86%
Year STD 23.76%
worst month -30.45%
best month 30.00%
neg months 52
pos months 95
flat months 148
ratio pos:neg 1.83
EffRatio 0.81
Max 12m DD -35.14%
Max 12m DUp 93.63%
Stats #1
total return 834.94%
12m AvgRet 9.79%
Num years 24.7
Mon STD 3.68%
Year STD 12.75%
worst month -15.23%
best month 15.00%
neg months 52
pos months 95
flat months 148
ratio pos:neg 1.83
EffRatio 0.77
Max 12m DD -17.47%
Max 12m DUp 38.47%
Stats B&H
total return 264.23%
12m AvgRet 6.20%
Num years 24.7
Mon STD 5.30%
Year STD 18.36%
worst month -18.64%
best month 14.69%
neg months 128
pos months 167
flat months 0
ratio pos:neg 1.30
EffRatio 0.34
Max 12m DD -46.94%
Max 12m DUp 68.13%
B&H vs Strat
B&H #1 #2 #3 #4
total return 264.23% 834.94% 4205.25% 1713.09% 12524.15%
12m AvgRet 6.20% 9.79% 19.23% 13.10% 25.15%
Num years 24.7 24.7 24.7 24.7 24.7
Mon STD 5.30% 3.68% 6.86% 4.11% 7.58%
Year STD 18.36% 12.75% 23.76% 14.25% 26.27%
worst month -18.64% -15.23% -30.45% -15.23% -30.45%
best month 14.69% 15.00% 30.00% 15.00% 30.00%
neg months 128 52 52 73 73
pos months 167 95 95 124 124
flat months 0 148 148 98 98
ratio pos:neg 1.30 1.83 1.83 1.70 1.70
EffRatio 0.34 0.77 0.81 0.92 0.96
Max 12m DD -46.94% -17.47% -35.14% -16.78% -35.03%
Max 12m DUp 68.13% 38.47% 93.63% 63.21% 143.34%
Image
Stats #4
total return 12524.15%
12m AvgRet 25.15%
Num years 24.7
Mon STD 7.58%
Year STD 26.27%
worst month -30.45%
best month 30.00%
neg months 73
pos months 124
flat months 98
ratio pos:neg 1.70
EffRatio 0.96
Max 12m DD -35.03%
Max 12m DUp 143.34%
Stats #3
total return 1713.09%
12m AvgRet 13.10%
Num years 24.7
Mon STD 4.11%
Year STD 14.25%
worst month -15.23%
best month 15.00%
neg months 73
pos months 124
flat months 98
ratio pos:neg 1.70
EffRatio 0.92
Max 12m DD -16.78%
Max 12m DUp 63.21%
Stats #2
total return 4205.25%
12m AvgRet 19.23%
Num years 24.7
Mon STD 6.86%
Year STD 23.76%
worst month -30.45%
best month 30.00%
neg months 52
pos months 95
flat months 148
ratio pos:neg 1.83
EffRatio 0.81
Max 12m DD -35.14%
Max 12m DUp 93.63%
Stats #1
total return 834.94%
12m AvgRet 9.79%
Num years 24.7
Mon STD 3.68%
Year STD 12.75%
worst month -15.23%
best month 15.00%
neg months 52
pos months 95
flat months 148
ratio pos:neg 1.83
EffRatio 0.77
Max 12m DD -17.47%
Max 12m DUp 38.47%
Stats B&H
total return 264.23%
12m AvgRet 6.20%
Num years 24.7
Mon STD 5.30%
Year STD 18.36%
worst month -18.64%
best month 14.69%
neg months 128
pos months 167
flat months 0
ratio pos:neg 1.30
EffRatio 0.34
Max 12m DD -46.94%
Max 12m DUp 68.13%

Comparing Buy&Hold Strategy with the four automatic strategies.

B&H #1 #2 #3 #4
total return 264.23% 834.94% 4205.25% 1713.09% 12524.15%
12m AvgRet 6.20% 9.79% 19.23% 13.10% 25.15%
Num years 24.7 24.7 24.7 24.7 24.7
Mon STD 5.30% 3.68% 6.86% 4.11% 7.58%
Year STD 18.36% 12.75% 23.76% 14.25% 26.27%
worst month -18.64% -15.23% -30.45% -15.23% -30.45%
best month 14.69% 15.00% 30.00% 15.00% 30.00%
neg months 128 52 52 73 73
pos months 167 95 95 124 124
flat months 0 148 148 98 98
ratio pos:neg 1.30 1.83 1.83 1.70 1.70
EffRatio 0.34 0.77 0.81 0.92 0.96
Max 12m DD -46.94% -17.47% -35.14% -16.78% -35.03%
Max 12m DUp 68.13% 38.47% 93.63% 63.21% 143.34%
Strategy #1 | Long Only - Leverage: NO
Strategy #1 | Long Only - Leverage: NO

This strategy is defined as buying a fixed amount (100%) of the underlying at the open on 1st day of each month that has a positive (> 0) screener value and selling the full position at the close of the same month

