5 Trading Systems - Multi-Asset Quantitative Analysis
Period: 2006-04-06 → 2026-01-04 | 818 Total Trades
La somma dei max drawdown individuali è $-19,286,
mentre il max drawdown effettivo del portfolio è $-10,262.
Beneficio di diversificazione: $9,024 (46.8% di riduzione)
Le strategie mostrano correlazione media molto bassa (-0.012),
confermando l'efficacia della diversificazione.
| Strategy | DD Periods | Recovered | Avg TTR | Max TTR | Median TTR |
|---|---|---|---|---|---|
| MGC_Breakout | 41 | 40 | 69d | 250d | 46d |
| MGC_ZScore | 4 | 3 | 499d | 880d | 565d |
| MNQ_TrendFollow | 8 | 7 | 211d | 748d | 104d |
| NG_Breakout | 59 | 59 | 91d | 790d | 52d |
| MYM_Sushi | 14 | 14 | 73d | 267d | 56d |
| PORTFOLIO | 110 | 109 | 49d | 473d | 22d |
Il Time to Recovery medio del portfolio è di 49 giorni,
con un TTR massimo di 473 giorni.
Il portfolio ha attraversato 110 periodi di drawdown,
di cui 109 completamente recuperati.
Il worst drawdown ($-10,262) è iniziato il
2022-05-18 e
è stato recuperato in 443 giorni.
| # | Start Date | Bottom Date | Recovery Date | Max DD | Days to Bottom | Days to Recover | Total TTR | Status |
|---|---|---|---|---|---|---|---|---|
| 1 | 2008-07-13 | 2008-12-15 | 2009-10-29 | $-3,300 | 155 | 318 | 473 | ✅ Recovered |
| 2 | 2014-07-24 | 2015-03-11 | 2015-10-26 | $-1,119 | 230 | 229 | 459 | ✅ Recovered |
| 3 | 2022-05-18 | 2023-03-05 | 2023-08-04 | $-10,262 | 291 | 152 | 443 | ✅ Recovered |
| 4 | 2018-04-01 | 2019-01-10 | 2019-06-05 | $-1,431 | 284 | 146 | 430 | ✅ Recovered |
| 5 | 2012-03-19 | 2012-11-12 | 2012-11-29 | $-330 | 238 | 17 | 255 | ✅ Recovered |
| Strategy | Trades | Net P/L | Win Rate | Max DD | PF | Calmar |
|---|---|---|---|---|---|---|
| MGC_Breakout | 258 | $42,189 | 43.0% | $-2,478 | 2.25 | 17.03 |
| MGC_ZScore | 21 | $17,764 | 57.1% | $-2,820 | 3.52 | 6.30 |
| MNQ_TrendFollow | 39 | $20,960 | 43.6% | $-7,890 | 1.94 | 2.66 |
| NG_Breakout | 427 | $33,153 | 46.8% | $-3,300 | 1.91 | 10.05 |
| MYM_Sushi | 73 | $27,606 | 60.3% | $-2,798 | 2.38 | 9.86 |
| PORTFOLIO | 818 | $141,672 | 46.9% | $-10,262 | 2.18 | 13.81 |
| Metric | Value |
|---|---|
| Total Analysis Days | 7214 |
| Days with 3+ Strategies in DD | 1452 (20.1%) |
| Days with ALL 5 in DD | 345 (4.8%) |
| Sum of Individual Max DD | $-19,286 |
| Portfolio Max DD | $-10,262 |
| Diversification Benefit | $9,024 |