Voici une stratégie basée sur une liste de 77 ETFs parmi ceux disponibles pour ceux qui ont une assurance vie Linxea Spirit2.
Ceci est un backtest historique, publié à des fins d’information et d’éducation uniquement — il ne s’agit pas d’un conseil en investissement, ni d’une recommandation, ni d’un signal de trading. Les performances passées ne préjugent pas des résultats futurs.
Input Parameters
| Parameter | Value |
|---|---|
| strategy_buy | ichimoku4a |
| strategy_sell | ichimoku6a |
| 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 | 0.2 |
| position_target_hard_limit | 10000000.0 |
| bar_size | 1 day |
| nbar_back_for_stop | 0 |
| trailing_stop | 0.0 |
| stop_limit | False |
| nbar_freeze | 15 |
| enable_freeze_global | False |
| position_max_w | 0.30000000000000004 |
| max_entry_per_bar | 10 |
| min_value_traded | 0.0 |
| skip_zero_volume | False |
| min_price_threshold | 0.0 |
| exposure_penalty_trigger_pct | 5.0 |
| stability_penalty_trigger | 0.3 |
| max_workers_outer | 8 |
| max_workers_inner | 8 |
| no_sell_all | False |
| nb_symbol | 77 |
Results Summary
| Metric | Value |
|---|---|
| equity_final | 380955.8538 |
| cagr_pct | 17.8203 |
| return | 280.9559 |
| max_drawdown_pct | 13.0665 |
| ulcer_index_pct | 1.3278 |
| net_exposure_pct | 73.3741 |
| sharpe_ratio | 0.8024 |
| sortino_ratio | 1.0754 |
| calmar_ratio | 1.3643 |
| benchmark_cagr | 5.0000 |
| stability | 0.9705 |
| k_ratio | 262.3813 |
| composite_objective | 3.2230 |
| trades | 51 |
| win_rate | 0.7255 |
| risk_reward_ratio | 5.1351 |
| kelly_pct | 67.2033 |
| return_mean | 19.1644 |
| return_min | -14.8713 |
| return_q0.01 | -13.7139 |
| return_q0.05 | -11.1497 |
| return_q0.2 | -0.9044 |
| return_q0.5 | 6.6978 |
| return_q0.8 | 38.7230 |
| return_q0.95 | 73.1495 |
| return_q0.99 | 139.1080 |
| return_max | 179.0130 |
Key Performance Metrics
| Metric | SPX | Strategy |
|---|---|---|
| Risk-Free Rate | 5.0% | 5.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 167.44% | 278.93% |
| CAGR﹪ | 12.74% | 17.63% |
| Sharpe | 0.46 | 0.79 |
| Prob. Sharpe Ratio | 40.84% | 80.58% |
| Smart Sharpe | 0.44 | 0.76 |
| Sortino | 0.64 | 1.11 |
| Smart Sortino | 0.61 | 1.07 |
| Sortino/√2 | 0.45 | 0.79 |
| Smart Sortino/√2 | 0.43 | 0.75 |
| Omega | 1.09 | 1.15 |
| Max Drawdown | -33.43% | -13.07% |
| Max DD Date | 2020-03-23 | 2024-08-05 |
| Max DD Period Start | 2020-02-20 | 2024-05-21 |
| Max DD Period End | 2021-01-12 | 2024-09-25 |
| Longest DD Days | 475 | 422 |
| Volatility (ann.) | 19.54% | 15.93% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.38 | 1.35 |
| Skew | -0.41 | -0.38 |
| Kurtosis | 16.0 | 2.13 |
| Ulcer Performance Index | 22.61 | 71.77 |
| Risk-Adjusted Return | 13.0% | 17.63% |
| Risk-Return Ratio | 0.04 | 0.07 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.84% | 0.83% |
