Details of performance calculations
- Equal allocation to all strategies.
- The start of the backtest is on January 4, 2016.
- End of backtest is on December 31, 2024
- All trades are placed at the opening of the next weekly bar.
- There is no use of leverage.
Equity Performance
| Strategy Ensemble | |
| Annualized return | 8.3% |
| Maximum Drawdown | -6.9% |
| Volatility | 6.4% |
| Sharpe ratio | 1.30 |
| MAR ratio (CAGR/MDD) | 1.20 |
| Beta (S&P 500 index) | 0.23 |
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.
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