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Results

Automated trading backtest

This trading strategy underwent extensive backtesting from the inception of SPY (S&P 500 Index ETF) until today (1993-2023).

Below are the results of the backtest using an automated approach, where entry and exit orders are executed immediately upon a call to action issued by the algorithm at 15:59 EST (one minute before the close of the US Regular trading session).

  • Start Date 29.11.1993
  • End Date 29.12.2023
  • Symbol Name SPY
  • Initial Capital $100 000,00
  • No Commission
  • Trading Period 30 Yrs, 2 Mths, 17 Dys
  • Time in the Market 12 Yrs, 2 Mths, 5 Dys
  • Percent in the Market 40,31%
  • Longest flat period 2 Mths, 20 Dys

Strategy Performance Summary

  • $100K initial deposit has grown to over $5,7 million
  • At the same time Buy & Hold approach made just $926K
  • Around 72% win rate on both long and short trades
  • Realized drawdown was just around 16%
  • Extended backtest of more than 30 years showed resilience

Performance Ratios

Equity Curve

  • Equity curve is smooth, frequently reaching new equity highs
  • Close-to-close drawdowns of only 16% are very manageable

Trades Analysis

  • 839 trades executed over a period of 30+ years
  • Overall high win percentage of 72%
  • Infrequent short trades with a precise 86% win rate

Annual Period Analysis

Since the strategy began in late November 1993, that year can be considered a scratch year. Since then, the strategy has had three losing years: 1994, 2001, and 2018. However, these losses have been moderate compared to the profitable years.

  • Only 3 losing years with manageable, moderate losses
  • Average of 29 trades per year
  • Average of 72% profitable trades per year
  • Average annual profit is 15% (vs 9.63% of the S&P 500 Index)
  • Best year: 2020 with 36.41% gain
  • Worst year: 2001 with -5.50% loss

S&P 500 Index – Historical Annual Data

The table below compares the performance of the S&P 500 Index during the same years. The S&P 500 Index experienced 8 losing years during this period, with losses that were significantly larger than those of the Strategy.

  • S&P 500 Index had 8 losing years since 1993
  • Average annual gain of S&P 500 Index is 9.63%
  • Best year: 1995 with 34.11% gain
  • Worst year: 2008 with -38.49% loss

SP 500 Index Combo Strategy vs S&P 500 Index – comparison diagram

  • This chart, derived from the previous two tables, illustrates a comparison between the cumulative performance of the SP500 Index Combo Strategy and the S&P 500 Index. The chart shows that the strategy has made over 58 times the original deposit, significantly outperforming the Buy & Hold approach of S&P 500 Index over the same period.

Conclusion

The backtest using an automated approach demonstrated the outstanding performance of the strategy. It consistently outperformed the benchmark S&P 500 Index by a significant margin, while effectively controlling risk and equity drawdowns. The strategy’s robustness and resilience make it well-suited to navigate volatile market swings.

You can view live performance statistics or trade it live on Collective2