Strategy

Programmatic Trading Quantification Strategy


Trading straregy

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

rate of return

Conservative strategy A

-0.05

6.52

-0.34

9.88

9.6

-3.08

23.4

8.16

15.72

5.38

3.94

7.43

Average annual yield of 8.5%

Conservative strategy B

-0.49

5.03

0.2

7.91

12.88

-4.72

25.23

11.87

15.81

9.26

4.81

7.32

Average annual yield of 8.9%

Conservative strategy C

-0.26

6.53

-6.84

17.27

13.98

2.97

32.77

21.95

24.08

10.92

4.29

11.81

Average annual yield of 14.5%

Robust strategy D

-1.28

8.83

0.44

18.09

18.63

-0.6

61.98

34.75

33.92

8.09

-3.87

17.33

Average annual yield of 20.7%

Robust strategy E

0.77

17.85

-0.13

47.41

25.42

11.75

63.16

36.83

48.39

3.44

26.56

33.71

Average annual yield of 33.0%

Robust strategy F

3.92

20.45

6.83

57.95

48.14

30.3

54.96

30.03

48.54

-2.52

31.5

19.27

Average annual yield of 36.1%

Aggressive strategy G

0.5

28.19

19.59

57.95

48.14

38.7

67.91

59.15

63.73

8.65

31.5

48.08

Average annual yield of 49.3%

Aggressive strategy H

-10.63

28.19

19.59

57.95

48.14

38.7

67.91

59.15

63.73

30.68

31.5

48.08

Average annual yield of 51.5%

Aggressive strategy I

11.29

28.19

19.59

57.95

48.14

38.7

87.24

59.15

63.73

30.68

31.5

48.08

Average annual yield of 53.5%

 


Unless otherwise indicated, all numbers, and years of back-tested returns statistics are delayed, past performance is not indicative of future performance.

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