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: 1.1

Beta: 0.3

Drawdown: -5.66

L1_S2

3

years backtest


Sharpe ratio: 1.1

Beta: 0.3

Drawdown: -6.73

L2_S1

3

years backtest


Sharpe ratio: 1.5

Beta: 0.0

Drawdown: -7.9

L2_S2

3

years backtest


Sharpe ratio: 0.8

Beta: 0.0

Drawdown: -7.94

L3_S1

3

years backtest


Sharpe ratio: 1.1

Beta: 0.4

Drawdown: -12.95

L3_S2

3

years backtest


Sharpe ratio: 1.0

Beta: 0.4

Drawdown: -12.5