This strategy backtested with AAPL gave me returns of 1286.2% compared to buying and holding which would have yielded a return of 582.21% from the beginning of 2005 to the end of 2012. Of course AAPL was an impressive stock, but what could make it more impressive is doubling AAPL's hold and forget return from 2005 to 2012.
The buy signals are
1. 20 sma crosses above 50 sma
2. Close price is at most 1% above lower bollinger band
3. 100 sma crosses above 200 sma
The only short signal was
1. 50 sma crosses below the 100 sma
This is all with a trailing 10% stoploss and a 50% t/p goal.
NOTE: Backtesting this strategy with SPY yielded an annual return of 6.2 % from 2005 to 2012 compared with the buy and hold yield of 2.8%. That's over 100% increase in returns.
I would like to add that backtesting is only with historical data and does not serve to fully predict any future price movements.
Happy investing and happy living!
Date | Position | Signal | Stock | Adj Price | Adj Shares | Value | P/L |
2005-02-28 | 1 | Buy | AAPL | 43.12 | 231.7 | 9993 | NA |
2005-03-09 | 1 | Stop Long | AAPL | 37.82 | 231.7 | 8757.73 | -1242.27 |
2005-03-31 | 1 | Short | AAPL | 40.05 | 218.5 | 8750.73 | NA |
2005-05-19 | 1 | Stop Short | AAPL | 36.09 | 218.5 | 9608.97 | 851.24 |
2005-06-10 | 1 | Buy | AAPL | 34.42 | 279 | 9601.97 | NA |
2005-09-26 | 1 | Long Target | AAPL | 51.75 | 279 | 14429.44 | 4820.46 |
2005-10-12 | 1 | Buy | AAPL | 47.34 | 304.7 | 14422.44 | NA |
2005-11-10 | 1 | Sell | AAPL | 58.8 | 304.7 | 17906.8 | 3477.36 |
2006-02-06 | 1 | Buy | AAPL | 64.69 | 276.7 | 17899.8 | NA |
2006-03-09 | 1 | Stop Long | AAPL | 61.45 | 276.7 | 16996.29 | -910.51 |
2006-03-10 | 1 | Buy | AAPL | 60.74 | 279.7 | 16989.29 | NA |
2006-03-23 | 1 | Stop Long | AAPL | 57.82 | 279.7 | 16165.55 | -830.74 |
2006-03-27 | 1 | Short | AAPL | 57.2 | 282.5 | 16158.55 | NA |
2006-04-05 | 1 | Stop Short | AAPL | 64.6 | 282.5 | 14061.11 | -2104.44 |
2006-04-27 | 1 | Buy | AAPL | 66.67 | 210.8 | 14054.11 | NA |
2006-05-18 | 1 | Stop Long | AAPL | 60.73 | 210.8 | 12794.95 | -1266.16 |
2006-06-12 | 1 | Buy | AAPL | 54.79 | 233.4 | 12787.95 | NA |
2006-07-12 | 1 | Stop Long | AAPL | 50.9 | 233.4 | 11873.02 | -921.92 |
2006-07-13 | 1 | Buy | AAPL | 50.22 | 236.3 | 11866.02 | NA |
2006-10-19 | 1 | Long Target | AAPL | 75.92 | 236.3 | 17931.44 | 6058.42 |
2006-12-18 | 1 | Buy | AAPL | 82.15 | 218.2 | 17924.44 | NA |
2007-01-22 | 1 | Stop Long | AAPL | 83.42 | 218.2 | 18194.55 | 263.1 |
2007-03-16 | 1 | Buy | AAPL | 86.11 | 211.2 | 18187.55 | NA |
2007-07-13 | 1 | Long Target | AAPL | 132.38 | 211.2 | 27953.37 | 9758.82 |
2007-08-09 | 1 | Buy | AAPL | 121.48 | 230 | 27946.37 | NA |
2007-10-31 | 1 | Long Target | AAPL | 182.57 | 230 | 41993.07 | 14039.7 |
2007-11-09 | 1 | Buy | AAPL | 158.95 | 264.1 | 41986.07 | NA |
2008-01-07 | 1 | Stop Long | AAPL | 170.74 | 264.1 | 45093.36 | 3100.29 |
2008-01-08 | 1 | Buy | AAPL | 164.6 | 273.9 | 45086.36 | NA |
2008-01-16 | 1 | Stop Long | AAPL | 153.44 | 273.9 | 42022.47 | -3070.89 |
2008-01-23 | 1 | Buy | AAPL | 133.67 | 314.3 | 42015.47 | NA |
2008-02-06 | 1 | Stop Long | AAPL | 117.26 | 314.3 | 36850.44 | -5172.03 |
2008-02-11 | 1 | Short | AAPL | 124.42 | 296.1 | 36843.44 | NA |
2008-03-18 | 1 | Stop Short | AAPL | 127.66 | 296.1 | 35877.01 | -973.43 |
2008-03-31 | 1 | Buy | AAPL | 137.93 | 260.1 | 35870.01 | NA |
