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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.
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: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-184   Total Trades: 1  
Capital Growth:-1.84%   Profit Trades, % of Total:0%  
Profit Factor: [?] 0.00  Avg Trade Duration, days:104  
Payoff Ratio: [?] 0.00   Avg Profit per Trade:-1.85%  
Max Drawdown:5%   Avg Profit per Day:-0.018%  
Restoration Factor: [?] -0.37   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: -1.84%   Overall Viability Score: [?]
3 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 -1.84 -2.57 0.21 4.27 -5.11 1.62
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 TLT 05/01/2020 167.95 09/29/2020 165.17 59 -183.59  Period End Minor

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.



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