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 | 119 |
| target_trend | -6.0 |
| nb_symbol | 178 |
Results Summary
| Metric | Value |
|---|---|
| equity_final | 444430.4855 |
| cagr_pct | 20.0677 |
| return | 344.4305 |
| max_drawdown_pct | 14.8747 |
| ulcer_index_pct | 1.2675 |
| net_exposure_pct | 58.4751 |
| sharpe_ratio | 1.1652 |
| sortino_ratio | 1.6302 |
| calmar_ratio | 1.3496 |
| benchmark_cagr | 5.0000 |
| trades | 110 |
| win_rate | 0.6364 |
| risk_reward_ratio | 2.5723 |
| kelly_pct | 49.4995 |
| return_mean | 10.9220 |
| return_min | -21.1368 |
| return_q0.01 | -19.7237 |
| return_q0.05 | -15.4639 |
| return_q0.2 | -7.8030 |
| return_q0.5 | 7.3490 |
| return_q0.8 | 29.3950 |
| return_q0.95 | 49.8459 |
| return_q0.99 | 59.7597 |
| return_max | 60.8617 |
| yearly_sortino | 2.5819 |
| yearly_downside_semidev | 0.1195 |
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 241 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 20.1% and a cumulative return of 344.4%, against a maximum drawdown of 14.9%. Sharpe was 1.17, Sortino 1.63 and Calmar 1.35 over 110 trades at a 63.6% win rate.
How did the strategy compare with its benchmark?
The charts plot the strategy against the benchmark on both a raw and a volatility matched basis. On a raw basis the strategy ends near 345% against roughly 165% for the benchmark, and the volatility matched comparison widens the gap, which indicates the excess return is not simply the result of running hotter.
How much of the time is the book invested?
Net exposure averages 58.5%, so a meaningful share of capital sits in cash. Idle cash is charged 7% annual interest in the simulation and leverage is fixed at 1.0.
What controls the downside?
A 22% trailing stop, a target position weight of 14% with a 21% hard cap, a maximum of 10 new entries per bar and a 2 bar freeze after each exit. The worst five drawdown periods and the underwater plot are shown in the charts.
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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