StockFetcher Forums · General Discussion · SPY Backtesting Dates - Both Up and Down Markets<< >>Post Follow-up
Marco Sicily
20 posts
msg #114190
Ignore Marco Sicily
modified
6/22/2013 5:56:34 PM

For those SF subscribers who have a 4 month limit on backtesting results...

Several up and down markets for the SPY to test filters... Might save you some time.


SPY Backtesting Dates

UP Market

4/1/03 7/1/03
7/1/03 11/1/03
8/1/06 12/1/06
3/1/07 7/1/07
4/1/09 8/1/09
8/1/09 12/1/09
9/1/10 1/1/11
10/1/11 -2/1/12
6/1/12 10/1/12
1/1/13 5/1/13

DOWN Markets

4/1 02 8/1 -02
11/1/07 -3/1/08
6/1/08 10/1/08
11/1/08 4/1/09
5/1/11 9/1/11



Kevin_in_GA
4,553 posts
msg #114195
Ignore Kevin_in_GA
6/22/2013 9:37:06 PM

Good info. Here is how my favorite filter (Pangolin Z) did during those DOWN periods:

4/1/2002 - 8/1/2002

Trade Statistics
There were 47 total stocks entered. Of those, 46 or 97.87% were complete and 1 or 2.13% were open.
Of the 46 completed trades, 32 trades or 69.57% resulted in a net gain.
Your average net change for completed trades was: 1.72%.
The average draw down of your approach was: -6.91%.
The average max profit of your approach was: 4.21%
The Reward/Risk ratio for this approach is: 2.72
Annualized Return on Investment (ROI): 71.13%, the ROI of ^SPX was: -65.77%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $113,648.37. Cash: $92,166.47 Market value of holdings at end: $21,481.90 (paid: $23,534.20)
Realized gain/loss: $16,121.32 ($350.46 per trade.)
Total Commissions Paid: $832.35
Unrealized gain/loss: $-2,052.30.

11/1/2007 - 3/1/2008

Trade Statistics
There were 28 total stocks entered. Of those, 28 or 100.00% were complete and or 0.00% were open.
Of the 28 completed trades, 20 trades or 71.43% resulted in a net gain.
Your average net change for completed trades was: -0.52%.
The average draw down of your approach was: -7.51%.
The average max profit of your approach was: 3.41%
The Reward/Risk ratio for this approach is: 0.82
Annualized Return on Investment (ROI): -18.26%, the ROI of ^SPX was: -42.44%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $96,043.44. Cash: $96,043.44 Market value of holdings at end: $0.00 (paid: $-250.60)
Realized gain/loss: $-3,956.56 ($-141.31 per trade.)
Total Commissions Paid: $501.20
Unrealized gain/loss: $250.60.

6/1/2008 - 10/1/2008

Trade Statistics
There were 40 total stocks entered. Of those, 40 or 100.00% were complete and or 0.00% were open.
Of the 40 completed trades, 25 trades or 62.50% resulted in a net gain.
Your average net change for completed trades was: -0.07%.
The average draw down of your approach was: -6.44%.
The average max profit of your approach was: 3.73%
The Reward/Risk ratio for this approach is: 0.97
Annualized Return on Investment (ROI): -2.69%, the ROI of ^SPX was: -48.74%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $98,262.68. Cash: $98,262.68 Market value of holdings at end: $0.00 (paid: $-358.00)
Realized gain/loss: $-1,737.32 ($-43.43 per trade.)
Total Commissions Paid: $716.00
Unrealized gain/loss: $358.00.

11/1/2008 - 3/1/2009

Trade Statistics
There were total stocks entered. Of those, or 0% were complete and or 0% were open.
Of the completed trades, trades or 0% resulted in a net gain.
Your average net change for completed trades was: 0.00%.
The average draw down of your approach was: 0.00%.
The average max profit of your approach was: 0.00%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 0.00%, the ROI of ^SPX was: -70.63%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $100,000.00. Cash: $100,000.00 Market value of holdings at end: $0.00 (paid: $0.00)
Realized gain/loss: $0.00 ($0.00 per trade.)
Total Commissions Paid: $0.00
Unrealized gain/loss: $0.00.

5/1/2011 - 9/1/2011

There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open.
Of the 34 completed trades, 20 trades or 58.82% resulted in a net gain.
Your average net change for completed trades was: -0.35%.
The average draw down of your approach was: -5.48%.
The average max profit of your approach was: 3.03%
The Reward/Risk ratio for this approach is: 0.84
Annualized Return on Investment (ROI): -11.40%, the ROI of ^SPX was: -32.50%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $96,558.55. Cash: $96,558.55 Market value of holdings at end: $0.00 (paid: $-304.30)
Realized gain/loss: $-3,441.45 ($-101.22 per trade.)
Total Commissions Paid: $608.60
Unrealized gain/loss: $304.30.


StockFetcher Forums · General Discussion · SPY Backtesting Dates - Both Up and Down Markets<< >>Post Follow-up

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