Algortimos Genéticos

Reinv en pry CDT Fidu Mercado de Valores

Ponderaciones 25.00% 25.00% 29.86% 20.14% 100%
Re Nivel de Riesgo
FECHA WMT DIS 3M APP S&P Ri
1/1/2009 3.23% 5.16% 3.49% 4.96% 0.45% 4.14%
2/1/2009 7.55% 1.48% 1.56% 3.53% 2.03% 3.43%
3/1/2009 5.03% -0.43% -2.46% 0.71% -3.09% 0.56%
4/1/2009 13.60% 16.74% 5.01% 11.78% 8.80% 11.45%
5/1/2009 10.77% -0.58% 4.84% 5.01% -1.29% 5.00%
6/1/2009 0.60% -8.17% 4.33% -1.08% -0.92% -0.82%
7/1/2009 -9.05% -12.96% -12.06% -11.36% -9.83% -11.39%
8/1/2009 -4.39% -11.48% -2.06% -5.98% -5.52% -5.79%
9/1/2009 -1.83% 0.57% 2.43% 0.39% -1.07% 0.49%
10/1/2009 12.62% 9.48% 5.54% 9.21% 5.59% 9.03%
11/1/2009 0.53% 1.88% 5.19% 2.53% 2.08% 2.66%
12/1/2009 9.09% 6.79% 0.00% 5.29% 3.75% 5.04%
1/1/2010 7.20% 13.97% 0.71% 7.29% 6.33% 6.97%
2/1/2010 9.66% -3.55% 7.75% 4.62% 1.82% 4.77%
3/1/2010 4.52% -3.11% -1.71% -0.10% -0.37% -0.18%
4/1/2010 5.86% 0.76% -6.28% 0.11% 3.46% -0.20%
5/1/2010 -0.19% -3.88% -0.11% -1.39% -5.19% -1.33%
6/1/2010 11.40% 8.45% 3.74% 7.86% 4.09% 7.66%
7/1/2010 6.39% -1.66% 0.97% 1.90% 1.56% 1.85%
8/1/2010 -5.68% -4.00% -3.81% -4.50% -2.31% -4.46%
9/1/2010 -3.14% 4.32% 9.80% 3.66% 0.79% 3.96%
10/1/2010 5.68% -11.79% -4.46% -3.52% -4.79% -3.57%
11/1/2010 20.55% 9.31% 0.88% 10.25% 10.76% 9.79%
12/1/2010 -8.49% 19.37% -2.47% 2.80% -2.39% 2.55%
1/1/2011 0.23% 12.64% 5.63% 6.17% 0.56% 6.14%
2/1/2011 -1.29% -1.38% 2.85% 0.06% -2.58% 0.20%
3/1/2011 -1.88% -3.74% 1.44% -1.39% 2.39% -1.26%
4/1/2011 1.44% 4.29% 3.09% 2.94% -0.30% 2.95%
5/1/2011 1.51% -4.93% -0.70% -1.37% -2.14% -1.34%
6/1/2011 3.95% -0.20% 4.06% 2.60% 3.54% 2.67%
7/1/2011 2.24% -4.17% 0.37% -0.52% -2.80% -0.48%
8/1/2011 3.59% 5.07% -0.07% 2.86% 0.51% 2.72%
9/1/2011 2.96% 8.77% -1.35% 3.46% -0.19% 3.23%
10/1/2011 5.75% 7.14% -2.61% 3.43% 2.63% 3.13%
11/1/2011 -0.50% 1.93% 8.50% 3.31% 0.61% 3.56%
12/1/2011 1.76% 6.23% 3.79% 3.93% 0.30% 3.92%
1/1/2012 -0.19% -2.74% 1.60% -0.44% 0.65% -0.34%
2/1/2012 -2.21% 0.28% 2.21% 0.09% 1.47% 0.20%
3/1/2012 -15.75% -8.29% -4.32% -9.45% -2.94% -9.20%
4/1/2012 4.21% 7.98% -2.78% 3.14% 1.87% 2.85%
5/1/2012 -5.71% -7.39% 5.20% -2.63% -0.32% -2.25%
6/1/2012 -3.33% -7.82% -6.16% -5.77% -0.93% -5.79%
7/1/2012 1.61% 4.67% 0.85% 2.38% 3.04% 2.30%
8/1/2012 -4.37% -3.82% 5.86% -0.78% -1.40% -0.45%
9/1/2012 7.11% 14.07% -0.23% 6.98% 1.54% 6.63%
10/1/2012 8.65% -7.27% -1.38% 0.00% -1.69% -0.07%
11/1/2012 -12.66% 6.90% -0.93% -2.23% 0.61% -2.17%
12/1/2012 6.00% 11.00% -6.05% 3.65% 2.85% 3.18%
1/1/2013 7.08% 1.59% -1.01% 2.55% -3.40% 2.38%
2/1/2013 -8.66% -12.50% 4.98% -5.39% -4.97% -4.89%
3/1/2013 -2.42% 1.37% -2.70% -1.25% 0.75% -1.32%
