Details of performance calculations:
- Equal allocation to all strategies.
- The start of the backtest is on January 3, 2007, except for long-short.
- The start of the backtest for long-short is on July 1, 2016.
- End of backtest is on June 3, 2022.
- Commission: $0.01/share for all strategies except for long-short ($0.005/share).
- All trades are placed at the open of the next weekly bar.
- There is no use of leverage.
Five strategies (excluding long-short)
Equity Performance
Yearly Return (%)
Drawdown Profile
Comparison of average performance of the five strategies excluding long-short to SPY ETF performance.
| Strategy | Buy and hold | |
| Annualized return | 8% | 9.3% |
| Maximum Drawdown | -8.3% | -55.2% |
| Volatility | 7.7% | 20.3% |
| Sharpe ratio | 1.05 | 0.46 |
| MAR ratio (CAGR/MDD) | 0.97 | 0.17 |
The main benefit of using an ensemble of strategies is the low volatility of the equity curve. Leveraged alpha is possible while maintaining a low maximum drawdown. Note that the Sharpe ratio stays nearly constant under leverage.
Six strategies (including long-short after July 1, 2016)
Equity Performance
Yearly Return (%) of Long-Short Strategy
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