  • Target: Long-only Investor/Asset Manager
  • Total Exposure: 50%
Strategy #1

Long Only - Leverage: NO

This strategy is defined as buying a fixed amount (100%) of the underlying at the open on 1st day of each month that has a positive (> 0) screener value and selling the full position at the close of the same month

  • Target: Long-only Investor/Asset Manager
  • Total Exposure: 50%

Statistics of Buy&Hold Strategy vs Strategy #1

B&H #1
total return 264.23% 834.94%
12m AvgRet 6.20% 9.79%
Num years 24.7 24.7
Mon STD 5.30% 3.68%
Year STD 18.36% 12.75%
worst month -18.64% -15.23%
best month 14.69% 15.00%
neg months 128 52
pos months 167 95
flat months 0 148
ratio pos/neg 1.30 1.83
EffRatio 0.34 0.77
Max 12m DD -46.94% -17.47%
Max 12m DUp 68.13% 38.47%
Strategy #2 | Long Only - Leverage: YES
Strategy #2 | Long Only - Leverage: YES

This strategy is defined as:

  • buying a fixed amount (100%) of the underlying at the open on 1st day of each month that has a screener value of +1
  • otherwise buying a 2x leverage amount (200%) of the underlying at the open on 1st day of each month that has a screener value of +2
  • selling the full position at the close of the same month
  • Target: Active Asset Manager
  • Total Exposure: 92%
Strategy #2

Long Only - Leverage: YES

This strategy is defined as:

  • buying a fixed amount (100%) of the underlying at the open on 1st day of each month that has a screener value of +1
  • otherwise buying a 2x leverage amount (200%) of the underlying at the open on 1st day of each month that has a screener value of +2
  • selling the full position at the close of the same month
  • Target: Active Asset Manager
  • Total Exposure: 92%

Statistics of Buy&Hold Strategy vs Strategy #2

B&H #2
total return 264.23% 4205.25%
12m AvgRet 6.20% 19.23%
Num years 24.7 24.7
Mon STD 5.30% 6.86%
Year STD 18.36% 23.76%
worst month -18.64% -30.45%
best month 14.69% 30.00%
neg months 128 52
pos months 167 95
flat months 0 148
ratio pos/neg 1.30 1.83
EffRatio 0.34 0.81
Max 12m DD -46.94% -35.14%
Max 12m DUp 68.13% 93.63%
Strategy #3 | Long/Short - Leverage: NO
Strategy #3 | Long/Short - Leverage: NO

This strategy is defined as buying/selling short a fixed amount (100%) of the underlying at the open on 1st day of each month that has a positive/negative (> 0 or < 0) screener value and closing the full position at the close of the same month

  • Target: Active Asset Manager
  • Total Exposure: 66%
Strategy #3

Long/Short - Leverage: NO

This strategy is defined as buying/selling short a fixed amount (100%) of the underlying at the open on 1st day of each month that has a positive/negative (> 0 or < 0) screener value and closing the full position at the close of the same month

  • Target: Active Asset Manager
  • Total Exposure: 66%

Statistics of Buy&Hold Strategy vs Strategy #3

B&H #3
total return 264.23% 1713.09%
12m AvgRet 6.20% 13.10%
Num years 24.7 24.7
Mon STD 5.30% 4.11%
Year STD 18.36% 14.25%
worst month -18.64% -15.23%
best month 14.69% 15.00%
neg months 128 73
pos months 167 124
flat months 0 98
ratio pos/neg 1.30 1.70
EffRatio 0.34 0.92
Max 12m DD -46.94% -16.78%
Max 12m DUp 68.13% 63.21%
Strategy #4 | Long/Short - Leverage: YES
Strategy #4 | Long/Short - Leverage: YES

This strategy is defined as:

  • buying/selling a fixed amount (100%) of the underlying at the open on 1st day of each month that has a screener value of +1
  • otherwise buying/selling short a 2x leverage amount (200%) of the underlying at the open on 1st day of each month that has a screener value of +2
  • selling the full position at the close of the same month
  • Target: CTA Manager
  • Total Exposure: 117%
Strategy #4

Long/Short - Leverage: YES

This strategy is defined as:

  • buying/selling a fixed amount (100%) of the underlying at the open on 1st day of each month that has a screener value of +1
  • otherwise buying/selling short a 2x leverage amount (200%) of the underlying at the open on 1st day of each month that has a screener value of +2
  • selling the full position at the close of the same month
  • Target: CTA Manager
  • Total Exposure: 117%

Statistics of Buy&Hold Strategy vs Strategy #4

B&H #4
total return 264.23% 12524.15%
12m AvgRet 6.20% 25.15%
Num years 24.7 24.7
Mon STD 5.30% 7.58%
Year STD 18.36% 26.27%
worst month -18.64% -30.45%
best month 14.69% 30.00%
neg months 128 73
pos months 167 124
flat months 0 98
ratio pos/neg 1.30 1.70
EffRatio 0.34 0.96
Max 12m DD -46.94% -35.03%
Max 12m DUp 68.13% 143.34%
Test & Results ultima modifica: 2019-09-17T13:03:35+00:00 da Chiara