This strategy modifies the "Sell in May and go away" strategy. The idea is to move to bonds from May to October and return to the 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 trading 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:
1/1/2025 - 12/31/2025
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