The Quantopolis Portfolio I investment strategy combines two best performing strategies, the ES Pull Back and VX Short into one account. The amount of capital allocated to each strategy is as described in the summary description for each strategy and totals to $17,000.
Backtesting was done from 2005 to 2016 as this is the period where data was available for all the strategies. During this period the Quantopolis Portfolio I had a net average annual return of 68.79% with a maximum drawdown of -40.83% of allocated capital of $17,000. This translates to a Risk Reward ratio of 1.68. The portfolio averaged 48 trades per year. In addition, as the table below illustrates, during this 12 year period the portfolio had 62% up months and one down year.
In contrast, during the same period, using a buy and hold strategy on the S&P 500 index as the benchmark, we get an average annual return of 7.31% with a maximum drawdown of -50.82% for a risk reward ratio of 0.14. During this 12 year period the S&P 500 had 63% up months and three down years.
Thus, if we use the Risk Reward factor to compare the portfolio performance with a buy and hold approach in the S&P 500, we can see that the Quantopolis I Portfolio did about 12 times better.
It is worth noting at this point that all the performance metrics for the Portfolio include the costs of commissions as well as the strategy subscription fees charged by Striker. Furthermore, implicit in a buy and hold approach is the compounding of returns as the monies are invested once and held until the end of the time period. By contrast, the Portfolio invests one contract in each underlying strategy during the whole backtesting period. The investor can further increase returns by re-investing some of the generated profits as discussed here.