Backtested strategies

Press here to check the long strategies and here for the short strategies.

Long & Short (hedged)

L1+S1

3

years backtest


Sharpe ratio: 2.7

Beta: 0.0

Drawdown: -4.21 %

L1+S2

3

years backtest


Sharpe ratio: 1

Beta: 0.0

Drawdown: -9.04 %

L2+S1

3

years backtest


Sharpe ratio: 3.2

Beta: 0.1

Drawdown: -9.91 %

L2+S2

3

years backtest


Sharpe ratio: 1.9

Beta: 0.0

Drawdown: -12.80 %

L3+S1

3

years backtest


Sharpe ratio: 3.4

Beta: 0.0

Drawdown: -5.84 %

L3+S2

3

years backtest


Sharpe ratio: 2.3

Beta: 0.0

Drawdown: -6.19 %