4/1/2013 -6.93% 2.06% 7.05% 0.73% 0.84% 1.03%
5/1/2013 3.37% -4.03% 4.59% 1.31% -3.08% 1.47%
6/1/2013 3.09% 1.98% 0.23% 1.77% 2.75% 1.69%
7/1/2013 -1.33% -2.65% 0.23% -1.25% 3.36% -1.18%
8/1/2013 -5.08% -6.06% -6.65% -5.93% -3.09% -5.96%
9/1/2013 0.53% 2.13% 4.15% 2.27% 1.68% 2.36%
10/1/2013 -0.88% 10.13% -1.87% 2.46% -4.35% 2.25%
11/1/2013 -8.60% 5.75% 5.43% 0.86% 0.83% 1.08%
12/1/2013 -8.60% 5.75% 5.43% 0.86% 0.83% 1.08%
1/1/2014 7.65% 10.76% 6.16% 8.19% 2.03%
2/1/2014 3.83% 4.91% 2.58% 3.77% 3.21%
3/1/2014 8.11% 0.23% 1.42% 3.25% 2.33%
4/1/2014 -7.32% 3.67% -4.37% -2.67% 2.40%
5/1/2014 4.74% 0.23% -1.31% 1.22% 3.23%
6/1/2014 7.74% 0.00% -2.70% 1.68% 1.73%
7/1/2014 -0.47% 5.79% 3.20% 2.84% 2.78%
8/1/2014 -7.79% -4.05% 0.89% -3.65% -0.43%
9/1/2014 1.02% 2.00% 15.77% 6.26% 3.61%
10/1/2014 -12.63% 0.59% 1.53% -3.50% -0.90%
11/1/2014 11.21% 4.34% -2.82% 4.24% 3.70%
12/1/2014 -7.29% -1.93% 1.70% -2.51% 1.34%
1/1/2014 -8.43% 9.13% -0.77% -0.02% 2.86%
2/1/2015 4.29% 1.95% 1.74% 2.66% 0.29%
3/1/2015 8.48% -2.48% 4.52% 3.51% 0.39%
4/1/2015 3.80% -2.76% 1.10% 0.71% -0.06%
5/1/2015 8.38% -2.02% -2.27% 1.36% 1.89%
6/1/2015 -1.73% 3.50% 6.52% 2.76% -0.17%
7/1/2015 -5.42% -11.36% 1.45% -5.11% -5.97%
8/1/2015 10.11% 2.47% 9.50% 7.36% 1.48%
9/1/2015 0.00% 10.96% 10.30% 7.09% 5.02%
10/1/2015 0.47% 4.32% -0.90% 1.30% 2.21%
11/1/2015 0.82% 0.31% 4.13% 1.75% 0.38%
12/1/2015 0.77% 0.18% 4.28% 1.74% 0.29%
 EF CF 42
70.00% CT 60

Contar
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1 Ejercicio: Encontrar los ponderadores óptimos para conformar el portafolio que le gane
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- los datos de los años 2014 -2015 para realizar un backtesting.
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rtafolio que le gane

adores óptimos, y

Backtesting
Es el proceso de probar una estrategia de operación en períodos anteriores. En lugar de
aplicar una estrategia para el período de tiempo hacia delante, lo que podría llevar años,
un operador puede hacer una simulación de la estrategia de operación con los datos del
pasado con el fin de medir la eficacia.
La mayoría de las estrategias técnicas de análisis se ponen a prueba con este enfoque.

Cuando hace un backtesting de una teoría, los resultados obtenidos son altamente
dependientes de los movimientos del período de prueba. Backtesting una teoría asume
que lo que sucede en el pasado va a pasar en el futuro, y esta suposición puede causar
riesgos potenciales para la estrategia.

Tomado de: http://www.forextips.com/forums/showthread.php?t=348

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