Back testing

Skills


You can find on this page a back testing of our strategy. We selected our threshold so that 1000 transactions were triggered. The higher the selected threshold, the higher the average realized returns and the fewer the transactions. For example: selecting 3 months forecasts which level are higher than 8.21% yields an average return of 12.01% over a 3 months period. It will lead to 1000 transactions.

Download our back testing as a xls file

3 days

Skills


Back testing results:

  • Investment horizon: 3 days
  • Threshold: 2.76%
  • Total transactions: 1000
  • Average realized return: 4.92%
  • Median realized return: 2.52%

1 week

Skills


Back testing results:

  • Investment horizon: 1 week
  • Threshold: 3.48%
  • Total transactions: 1000
  • Average realized return: 5.81%
  • Median realized return: 2.87%

2 weeks

Skills


Back testing results:

  • Investment horizon: 2 weeks
  • Threshold: 4.55%
  • Total transactions: 1000
  • Average realized return: 8.05%
  • Median realized return: 3.30%

1 month

Skills


Back testing results:

  • Investment horizon: 1 month
  • Threshold: 5.02%
  • Total transactions: 1000
  • Average realized return: 8.19%
  • Median realized return: 2.77%

3 months

Skills


Back testing results:

  • Investment horizon: 3 months
  • Threshold: 8.21%
  • Total transactions: 1000
  • Average realized return: 12.01%
  • Median realized return: 1.18%