2008-06-26 | 1 | Stop Long | AAPL | 161.72 | 260.1 | 42049.82 | 6172.82 |
2008-07-18 | 1 | Buy | AAPL | 158.73 | 264.9 | 42042.82 | NA |
2008-07-24 | 1 | Sell | AAPL | 152.85 | 264.9 | 40478.39 | -1571.44 |
2008-07-28 | 1 | Buy | AAPL | 148.4 | 272.7 | 40471.39 | NA |
2008-09-04 | 1 | Stop Long | AAPL | 154.96 | 272.7 | 42253.42 | 1775.03 |
2008-09-05 | 1 | Buy | AAPL | 153.96 | 274.4 | 42246.42 | NA |
2008-09-15 | 1 | Stop Long | AAPL | 134.91 | 274.4 | 37012.12 | -5241.29 |
2008-09-16 | 1 | Buy | AAPL | 134.45 | 275.2 | 37005.12 | NA |
2008-09-29 | 1 | Stop Long | AAPL | 101.17 | 275.2 | 27838.36 | -9173.77 |
2008-10-02 | 1 | Buy | AAPL | 96.21 | 289.3 | 27831.36 | NA |
2008-10-07 | 1 | Stop Long | AAPL | 85.7 | 289.3 | 24784.05 | -3054.3 |
2008-11-20 | 1 | Buy | AAPL | 77.36 | 320.3 | 24777.05 | NA |
2008-12-17 | 1 | Stop Long | AAPL | 85.7 | 320.3 | 27441.21 | 2657.16 |
2008-12-22 | 1 | Buy | AAPL | 82.41 | 332.9 | 27434.21 | NA |
2009-01-15 | 1 | Stop Long | AAPL | 80.14 | 332.9 | 26671.53 | -769.68 |
2009-01-20 | 1 | Buy | AAPL | 75.16 | 354.8 | 26664.53 | NA |
2009-02-19 | 1 | Stop Long | AAPL | 87.12 | 354.8 | 30900.58 | 4229.05 |
2009-02-23 | 1 | Buy | AAPL | 83.57 | 369.7 | 30893.58 | NA |
2009-05-04 | 1 | Long Target | AAPL | 126.94 | 369.7 | 46919.3 | 16018.72 |
2009-12-04 | 1 | Buy | AAPL | 185.81 | 252.5 | 46912.3 | NA |
2010-01-29 | 1 | Stop Long | AAPL | 184.6 | 252.5 | 46599.81 | -319.49 |
2010-02-01 | 1 | Buy | AAPL | 187.17 | 248.9 | 46592.81 | NA |
2010-05-07 | 1 | Stop Long | AAPL | 226.7 | 248.9 | 56426.13 | 9826.33 |
2010-05-20 | 1 | Buy | AAPL | 228.52 | 246.9 | 56419.13 | NA |
2010-07-19 | 1 | Stop Long | AAPL | 236.04 | 246.9 | 58268.74 | 1842.61 |
2010-08-13 | 1 | Buy | AAPL | 239.42 | 243.3 | 58261.74 | NA |
2011-06-10 | 1 | Stop Long | AAPL | 313.24 | 243.3 | 76218.49 | 17949.75 |
2011-06-13 | 1 | Buy | AAPL | 313.91 | 242.8 | 76211.49 | NA |
2011-08-08 | 1 | Stop Long | AAPL | 339.49 | 242.8 | 82414.84 | 6196.35 |
2011-08-19 | 1 | Buy | AAPL | 342.2 | 240.8 | 82407.84 | NA |
2011-10-07 | 1 | Stop Long | AAPL | 355.43 | 240.8 | 85586.86 | 3172.02 |
2011-11-10 | 1 | Buy | AAPL | 370.26 | 231.1 | 85579.86 | NA |
2012-03-14 | 1 | Long Target | AAPL | 566.68 | 231.1 | 130972.3 | 45385.44 |
2012-04-16 | 1 | Buy | AAPL | 557.59 | 234.9 | 130965.3 | NA |
2012-05-16 | 1 | Stop Long | AAPL | 524.87 | 234.9 | 123273.11 | -7699.19 |
2012-05-17 | 1 | Buy | AAPL | 509.53 | 241.9 | 123266.11 | NA |
2012-10-11 | 1 | Stop Long | AAPL | 606.29 | 241.9 | 146667.41 | 23394.3 |
2012-10-19 | 1 | Buy | AAPL | 588.67 | 249.1 | 146660.41 | NA |
2012-11-07 | 1 | Stop Long | AAPL | 541.09 | 249.1 | 134799.39 | -11868.01 |
2012-11-08 | 1 | Buy | AAPL | 521.45 | 258.5 | 134792.39 | NA |
2012-12-10 | 1 | Stop Long | AAPL | 513.76 | 258.5 | 132797.56 | -2001.83 |
2012-12-14 | 1 | Buy | AAPL | 494.34 | 268.6 | 132790.56 | NA |
Start Value | $10000 | End Value | $138619.66 | Winning Trades | 20 | Losing Trades | 18 | Winning Per. | 52.6% |
Total Return | 1286.2% | Annualized Return (For Days Position On) | 60% | Max Drawdown | 51.2% | S&P Ann. Ret | 2.8% | Total Commissions | $539 |
Avg Daily Strategy Ret | 0.211% | Avg S&P Daily Ret | 0.019% | Avg Daily Buy-Hold Stock Ret | 0.168% | Reject S&P Avg Ret = Strategy Avg Ret with: | 91.2% confidence | Reject Buy and Hold Avg Ret = Strategy Avg Ret with: | 44.6% confidence |
Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.