Backtested strategies

Long & Short (hedged) View all

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

Long View all

L1

3

years backtest


Sharpe ratio: 1.1

Beta: 0.5

Drawdown: -16.53

L2

3

years backtest


Sharpe ratio: 1.3

Beta: 0.2

Drawdown: -7.63

Short View all

S1

3

years backtest


Sharpe ratio: 0.9

Beta: -0.2

Drawdown: -13.58

S2

3

years backtest


Sharpe ratio: 0.2

Beta: -0.2

Drawdown: -13.15