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Backtested S&P 500 stock market timing signals
1996 - 2006
Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, brokers commissions, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results.
Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown.
Equity curve graph:
Ulcer index & Drawdown
Trading strategy backtest and curve fitting
While developing this stock market timing strategy we used ten years of stock market data for the strategy backtest. The fact that we used such a long back-testing period means curve fitting the system to a specific type of market behavior is not an option. The 10-year test period is a good choice, because it shows how the timing system handled a large number of trades in a variety of market conditions - including, for example, advances, declines, chop, and drift. During the initial test period from 1996 to 2006, we had a little of everything, including strong bull markets, prolonged sideways markets, a three-year-long bear market/crash, war, terrorist activity, changes in interest-rates, mixed economic reports, and presidential elections.
Of course, there are no guarantees in trading. The system might not perform equally well in real life trading. The past performance of any stock trading systems or stock market timing strategies is not necessarily indicative of future performance.
1996 - 2006
Disclaimer: Backtested, simulated or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. There are numerous factors related to the stock market in general and to the implementation of any stock market timing program, which cannot be fully accounted for in the preparation of hypothetical performance results. The backtested results listed here do not take into consideration slippage, brokers commissions, fees, taxes, or dividends and interest earned on cash positions. These factors would affect actual trading results.
Simulated, backtested or hypothetical stock trading systems in general are also subject to the fact that they are designed with the benefit of hindsight. Backtested performance does not represent actual performance and should not be interpreted as an indication of such performance. No representation is being made that you will or is likely to achieve profits or losses similar to these being shown.
Equity curve graph:
Ulcer index & Drawdown
Trading strategy backtest and curve fitting
While developing this stock market timing strategy we used ten years of stock market data for the strategy backtest. The fact that we used such a long back-testing period means curve fitting the system to a specific type of market behavior is not an option. The 10-year test period is a good choice, because it shows how the timing system handled a large number of trades in a variety of market conditions - including, for example, advances, declines, chop, and drift. During the initial test period from 1996 to 2006, we had a little of everything, including strong bull markets, prolonged sideways markets, a three-year-long bear market/crash, war, terrorist activity, changes in interest-rates, mixed economic reports, and presidential elections.
Of course, there are no guarantees in trading. The system might not perform equally well in real life trading. The past performance of any stock trading systems or stock market timing strategies is not necessarily indicative of future performance.
Account equity (trading system profit) is portrayed as the solid green area of the graph. Equity changes over time as the trading system positions gain or lose value. Profitable areas of the graph are filled in green, while red areas signify losses. The Buy-and-Hold profit curve is overlaid as a blue line. The linear regression line, which is magenta in color, is calculated by performing a linear regression of the account equity.
Notice how the Trend-Chart™ stock market timing strategy (green line) were able to avoid losses and grow capital during the bear market years between 2000-2002, while Buy-and-Hold investors (blue line) lost a lot of money.
Notice how the Trend-Chart™ stock market timing strategy (green line) were able to avoid losses and grow capital during the bear market years between 2000-2002, while Buy-and-Hold investors (blue line) lost a lot of money.
The ulcer index is a mathematical measure of risk of an investment asset, or a stock trading strategy. It's designed as a measure of volatility, but only volatility in the downward direction.
The measurement includes every drop in performance in the period being studied. Funds or stock trading systems with high ulcer-index readings should be avoided. Traders are advised to pick investments with low ulcer index values.
The measurement includes every drop in performance in the period being studied. Funds or stock trading systems with high ulcer-index readings should be avoided. Traders are advised to pick investments with low ulcer index values.
© 2006 by Ronny Skog Invest · All Rights reserved · E-mail: support@trend-chart.com
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The underwater equity curve displays equity drawdown on a walk-forward basis. The percentage of drawdown is with respect to maximum equity achieved up to that point in time.
The depth of the current drawdown is displayed on a bar-by-bar basis, covering the complete period of the historical simulation.
The depth of the current drawdown is displayed on a bar-by-bar basis, covering the complete period of the historical simulation.