This backtest evaluates a long-only, daily-bar systematic strategy on a panel of PEA-eligible ETFs and European equities (EUR-denominated). The input parameters and result metrics are summarised in the tables below; the charts follow.
This is a historical backtest, published for informational and educational purposes only — not financial advice, not a recommendation, and not a trading signal. Past performance is not indicative of future results.
Input Parameters
| Parameter | Value |
|---|---|
| strategy_buy | (ichimoku4a+bband1a+cho1a)&macd0b |
| strategy_sell | ichimoku3a&macd0a |
| leverage | 1.0 |
| interest_rate_annual_pct | 7.0 |
| date_start_simulation | 2018-01-02 00:00:00+00:00 |
| date_start | 2016-12-20 00:00:00+00:00 |
| date_end | 2026-02-28 00:00:00+00:00 |
| base_currency | EUR |
| initial_cash | 100000.0 |
| position_target_w | 0.14 |
| position_target_hard_limit | 10000000.0 |
| bar_size | 1 day |
| nbar_back_for_stop | 0 |
| trailing_stop | 22.0 |
| stop_limit | False |
| nbar_freeze | 2 |
| enable_freeze_global | False |
| position_max_w | 0.21000000000000002 |
| max_entry_per_bar | 10 |
| min_value_traded | 0.0 |
| skip_zero_volume | False |
| min_price_threshold | 0.0 |
| exposure_penalty_trigger_pct | 15.0 |
| stability_penalty_trigger | 0.5 |
| max_workers_outer | 8 |
| max_workers_inner | 8 |
| no_sell_all | False |
| target_price | None |
| target_duration | 138 |
| target_trend | -6.0 |
| nb_symbol | 178 |
Results Summary
| Metric | Value |
|---|---|
| equity_final | 487098.0423 |
| cagr_pct | 21.4248 |
| return | 387.0980 |
| max_drawdown_pct | 15.9371 |
| ulcer_index_pct | 1.2747 |
| net_exposure_pct | 62.8837 |
| sharpe_ratio | 1.1754 |
| sortino_ratio | 1.6193 |
| calmar_ratio | 1.3448 |
| benchmark_cagr | 5.0000 |
| stability | 0.9834 |
| k_ratio | 352.9154 |
| composite_objective | 3.6563 |
| trades | 104 |
| win_rate | 0.6538 |
| risk_reward_ratio | 2.7403 |
| kelly_pct | 52.7526 |
| return_mean | 13.1546 |
| return_min | -19.7408 |
| return_q0.01 | -19.5321 |
| return_q0.05 | -15.9630 |
| return_q0.2 | -6.7885 |
| return_q0.5 | 10.4177 |
| return_q0.8 | 30.9648 |
| return_q0.95 | 54.0588 |
| return_q0.99 | 74.4366 |
| return_max | 77.1932 |
| yearly_sortino | 2.4471 |
| yearly_downside_semidev | 0.1219 |
Out-of-sample cutoff. This strategy’s rules and parameters were frozen on 3 July 2025. All performance shown after that date is genuine out-of-sample / forward-tracked data — it post-dates the freeze, so no hindsight or selection could have shaped the rules.
Categories: backtest
0 Comments