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Strategy Name Stocks-Bonds Seasonal Rotation
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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.
Position Type Long
 Strategy Definition 
Criteria for Opening a Position: (ticker(spy) and month(oct)) or (ticker(tlt) and month(may))
Criteria for Closing a Position: (ticker(spy) and month(may)) or (ticker(tlt) and month(oct))
 Backtest Parameters 
Initial Capital: $10,000
Capital at Risk: 100% per trade
Portfolio Max Size: 1 positions
Testing Model: Close prices
Comm. per Trade: 0.1%  
Period: 1/1/2019 - 12/31/2019
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $2,554   Total Trades: 2  
Capital Growth:26%   Profit Trades, % of Total:100%  
Profit Factor: [?] 0.00  Max Drawdown0%($0)  
Expected Payoff: [?] $1,277.15  Abs Drawdown0%($0)  
Payoff Ratio: [?] 0.00  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: 25.54%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2019 25.54 6.35 0.94 0.26 10.97 -2.67 3.50 3.56 0.75
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 SPY 10/01/2019 293.24 12/13/2019 317.32 39 915.31  Period End Minor
 TLT 05/01/2019 122.51 10/01/2019 143.01 81 1,638.99  Close Signal Minor



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