Aggregate Trend Following Report
This is the companion report to the following blog post. Tax rates have a material impact on results; see the post for details.
This report was generated with the following assumptions.
- Short term capital gains tax rate: 0.0
- Long term capital gains tax rate: 0.0
Disclaimer
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Summary Statistics by Method
Excess Return Method
| Ticker | Method CAGR | Buy & Hold CAGR | Method Max Drawdown | Buy & Hold Drawdown | Method Sharpe Ratio | Buy & Hold Sharpe Ratio |
|---|---|---|---|---|---|---|
| BCD | 12.1 | 11.2 | -23.0 | -29.8 | 0.84 | 0.66 |
| BCI | 9.5 | 8.6 | -25.6 | -32.7 | 0.66 | 0.47 |
| CMDY | 12.3 | 15.2 | -26.1 | -31.2 | 0.80 | 0.54 |
| DJP | 3.6 | 0.6 | -35.2 | -78.4 | 0.32 | 0.05 |
| FTGC | 9.6 | 5.4 | -20.6 | -59.5 | 0.74 | 0.23 |
| GLTR | 10.3 | 7.4 | -23.3 | -55.7 | 0.67 | 0.49 |
| HGER | 17.2 | 21.3 | -8.8 | -23.3 | 0.87 | 0.82 |
| IAU | 10.8 | 11.3 | -32.1 | -45.1 | 0.71 | 0.74 |
| PDBC | 5.5 | 7.4 | -29.2 | -49.5 | 0.41 | 0.23 |
| SDCI | 22.4 | 24.1 | -18.5 | -45.8 | 1.09 | 0.63 |
Moving Average Method
| Ticker | Method CAGR | Buy & Hold CAGR | Method Max Drawdown | Buy & Hold Drawdown | Method Sharpe Ratio | Buy & Hold Sharpe Ratio |
|---|---|---|---|---|---|---|
| BCD | 8.7 | 11.2 | -26.7 | -29.8 | 0.63 | 0.66 |
| BCI | 8.9 | 8.6 | -25.8 | -32.7 | 0.62 | 0.47 |
| CMDY | 11.8 | 15.2 | -27.8 | -31.2 | 0.78 | 0.54 |
| DJP | 5.6 | 0.6 | -32.9 | -78.4 | 0.47 | 0.05 |
| FTGC | 8.0 | 5.4 | -19.9 | -59.5 | 0.65 | 0.23 |
| GLTR | 8.8 | 7.4 | -35.5 | -55.7 | 0.57 | 0.49 |
| HGER | 21.3 | 21.3 | -8.8 | -23.3 | 1.03 | 0.82 |
| IAU | 8.7 | 11.3 | -34.1 | -45.1 | 0.61 | 0.74 |
| PDBC | 5.3 | 7.4 | -36.6 | -49.5 | 0.38 | 0.23 |
| SDCI | 22.4 | 24.1 | -18.5 | -45.8 | 1.12 | 0.63 |
Distribution of Trade Durations
Distribution of Final Simulation CAGR
Distribution of Max Drawdown
Distribution of Sharpe Ratio by Method
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