Backtested strategies

Long & Short (hedged) View all

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 %

Long View all

L1

3

years backtest


Sharpe ratio: 1.4

Beta: 0.1

Drawdown: -5.99 %

L2

3

years backtest


Sharpe ratio: 1.8

Beta: 0.1

Drawdown: -13.91 %

Short View all

S1

3

years backtest


Sharpe ratio: 3.2

Beta: 0.0

Drawdown: -8.81 %

S2

3

years backtest


Sharpe ratio: 1.9

Beta: -0.1

Drawdown: -11.42 %