Missão:

Compartilhar conhecimentos sobre a filosofia Trend Following de investimentos, mostrando que seguir as tendências de preços é a mais segura e tranquila forma de investir em ações e commodities.


ANÁLISE SEMANAL TFB - SEGUINDO TENDÊNCIAS NA BM&F BOVESPA (06/05/2018)

domingo, 6 de maio de 2018



















https://youtu.be/HVsJJaLA2sQ




Seguem abaixo os Backtestes Portofolio feitos na análise semanal (10 anos)  com portfolio de 18 ativos que comentamos nas análises semanais e, logo após, o backteste  portfolio com 74 ativos que podemos operar pelo método.


Primeiro Backteste Portofolio Mostrado:

Capital inicial:  100.000
Manejo de Risco por Blocos:  20% de alocação em cada operação
Custos:  20 por trade

Initial Equity:100000Periodicity/Positions:Weekly/Long
Commissions:20.00 per tradeAnnual interest rate:0.00%
Range:01/01/2008 - 31/12/2018Apply to:Filter

Ativos testados neste Portfolio backteste :
ABEV3
CGAS5
EQTL3
ESTC3
EZTC3
GRND3
HGTX3
IGTA3
KROT3
MAGG3
MDIA3
MGLU3
PETR4
RADL3
SBSP3
VALE3
VLID3
WEGE3

All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 1395972.61 1395972.61 100000.00
Net Profit 1295972.61 1295972.61 0.00
Net Profit % 1295.97% 1295.97% 0.00%
Exposure % 70.91% 70.91% 0.00%
Net Risk Adjusted Return % 1827.63% 1827.63% N/A
Annual Return % 29.11% 29.11% 0.00%
Risk Adjusted Return % 41.05% 41.05% N/A
Total transaction costs 2840.00 2840.00 0.00

All trades 71 71 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 18253.14 18253.14 N/A
 Avg. Profit/Loss % 24.58% 24.58% N/A
 Avg. Bars Held 27.69 27.69 N/A

Winners 52 (73.24 %) 52 (73.24 %) 0 (0.00 %)
 Total Profit 1482768.98 1482768.98 0.00
 Avg. Profit 28514.79 28514.79 N/A
 Avg. Profit % 36.37% 36.37% N/A
 Avg. Bars Held 34.29 34.29 N/A
 Max. Consecutive 9 9 0
 Largest win 277958.00 277958.00 0.00
 # bars in largest win 28 28 0

Losers 19 (26.76 %) 19 (26.76 %) 0 (0.00 %)
 Total Loss -186796.37 -186796.37 0.00
 Avg. Loss -9831.39 -9831.39 N/A
 Avg. Loss % -7.71% -7.71% N/A
 Avg. Bars Held 9.63 9.63 N/A
 Max. Consecutive 3 3 0
 Largest loss -33447.87 -33447.87 0.00
# bars in largest loss 10 10 0

Max. trade drawdown -142818.75 -142818.75 0.00
Max. trade % drawdown -23.07 -23.07 0.00
Max. system drawdown -187152.12 -187152.12 0.00
Max. system % drawdown -15.09% -15.09% 0.00%
Recovery Factor 6.92 6.92 N/A
CAR/MaxDD 1.93 1.93 N/A
RAR/MaxDD 2.72 2.72 N/A
Profit Factor 7.94 7.94 N/A
Payoff Ratio 2.90 2.90 N/A
Standard Error 123097.82 123097.82 0.00
Risk-Reward Ratio 0.89 0.89 N/A
Ulcer Index 5.79 5.79 0.00
Ulcer Performance Index 4.09 4.09 N/A
Sharpe Ratio of trades 0.64 0.64 0.00
K-Ratio 0.11 0.11 N/A

1. Portfolio Equity

2. Underwater Equity



3. Profit Table

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Yr%
2008 0.0% -0.0% 1.8% 3.4% 4.7% -7.8% 0.0% 0.0% 0.0% 0.0% 0.0% -0.0% 1.4%
2009 -1.5% 1.7% 4.2% 20.5% 14.9% 7.2% 17.3% 11.2% 7.2% 1.3% 11.8% 6.7% 161.9%
2010 -7.7% 1.2% 2.2% -1.0% -2.5% 1.1% 4.0% 4.0% 8.1% 3.5% 5.1% 3.9% 23.1%
2011 -4.1% 0.7% 5.3% 5.1% 4.0% -0.4% -4.7% -1.5% -2.1% 2.1% 1.2% 2.5% 7.6%
2012 4.8% 9.8% 5.4% 4.9% -6.0% 5.7% 6.5% 3.6% 1.9% 3.7% 0.0% 3.8% 52.9%
2013 3.2% -2.5% -3.6% 3.0% 1.4% -5.7% -0.1% -1.1% 5.7% 2.8% 2.3% -4.4% 0.3%
2014 -1.7% -1.6% 0.4% 3.1% -0.1% 7.6% -1.0% 5.0% -2.8% 2.9% 1.3% -1.7% 11.5%
2015 -0.4% 3.9% 4.8% 4.3% 2.4% 11.4% -1.2% -8.9% 2.6% -2.9% -4.1% 0.4% 11.4%
2016 -1.4% 2.9% 3.6% 6.9% 5.8% 4.3% 11.4% -4.0% -1.6% 2.1% -8.6% 1.3% 23.3%
2017 5.2% 13.3% 0.3% 3.7% 0.2% 0.8% 14.9% 17.9% 5.2% -6.2% -0.9% 5.6% 75.1%
2018 0.4% 0.6% -3.0% -1.5% N/A N/A N/A N/A N/A N/A N/A N/A -3.4%
Avg -0.3% 2.7% 1.9% 4.8% 2.5% 2.4% 4.7% 2.6% 2.4% 0.9% 0.8% 1.8%




