Strategy
Calculate a simple 200 day moving average using the closing prices of the ETF SPY. If the current price SPY is above the 200 SMA, I will long the security, otherwise, move to cash. This is a simple momentum strategy, but powerful in that it almost completely avoids the 2008 Financial Crisis.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.06 | | Annual Volatility | 0.11 | | Sharp Ratio | 0.53 | | Max Drawdown | -0.23 | | Alpha | 0.04 | | Beta | 0.31 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.2307 | 04-23-2016 | 09-17-2010 | 03/06/2013 | 749 | | 2 | -0.1825 | 07-19-2007 | 07-10-2009 | 10/12/2009 | 583 | | 3 | -0.1242 | 05-21-2015 | 06-27-2016 | Not Recovered | Not Recovered | | 4 | -0.0745 | 01-19-2010 | 02-08-2010 | 03/10/2010 | 37 | | 5 | -0.0709 | 09-18-2014 | 10-13-2014 | 11/11/2014 | 39 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Stress Events| Stress Events | Mean | Min | Max |
|---|
| Lehmann | 0 | 0 | 0 |
| US downgrade/European Debt Crisis | 0 | 0 | 0 |
| Fukushima | 0.001 | -0.019 | 0.015 |
| EZB IR Event | -0.01 | 0.016 | |
| August 2007 | -0.001 | -0.028 | 0.015 |
| March 2008 | 0 | 0 | 0 |
| September 2008 | 0 | 0 | 0 |
| 2009Q1 | 0 | 0 | 0 |
| 2009Q2 | 0 | 0 | 0.014 |
| Flash Crash | -0.003 | -0.034 | 0.044 |
| April 2014 | 0.001 | -0.021 | 0.011 |
| October 2014 | 0.001 | -0.02 | 0.017 |
| Fall 2015 | -0.001 | -0.021 | 0.006 |
| Low Volatility Bull Market | 0 | -0.036 | 0.019 |
| GFC Crash | 0 | -0.029 | 0.029 |
| Recovery | 0 | -0.038 | 0.044 |
| New Normal | 0 | -0.036 | 0.025 |
/* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */
