Recruitment of participants 3 Trend following Strategies (Bundle)

Strategy 42: 3 Trend following Strategies (Bundle)

The three strategies have different trading rules for entry but the same rules for exit and can thus be traded as a portfolio, or they can be traded individually.

Performance metrics (S&P 500):

• No. of trades: 22
• Average unleveraged gain per trade: 30.5% (42.4% for winners and -9.2% for losers)
• Win ratio: 77%
• Profit factor: 9
• CAGR: 7.4% vs 7.2% for Buy&Hold (assuming no leverage and no reinvested dividends – cash index)
• Exposure/time in the market: 81%
• Risk-adjusted return: 9.1% (CAGR divided by time spent in the market (0.81))
• Max. drawdown: -35%

The equity curve when all 3 strategies are traded as a portfolio of strategies (log scale):