Institutional investors are often required to primarily preserve the capital and only allow small drawdowns. Therefore, they must generally act conservatively, which is easy to do with QanSystem.
As an example of a consulting approach, we present backtest results of a simple long / short strategy with the following parameters:
- Initial volume: €20 million
- Investment period: September 2009 to January 2020
- Investment instrument: DAX futures contract
- Maximum leverage: 2
- Cost + slippage: – €75 per contract traded
Strategy results compared to the DAX index
In the graph below, the DAX (blue curve) rose from around 5,483 points in September 2009 to around 13,696 points in mid-February 2020 (left scale). The Internal Rate of Return (IRR) is ~9.33% p.a. (absolute return ~149.8%).
The QanSystem portfolio (green curve) rose in the same period from €20 million to approx. €188.5 million (right scale). The internal rate of return (IRR) is ~24.3% p.a. (absolute return ~ 843%).
The maximum drawdown of the DAX was -34.3%, while the QanSystem portfolio had a maximum loss of only -13.5% in constrast, as shown in the following graphic (based on realised gains and losses and after deduction of transaction fees and slippage).