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 summarized 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 |
| 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 |
| 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.
Frequently asked questions
What does Backtest 240 test?
A long only, daily bar systematic strategy on a panel of 178 PEA eligible ETFs and European equities denominated in EUR, from 2 January 2018 to 28 February 2026, starting from 100,000 EUR of capital.
What were the headline results?
A CAGR of 21.4% and a cumulative return of 387.1%, against a maximum drawdown of 15.9%. Sharpe was 1.18, Sortino 1.62 and Calmar 1.34 over 104 trades at a 65.4% win rate.
How does it compare with SPX?
Over the matched tearsheet window from 21 February 2018 to 27 February 2026 the strategy reports a CAGR of 21.35% against 12.62% for SPX, a maximum drawdown of 15.94% against 33.43%, and annualized volatility of 13.95% against 19.52%. The comparison is against a USD index while the strategy is denominated in EUR, so currency effects sit inside the difference.
How does Backtest 240 differ from Backtest 241?
They share the same universe, the same entry and exit rules and the same risk parameters. The difference is the target duration setting, 138 bars here against 119 in Backtest 241. The comparison is useful precisely because only one parameter moves.
Is this a recommendation for a PEA account?
No. It is a historical backtest published for informational and educational purposes only. It is not financial advice, not a recommendation and not a trading signal. Past performance is not indicative of future results.
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