ETF Momentum Backtest
6 forward tests indépendants du 20260120 au 20260224 | 7340 observations (ETF × période)
Strategy Performance
BUY-SELL Spread
+0.17%
3/6 périodes gagnantes
+0.17%
3/6 périodes gagnantes
Alpha vs SPY
+0.51%
SPY moyen: -0.22%
+0.51%
SPY moyen: -0.22%
BUY Basket Return
+0.28%
595 obs, hit rate 55%
+0.28%
595 obs, hit rate 55%
SELL Basket Return
+0.12%
363 obs
+0.12%
363 obs
Décomposition par période
Performance de chaque forward test indépendant. Les périodes sont de durées inégales (2 à 9 jours calendaires).
| T0 | T1 | Jours | BUY (n) | BUY ret | SELL (n) | SELL ret | SPY | Spread | BUY hit% |
|---|---|---|---|---|---|---|---|---|---|
| 20260120.0 | 20260127.0 | 7.0j | 75.0 | +2.856% | 65.0 | +0.588% | +0.155% | +2.269% | 64% |
| 20260127.0 | 20260205.0 | 9.0j | 60.0 | -2.896% | 57.0 | -2.024% | -0.944% | -0.872% | 30% |
| 20260205.0 | 20260210.0 | 5.0j | 135.0 | +1.958% | 65.0 | +1.685% | +1.131% | +0.274% | 91% |
| 20260210.0 | 20260212.0 | 2.0j | 109.0 | -0.260% | 72.0 | +0.543% | -0.287% | -0.803% | 54% |
| 20260212.0 | 20260219.0 | 7.0j | 99.0 | -1.341% | 62.0 | -0.383% | -0.819% | -0.958% | 21% |
| 20260219.0 | 20260224.0 | 5.0j | 117.0 | +0.217% | 42.0 | -0.126% | -0.568% | +0.344% | 48% |
| Moyenne (6 périodes) | — | +0.089% | — | +0.047% | -0.222% | +0.042% | 51% | ||
Performance by Action
| Action | Count | Mean Return | Median Return | Std Dev | Hit Rate |
|---|---|---|---|---|---|
| BUY | 595 | +0.284% | +0.157% | 6.298% | 54.6% |
| HOLD | 6382 | +0.086% | +0.080% | 2.609% | 55.0% |
| SELL | 363 | +0.117% | +0.148% | 5.065% | 58.7% |
| SPY (benchmark) | 6 | -0.222% | — | — | — |
Returns by Composite Score
| Score | Count | Mean Return | Median Return | Hit Rate | Zone |
|---|---|---|---|---|---|
| -5 | 4 | +0.494% | -0.040% | 50.0% | SELL |
| -4 | 33 | -0.948% | +0.055% | 54.5% | SELL |
| -3 | 138 | +0.615% | +0.423% | 59.4% | SELL |
| -2 | 188 | -0.070% | +0.121% | 59.0% | SELL |
| -1 | 995 | -0.169% | +0.050% | 54.9% | HOLD |
| +0 | 3331 | +0.122% | +0.073% | 54.2% | HOLD |
| +1 | 2056 | +0.152% | +0.126% | 56.6% | HOLD |
| +2 | 426 | +0.456% | +0.302% | 61.3% | BUY |
| +3 | 126 | +0.884% | -0.373% | 44.4% | BUY |
| +4 | 37 | -3.142% | -2.498% | 21.6% | BUY |
| +5 | 6 | -3.398% | -2.424% | 0.0% | BUY |
Signal Attribution
Performance de chaque signal individuel — comment les ETFs avec ce signal actif ont-ils performé vs ceux sans ?
