Equity Quant > Performance
HYPOTHETICAL RATES OF RETURN (ROR) FROM STRATEGY BACK TESTING
Below are given backtesting (hypothetical) rates of return of the Equity Quant 50 trading program. Commissions and trading subscription fees were not deducted (subtract 2.5-5% from annual ROR to account for these costs). Please read the hypothetical performance disclaimer first. July 2007 forward - simulated trading results are listed (derived from actual prices on the trading platform without actual fills)
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul | Aug | Sep | Oct | Nov | Dec | Total % | VAMI* | VAMI/M** | |
| 1987 | 6.36% | 11.97% | 1.71% | (2.78%) | 5.72% | 2.66% | 1.56% | 2.40% | 0.99% | 2.92% | (0.24%) | 1.23% | 39.52% | 1,395.2 | 1,466.5 |
| 1988 | 4.16% | 7.62% | 6.80% | 8.78% | 1.90% | (0.21%) | (0.85%) | (0.46%) | 2.79% | 7.94% | 0.66% | 3.71% | 51.39% | 2,112.2 | 2,405.6 |
| 1989 | 5.97% | 8.74% | 4.31% | 7.25% | 2.64% | 4.49% | 4.67% | 5.18% | 1.46% | 2.49% | 3.12% | 6.29% | 73.44% | 3,663.4 | 4,892.4 |
| 1990 | 1.13% | 0.57% | 0.11% | 7.01% | 4.86% | 3.40% | (3.62%) | 7.48% | (0.60%) | (0.98%) | 6.18% | 9.44% | 39.99% | 5,128.4 | 7,198.5 |
| 1991 | 13.96% | 8.52% | 3.73% | 5.50% | 9.12% | 2.11% | 2.57% | (1.02%) | (2.12%) | 2.22% | (5.61%) | 8.57% | 56.97% | 8,050.0 | 12,407.6 |
| 1992 | 4.45% | 2.25% | 2.77% | 4.30% | 6.15% | (2.25%) | (2.66%) | 1.98% | (4.12%) | 5.12% | 6.24% | (1.95%) | 23.80% | 9,965.9 | 15,639.5 |
| 1993 | (6.53%) | (1.50%) | 10.62% | 1.83% | 1.31% | (2.79%) | 2.66% | 9.61% | 2.40% | (1.67%) | 5.93% | 4.43% | 28.02% | 12,758.4 | 20,544.8 |
| 1994 | 5.44% | (1.47%) | 0.64% | 11.49% | 3.11% | 2.15% | 2.35% | (0.56%) | (0.39%) | 5.32% | 4.56% | 5.49% | 44.59% | 18,447.3 | 31,630.0 |
| 1995 | 3.04% | 6.66% | 6.47% | 2.50% | 11.20% | 0.67% | 11.45% | 2.47% | 1.46% | 1.47% | 3.05% | 9.66% | 78.39% | 32,908.2 | 66,682.2 |
| 1996 | 7.31% | 7.00% | 3.29% | 1.60% | 7.00% | 3.00% | 4.71% | 3.86% | (1.54%) | 3.71% | 2.79% | 5.73% | 60.30% | 52,751.8 | 119,653 |
| 1997 | 4.58% | 3.72% | 4.74% | 7.24% | 2.41% | 1.15% | (3.30%) | 5.76% | 4.52% | (4.10%) | 8.00% | 4.58% | 46.14% | 77,091.5 | 187,560 |
| 1998 | 6.30% | 4.94% | 4.83% | 2.96% | 1.27% | (3.98%) | 3.72% | (4.51%) | 3.65% | 13.84% | 0.97% | 5.79% | 46.14% | 112,661 | 292,058 |
| 1999 | 16.04% | 2.25% | 6.51% | 6.86% | 10.57% | (1.03%) | (4.27%) | 2.98% | (2.60%) | 5.69% | 3.67% | (2.51%) | 51.59% | 170,784 | 474,803 |
| 2000 | 2.73% | 1.20% | 27.27% | 12.09% | 7.71% | 5.58% | 5.68% | 0.15% | (4.90%) | 6.13% | 13.52% | 12.84% | 130.8% | 394,134 | 1,566,677 |
| 2001 | 5.52% | 5.20% | 14.16% | 10.57% | 6.79% | 4.58% | 4.01% | (2.09%) | (4.74%) | 5.70% | 1.06% | 4.11% | 68.85% | 665,496 | 3,018,971 |
| 2002 | 3.45% | (9.28%) | (0.79%) | 1.31% | 6.31% | (3.95%) | 19.25% | 6.03% | (3.59%) | (1.12%) | 12.09% | 0.57% | 30.89% | 871,067 | 4,061,478 |
| 2003 | 3.26% | 0.18% | 6.78% | 9.46% | 0.65% | 4.85% | (4.94%) | (1.22%) | 6.36% | (6.45%) | 7.62% | (0.87%) | 27.18% | 1,107,824 | 5,278,154 |
| 2004 | (1.02%) | 1.87% | 1.28% | (2.00%) | 5.66% | (0.93%) | 0.44% | 6.50% | (0.69%) | (1.02%) | 4.37% | 0.45% | 15.48% | 1,279,315 | 6,143,578 |
| 2005 | 1.10% | (3.25%) | 3.10% | 4.47% | (2.05%) | 0.79% | 2.25% | 3.54% | (3.21%) | 1.76% | (1.80%) | 3.62% | 10.35% | 1,411,724 | 6,802,068 |
| 2006 | (2.94%) | 4.76% | 11.46% | 1.93% | 3.47% | (2.70%) | 4.67% | 1.08% | 2.33% | 3.57% | 2.81% | 3.33% | 38.53% | 1,995,661 | 9,892,094 |
| 2007 | 1.64% | (3.78%) | 4.23% | 4.35% | (1.83%) | (0.67%) | 0.42% | 2.85% | 5.64% | 3.16% | 1.95% | -2.22% | 15.15% | 2,251,944 | 11,468,050 |