| Avg. Loss | -1.0% | -0.86% |
| Win/Loss Ratio | 0.84 | 0.96 |
| Profit Ratio | 0.67 | 0.77 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.02% | 1.38% |
| Expected Yearly | 11.55% | 15.95% |
| Kelly Criterion | 2.29% | 9.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.58% |
| Expected Shortfall (cVaR) | -3.18% | -2.33% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.15 | 0.21 |
| Gain/Pain (1M) | 1.0 | 1.9 |
| Payoff Ratio | 0.84 | 0.96 |
| Profit Factor | 1.15 | 1.21 |
| Common Sense Ratio | 1.05 | 1.08 |
| CPC Index | 0.53 | 0.65 |
| Tail Ratio | 0.91 | 0.9 |
| Outlier Win Ratio | 3.47 | 3.48 |
| Outlier Loss Ratio | 4.02 | 3.72 |
| MTD | -0.53% | 0.39% |
| 3M | -0.88% | 2.13% |
| 6M | 4.86% | 8.57% |
| YTD | -0.11% | 1.34% |
| 1Y | 2.49% | 11.67% |
| 3Y (ann.) | 16.6% | 18.41% |
| 5Y (ann.) | 11.52% | 15.24% |
| 10Y (ann.) | 12.74% | 17.63% |
| All-time (ann.) | 12.74% | 17.63% |
| Best Day | 10.02% | 5.31% |
| Worst Day | -12.56% | -5.0% |
| Best Month | 13.53% | 18.83% |
| Worst Month | -12.6% | -7.78% |
| Best Year | 36.18% | 35.42% |
| Worst Year | -14.32% | -4.03% |
| Avg. Drawdown | -2.44% | -2.24% |
| Avg. Drawdown Days | 24 | 18 |
| Recovery Factor | 3.41 | 11.0 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | 1.07 | 4.14 |
| Avg. Up Month | 3.81% | 3.69% |
| Avg. Down Month | -4.57% | -2.93% |
| Win Days | 55.4% | 55.43% |
| Win Month | 64.95% | 70.1% |
| Win Quarter | 72.73% | 78.79% |
| Win Year | 77.78% | 77.78% |
| Beta | – | 0.32 |
| Alpha | – | 0.13 |
| Correlation | – | 39.05% |
| Treynor Ratio | – | 860.25% |
EOY Returns vs Benchmark
| Year | SPX | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 0.49 | -4.03 | -8.28 | – |
| 2019 | 31.62 | 33.14 | 1.05 | + |
| 2020 | 6.76 | 29.30 | 4.34 | + |
| 2021 | 36.18 | 35.42 | 0.98 | – |
| 2022 | -14.32 | -2.16 | 0.15 | + |
| 2023 | 20.42 | 26.10 | 1.28 | + |
| 2024 | 31.43 | 15.55 | 0.49 | – |
| 2025 | 2.68 | 17.24 | 6.43 | + |
| 2026 | -0.11 | 1.34 | -11.72 | + |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-21 | 2024-09-25 | -13.07 | 128 |
| 2021-11-17 | 2023-01-12 | -12.80 | 422 |
| 2020-10-14 | 2020-11-06 | -12.32 | 24 |
| 2018-10-04 | 2019-03-12 | -11.95 | 160 |
| 2025-02-19 | 2025-06-03 | -9.50 | 105 |
| 2019-07-29 | 2019-09-19 | -9.09 | 53 |
| 2021-06-18 | 2021-08-05 | -9.08 | 49 |
| 2020-02-20 | 2020-05-08 | -8.55 | 79 |
| 2019-04-30 | 2019-06-28 | -8.38 | 60 |
| 2020-09-03 | 2020-10-12 | -8.36 | 40 |
Données hors échantillon. Les règles et paramètres de cette stratégie ont été figés le 3 juillet 2025. Toute performance postérieure à cette date est strictement hors échantillon (suivie en conditions réelles) : étant postérieure au gel des paramètres, elle n’a pu être influencée par aucun biais de sélection a posteriori.
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