Strategy Tester

Strategy Name

Stocks-Bonds Seasonal Rotation

This strategy is a modification of the 'Sell in May and go away' strategy. The idea is to move to bonds from May to October, returning to stock market from November to April. In this backtest, we used only SPY (the SPDR S&P 500 ETF) and TLT (the iShares 20+ Year Treasury Bond ETF) but this strategy can also be applied to other instruments.

Type of Positions

Long

Position Opening

Criteria for Opening a Position:	(ticker(spy) and month(oct)) or (ticker(tlt) and month(may))

Order Execution Model:	Close Prices

Position Closing

Criteria for Closing a Position:	(ticker(spy) and month(may)) or (ticker(tlt) and month(oct))

Order Execution Model:	Close Prices

Backtest Parameters

Initial Capital:	$10,000
Capital at Risk:	100% per trade
Portfolio Max Size:	1 positions
Comm. per Trade:	0.05%
Avg Bid-Ask Spread:	0.1%

Period:

1/1/2023 - 12/31/2023

The backtester displays results for the current year only. Please sign up to view the full report.

Results

Total Profit:

$-927

Total Trades:

Capital Growth:

-9.27%

Profit Trades, % of Total:

50%

Profit Factor: [?]

0.36

Avg Trade Duration, days:

73.5

Payoff Ratio: [?]

0.36

Avg Profit per Trade:

-4.07%

Max Drawdown:

19%

Avg Profit per Day:

-0.055%

Max Drawdown, $:

1,943

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

-0.48

Overall Viability Score: [?]

1 / 10

Avg Annual Return:

-9.27%

CAGR: [?]

Equity Graph

Performance

Year	S&P 500	Equity	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2023	18.75	-9.27					-0.14	0.22	-2.53	-3.11	-7.89	-3.86	8.40

Performed Trades:

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
SPY	10/02/2023	427.31	11/29/2023	456.12	19	530.33	Period End
TLT	05/01/2023	101.32	10/02/2023	86.63	98	-1,457.32	Close Signal

Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.