| Signal | Count | Mean Return | Hit Rate | vs Inactive | Type |
|---|---|---|---|---|---|
| CONVICTION | 574 | +0.664% | 63.6% | +0.608% | BUY |
| DISTRIBUTION | 287 | +0.420% | 59.6% | +0.329% | SELL |
| FLOW_RATIO_HIGH | 2872 | +0.201% | 57.7% | +0.159% | BUY |
| RSI_OB | 1085 | +0.113% | 63.7% | +0.011% | SELL |
| ACCEL_IN | 439 | +0.030% | 56.9% | -0.079% | BUY |
| ACCEL_OUT | 403 | -0.122% | 53.6% | -0.239% | SELL |
| ACCUMULATION | 191 | -0.287% | 33.0% | -0.401% | BUY |
| FLOW_RATIO_LOW | 783 | -0.272% | 49.0% | -0.421% | SELL |
| RSI_OS | 105 | -2.231% | 23.8% | -2.368% | BUY |
Top BUY Performers
| Symbol | Name | Période | Score | Forward Return | 1M Return (T0) | 4W Flows | RSI |
|---|---|---|---|---|---|---|---|
| BOIL | ProShares Ultra Bloomberg Natural Gas | 20260120→20260127 | +3 | +93.61% | -37.1% | $275M | 37 |
| AGQ | ProShares Ultra Silver | 20260120→20260127 | +3 | +44.30% | +81.9% | $223M | 67 |
| UNG | United States Natural Gas Fund LP | 20260120→20260127 | +3 | +43.56% | -17.1% | $240M | 38 |
| AGQ | ProShares Ultra Silver | 20260219→20260224 | +2 | +30.79% | -45.1% | $761M | 44 |
| SNXX | Tradr 2X Long SNDK Daily ETF | 20260219→20260224 | +2 | +21.99% | +41.3% | $477M | nan |
| SLVR | Sprott Silver Miners & Physical Silver E | 20260120→20260127 | +2 | +18.06% | +21.4% | $109M | 69 |
| SLVR | Sprott Silver Miners & Physical Silver E | 20260219→20260224 | +3 | +16.77% | -3.3% | $167M | 51 |
| EWZ | iShares MSCI Brazil ETF | 20260120→20260127 | +2 | +10.37% | +2.2% | $385M | 59 |
| IAU | iShares Gold Trust | 20260120→20260127 | +2 | +10.33% | +6.4% | $189M | 64 |
| GLDM | SPDR Gold Minishares Trust of beneficial | 20260120→20260127 | +3 | +10.31% | +6.5% | $941M | 65 |
Worst BUY Performers
| Symbol | Name | Période | Score | Forward Return | 1M Return (T0) | 4W Flows | RSI |
|---|---|---|---|---|---|---|---|
| PLTU | Direxion Daily PLTR Bull 2X Shares | 20260127→20260205 | +3 | -32.75% | -27.2% | $114M | 42 |
| CONL | GraniteShares 2x Long COIN Daily ETF | 20260120→20260127 | +3 | -22.27% | -10.4% | $98M | 42 |
| PPLT | abrdn Physical Platinum Shares ETF | 20260127→20260205 | +3 | -18.37% | +20.6% | $134M | 69 |
| AGQ | ProShares Ultra Silver | 20260212→20260219 | +2 | -17.55% | -17.4% | $1.0B | 46 |
| ETHU | 2x Ether ETF | 20260210→20260212 | +4 | -15.91% | -57.8% | $149M | 33 |
SELL Signal Confirmation (worst performers)
| Symbol | Name | Période | Score | Forward Return | 1M Return (T0) | 4W Flows | RSI |
|---|---|---|---|---|---|---|---|
| AGQ | ProShares Ultra Silver | 20260127→20260205 | -2 | -49.99% | +109.3% | $2M | 77 |
| ETHU | 2x Ether ETF | 20260120→20260127 | -3 | -23.57% | +22.3% | $-61M | 51 |
| JNUG | Direxion Daily Junior Gold Miners Index | 20260127→20260205 | -4 | -21.40% | +44.9% | $-62M | 77 |
| SIVR | abrdn Physical Silver Shares ETF | 20260127→20260205 | -4 | -19.52% | +50.8% | $-213M | 78 |
| SLV | iShares Silver Trust | 20260127→20260205 | -2 | -19.48% | +50.8% | $-818M | 78 |
| NUGT | Direxion Daily Gold Miners Index Bull 2x | 20260127→20260205 | -4 | -18.10% | +40.8% | $-92M | 77 |
| GBTC | Grayscale Bitcoin Trust ETF | 20260127→20260205 | -2 | -16.23% | +0.2% | $-408M | 43 |
| FBTC | Fidelity Wise Origin Bitcoin Fund | 20260127→20260205 | -2 | -16.21% | +0.3% | $-705M | 44 |
| SOXL | Direxion Daily Semiconductor Bull 3x Sha | 20260127→20260205 | -2 | -12.37% | +37.3% | $-5.6B | 63 |
| DPST | Direxion Daily Regional Banks Bull 3X Sh | 20260219→20260224 | -3 | -11.32% | +13.6% | $-137M | 57 |
Verdict
Stratégie : PROFITABLE (sur 6 forward tests indépendants)
Périodes gagnantes : 3/6 (spread BUY-SELL > 0)
BUY basket moyen : +0.28% vs SELL basket moyen : +0.12% — spread moyen : +0.17%
Alpha moyen vs SPY : +0.51%
Hit rate BUY : 55% | Hit rate SELL : 41% (inversé — % qui ont baissé)
Périodes gagnantes : 3/6 (spread BUY-SELL > 0)
BUY basket moyen : +0.28% vs SELL basket moyen : +0.12% — spread moyen : +0.17%
Alpha moyen vs SPY : +0.51%
Hit rate BUY : 55% | Hit rate SELL : 41% (inversé — % qui ont baissé)
Note : Les périodes sont de durées inégales (2 à 9 jours).
6 forward tests donnent un premier signal mais restent statistiquement limités.
Accumuler davantage de snapshots hebdomadaires pour augmenter la significativité.