Strategy Performance*
*Unless otherwise stated, performance results for indicators, models and strategies are hypothetical, based on backtesting using historical data, and are not a reflection of actual trading/investment results. Past performance, whether actual or indicated by historical tests, is no guarantee of future performance or success. Please see Disclaimer. |
(1) Definitions can be found here.
In-sample data 7/2/1987 - 12/31/2003; Out-of-sample data 1/2/2004 - 7/1/2016; Real-time trading 7/2/2016 - 11/10/2017. Results are before taxes. The impact of taxes are estimated in the Tax Considerations section for each strategy. Results include estimated transaction costs. Risk-free rate and target rate for Sortino Ratio both set at 1.0%. |