_________________________________________________________________________________

Segundo Backteste Portfolio Mostrado:

Capital inicial:  100.000
Manejo de Risco por Blocos:  20% de alocação em cada operação
Custos:  20 por trade

Initial Equity:
100000
Periodicity/Positions:
Weekly/Long
Commissions:
20.00 per trade
Annual interest rate:
0.00%
Range:
01/01/2008 - 31/12/2018
Apply to:
Filter


Ativos testados neste Portfolio backteste :
GOAU4
GRND3
GUAR3
HBOR3
HGTX3
HYPE3
IBOV
IDNT3
IGTA3
JHSF3
KEPL3
KLBN4
KROT3
LAME4
LEVE3
LLIS3
MAGG3
MDIA3
MGLU3
MPLU3
MRFG3
MYPK3
NATU3
ODPV3
PDGR3
PETR4
PFRM3
PINE4
PMAM3
POMO4
POSI3
PSSA3
PTBL3
RADL3
RAPT4
SBSP3
SCAR3
SLED4
SULA11
SUZB3
TIET11
TOTS3
UGPA3
USIM5
VALE3
VLID3
WEGE3
WHRL4

All tradesLong tradesShort trades
Initial capital100000.00100000.00100000.00
Ending capital1293930.561293930.56100000.00
Net Profit1193930.561193930.560.00
Net Profit %1193.93%1193.93%0.00%
Exposure %84.80%84.80%0.00%
Net Risk Adjusted Return %1407.91%1407.91%N/A
Annual Return %28.16%28.16%0.00%
Risk Adjusted Return %33.21%33.21%N/A
Total transaction costs4800.004800.000.00

All trades120120 (100.00 %)0 (0.00 %)
 Avg. Profit/Loss9949.429949.42N/A
 Avg. Profit/Loss %13.81%13.81%N/A
 Avg. Bars Held20.3720.37N/A

Winners66 (55.00 %)66 (55.00 %)0 (0.00 %)
 Total Profit1690132.471690132.470.00
 Avg. Profit25608.0725608.07N/A
 Avg. Profit %31.49%31.49%N/A
 Avg. Bars Held29.0529.05N/A
 Max. Consecutive770
 Largest win233528.00233528.000.00
 # bars in largest win46460

Losers54 (45.00 %)54 (45.00 %)0 (0.00 %)
 Total Loss-496201.91-496201.910.00
 Avg. Loss-9188.92-9188.92N/A
 Avg. Loss %-7.81%-7.81%N/A
 Avg. Bars Held9.769.76N/A
 Max. Consecutive770
 Largest loss-68213.05-68213.050.00
# bars in largest loss330

Max. trade drawdown-91417.50-91417.500.00
Max. trade % drawdown-46.26-46.260.00
Max. system drawdown-172994.53-172994.530.00
Max. system % drawdown-25.58%-25.58%0.00%
Recovery Factor6.906.90N/A
CAR/MaxDD1.101.10N/A
RAR/MaxDD1.301.30N/A
Profit Factor3.413.41N/A
Payoff Ratio2.792.79N/A
Standard Error66992.0566992.050.00
Risk-Reward Ratio1.451.45N/A
Ulcer Index8.678.670.00
Ulcer Performance Index2.632.63N/A
Sharpe Ratio of trades0.550.550.00
K-Ratio0.190.19N/A

1. Portfolio Equity

2. Underwater Equity



3. Profit Table
YearJanFebMarAprMayJunJulAugSepOctNovDecYr%
2008-0.0%2.2%3.9%10.7%12.0%-17.1%0.0%-2.5%-0.0%-0.9%1.9%-0.1%7.2%
2009-1.0%3.3%11.0%14.3%10.4%2.6%14.4%8.8%6.6%9.7%8.0%8.6%150.9%
2010-9.5%-1.3%6.5%-3.7%-0.5%6.6%7.0%0.5%6.5%9.4%1.3%2.4%26.1%
2011-7.5%2.0%8.0%2.4%4.0%4.0%-4.0%-2.9%-6.4%7.6%4.1%-1.3%9.0%
20123.3%4.5%3.0%-0.5%-4.4%0.7%7.0%-5.4%6.8%9.7%-2.7%-0.3%22.5%
20130.7%-0.6%-1.8%9.1%-4.8%-5.5%-0.3%7.1%7.3%7.6%-2.3%-0.0%16.1%
20145.9%-4.2%9.6%-3.2%-3.4%4.3%5.4%10.9%-9.9%5.1%0.4%-3.4%16.4%
2015-3.9%0.2%4.9%-1.2%4.1%10.2%-5.6%-3.6%6.1%3.0%7.3%1.2%23.7%
2016-8.0%5.5%1.9%3.2%3.3%5.9%12.1%-0.6%-4.1%7.5%1.4%-9.3%18.1%
201716.5%1.1%-6.0%-1.1%-5.2%-1.2%2.6%6.6%4.8%2.8%-5.7%3.3%17.6%
20183.0%3.9%-1.9%17.2%N/AN/AN/AN/AN/AN/AN/AN/A23.0%
Avg-0.0%1.5%3.6%4.3%1.5%1.0%3.9%1.9%1.8%6.1%1.4%0.1%




 
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