AlphaPulse Tactical
The AlphaPulse Tactical Model is a quantitative framework designed for analyzing historical performance trends over 22 years using metrics such as CAGR, Sharpe ratios, and Alpha. By examining price movements across a diverse selection of ETFs spanning various market classes and sectors, the model evaluates hypothetical outcomes under different market conditions. Simulations demonstrate how the model has historically managed volatility, drawdowns, and asset selection, emphasizing diversification and balance. Over this historical back-testing period, the model achieved a compounded annual growth rate (CAGR) of 22.49% compared to a benchmark average of 10.06%, offering a data-driven perspective on performance trends within the analyzed context.
Quantitative Rules
Price Momentum
Currencies, Commodities, Equities, Bonds
OverviewAllocationTradesStatistics
CAGR
23.64%
10 Years
16.97%
5 Years
15.17%
3 Years
5.33%
1 Year
17.63%
Compounded Annual Inflation CAGR
2.70%
10 Years
3.09%
5 Years
4.44%
3 Years
2.94%
1 Year
2.62%
Cumulative Returns
8511.24%
10 Years
379.60%
5 Years
102.62%
3 Years
16.87%
1 Year
17.63%
Annual Volatility
18.07%
10 Years
17.42%
5 Years
20.45%
3 Years
19.05%
1 Year
16.40%
Sharpe
1.30
10 Years
0.95
5 Years
0.70
3 Years
0.26
1 Year
1.13
Alpha
18.63
10 Years
10.27
5 Years
7.38
3 Years
-2.95
1 Year
10.25
Beta
0.47
10 Years
0.48
5 Years
0.52
3 Years
0.51
1 Year
0.49
Treynor
49.55%
10 Years
34.59%
5 Years
27.61%
3 Years
9.55%
1 Year
37.55%
Sterling
1.24%
10 Years
0.88%
5 Years
0.76%
3 Years
0.26%
1 Year
0.98%
Downside Annual Volatility
6.48%
10 Years
7.11%
5 Years
7.77%
3 Years
8.71%
1 Year
6.56%
Maximum Drawdown
-18.90%
10 Years
-18.90%
5 Years
-18.90%
3 Years
-18.90%
1 Year
-18.90%
Sortino
3.62
10 Years
2.33
5 Years
1.85
3 Years
0.56
1 Year
2.83
R²
14.15%
10 Years
14.24%
5 Years
9.63%
3 Years
10.54%
1 Year
11.31%
Up Market Capture
101%
10 Years
76%
5 Years
71%
3 Years
53%
1 Year
83%
Down Market Capture
29%
10 Years
38%
5 Years
26%
3 Years
71%
1 Year
66%
Tracking Error
4.77%
10 Years
4.61%
5 Years
5.47%
3 Years
4.97%
1 Year
3.99%
Minimum Rolling Return
10 Years
242.99%
5 Years
52.72%
3 Years
-7.77%
1 Year
-14.35%
Maximum Rolling Return
10 Years
1425.38%
5 Years
618.38%
3 Years
284.90%
1 Year
126.13%
General
denotes benchmark
Average Winning Trade Return
3.85%
Average Losing Trade Return
-3.21%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
60.80%
Positive Days
61.99%
Annual Turnover Ratio
7%
Maximum Return
11.87%
25.26%
Minimum Return
-28.97%
-11.98%
Average Return
0.72%
1.50%
Median Return
0.94%
0.83%
Average Return Best
11.08%
Average Return Worst
-2.82%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
4.67%
Average Return Inflation
1.33%
Average Return Inflation 3%
1.40%
Average Return Inflation 6%
0.29%
Positive Returns Deflation
66.67%
Positive Returns Inflation
61.56%
Positive Returns Inflation 3%
62.50%
Positive Returns Inflation 6%
53.85%
Best Year
2020
Worst Year
2024
Correlation with Benchmark
0.38
Correlation with Benchmark Positive Returns
0.10
Correlation with Benchmark Negative Returns
-0.03
Returns Distribution
Over 50%
0%
40% to 50%
0%
30% to 40%
0%
20% to 30%
0%
10% to 20%
4%
0% to 10%
57%
-10% to 0%
37%
-20% to -10%
1%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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