| 2008 | -5.92% | -5.04% | 2.68% | 15.26% | 5.73% | 2,380,980 | 12,142,850 |
* VAMI (Value Added Monthly Index) - Hypothetical Growth of $1,000 by reinvesting the profit annually
** VAMI/M - Value Added Monthly Index, by reinvesting profit monthly (not decreasing the trading size on drawdown)
The above diagram shows the profit on fixed capital without profit reinvesting, while the diagram below shows the account value if the profit from trading is reinvested (compounded return). Note the diagram below is in semi-logarithmic coordinates.
Performance Analytics
|
|
The following performance measures are particularly important:
- The Profit Factor (PF), (ratio gross profit/ gross loss), can also be considered as amount of Dollars gained per each $1 lost. A trading system with PF greater than unity is profitable, and system with PF>2 is considered excellent.
- The Calmar Ratio (CR), which is a measure of the risk adjusted profit. It is not sufficiently to look for high annual rate of return (ROR). It is much more important to compare the the annual ROR with the drawdown, as the more apparent measure of risk. Systems with high Calmar Ratio allow higher leverage to be used, which actually increases the annual ROR.
Monthly rates of return (ROR) have been calculated, by dividing the monthly hypothetical net performance by the previous month account equity. To see the formulas and calculations, open this Excel table. The VAMI (Value Added Monthly Index) charts above shows the hypothetical growth of $1,000, by compounding yearly. You can read here on reinvesting and ROR calculations.
Compounding is an efficient method for increasing the account equity exponentially by reinvesting profits from trading (see the VAMI chart above). By reinvesting profits and compounding yearly, a $50,000 principal (without yearly additions, and 26% annual compound ROR) grows into $1,000,000 in 13 years - try this Financial Calculator.
The above tables and charts document Equity Quant's historical hypothetical performance based on strategy back testing. Bid/ask spread equal to 0.02% of stock price (1 cent spread per $55 average portfolio stock price) were factored into calculations. Please note that performance results reported are before commissions and other (subscription and trading platform) fees. The system makes maximum of 50 trades per week, which is approximately $50/week or $2,500/annum in commissions (assuming commission of $0.005 per share with minimum of $1). This is roughly a 2.5% commission cost in a $100,000 account, and this percentage should be deducted from the annual ROR from trading. Of course, smaller accounts have relatively larger commission costs. Price slippage can also affect performance, but this factor (as a random variable) will probably cancel each other in long term.
Trading can be further diversified by combining the Equity-Quant.com's EQ-50 quantitative trading system with the FX Quant 10 and/or Options Quant trading program - open this Excel table and click on the "FX Quant 10 & Equity Quant 50" tab.
There are also plans to extend the trading strategy to the top 100 most highly capitalized US companies traded on the New York Stock Exchange (NYSE).
Contact us to request monthly performance updates.
|
Hypothetical Performance Disclaimer: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. Risk Disclaimer PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST HYPOTHETICAL PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION. PLEASE SEE THE COMPLETE Legal Notice. |
