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.
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.
