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Michael Le
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I am a Economics Student at Portland State University. I am also the President and Market Research Analyst of the PDX Investment Club which has changed to the PDX Financial Literacy Group as of 7/2014. I am interested in Heterodox based crisis theory, and market/economic cycles. I hope to... More
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Portland State Financial Literacy Group
  • A Strategy For Recessions  0 comments
    Aug 2, 2014 3:35 AM | about stocks: AAPL, SPY

    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!

    DatePositionSignalStockAdj PriceAdj SharesValueP/L
    2005-02-281BuyAAPL43.12231.79993NA
    2005-03-091Stop LongAAPL37.82231.78757.73-1242.27
    2005-03-311ShortAAPL40.05218.58750.73NA
    2005-05-191Stop ShortAAPL36.09218.59608.97851.24
    2005-06-101BuyAAPL34.422799601.97NA
    2005-09-261Long TargetAAPL51.7527914429.444820.46
    2005-10-121BuyAAPL47.34304.714422.44NA
    2005-11-101SellAAPL58.8304.717906.83477.36
    2006-02-061BuyAAPL64.69276.717899.8NA
    2006-03-091Stop LongAAPL61.45276.716996.29-910.51
    2006-03-101BuyAAPL60.74279.716989.29NA
    2006-03-231Stop LongAAPL57.82279.716165.55-830.74
    2006-03-271ShortAAPL57.2282.516158.55NA
    2006-04-051Stop ShortAAPL64.6282.514061.11-2104.44
    2006-04-271BuyAAPL66.67210.814054.11NA
    2006-05-181Stop LongAAPL60.73210.812794.95-1266.16
    2006-06-121BuyAAPL54.79233.412787.95NA
    2006-07-121Stop LongAAPL50.9233.411873.02-921.92
    2006-07-131BuyAAPL50.22236.311866.02NA
    2006-10-191Long TargetAAPL75.92236.317931.446058.42
    2006-12-181BuyAAPL82.15218.217924.44NA
    2007-01-221Stop LongAAPL83.42218.218194.55263.1
    2007-03-161BuyAAPL86.11211.218187.55NA
    2007-07-131Long TargetAAPL132.38211.227953.379758.82
    2007-08-091BuyAAPL121.4823027946.37NA
    2007-10-311Long TargetAAPL182.5723041993.0714039.7
    2007-11-091BuyAAPL158.95264.141986.07NA
    2008-01-071Stop LongAAPL170.74264.145093.363100.29
    2008-01-081BuyAAPL164.6273.945086.36NA
    2008-01-161Stop LongAAPL153.44273.942022.47-3070.89
    2008-01-231BuyAAPL133.67314.342015.47NA
    2008-02-061Stop LongAAPL117.26314.336850.44-5172.03
    2008-02-111ShortAAPL124.42296.136843.44NA
    2008-03-181Stop ShortAAPL127.66296.135877.01-973.43
    2008-03-311BuyAAPL137.93260.135870.01NA
    2008-06-261Stop LongAAPL161.72260.142049.826172.82
    2008-07-181BuyAAPL158.73264.942042.82NA
    2008-07-241SellAAPL152.85264.940478.39-1571.44
    2008-07-281BuyAAPL148.4272.740471.39NA
    2008-09-041Stop LongAAPL154.96272.742253.421775.03
    2008-09-051BuyAAPL153.96274.442246.42NA
    2008-09-151Stop LongAAPL134.91274.437012.12-5241.29
    2008-09-161BuyAAPL134.45275.237005.12NA
    2008-09-291Stop LongAAPL101.17275.227838.36-9173.77
    2008-10-021BuyAAPL96.21289.327831.36NA
    2008-10-071Stop LongAAPL85.7289.324784.05-3054.3
    2008-11-201BuyAAPL77.36320.324777.05NA
    2008-12-171Stop LongAAPL85.7320.327441.212657.16
    2008-12-221BuyAAPL82.41332.927434.21NA
    2009-01-151Stop LongAAPL80.14332.926671.53-769.68
    2009-01-201BuyAAPL75.16354.826664.53NA
    2009-02-191Stop LongAAPL87.12354.830900.584229.05
    2009-02-231BuyAAPL83.57369.730893.58NA
    2009-05-041Long TargetAAPL126.94369.746919.316018.72
    2009-12-041BuyAAPL185.81252.546912.3NA
    2010-01-291Stop LongAAPL184.6252.546599.81-319.49
    2010-02-011BuyAAPL187.17248.946592.81NA
    2010-05-071Stop LongAAPL226.7248.956426.139826.33
    2010-05-201BuyAAPL228.52246.956419.13NA
    2010-07-191Stop LongAAPL236.04246.958268.741842.61
    2010-08-131BuyAAPL239.42243.358261.74NA
    2011-06-101Stop LongAAPL313.24243.376218.4917949.75
    2011-06-131BuyAAPL313.91242.876211.49NA
    2011-08-081Stop LongAAPL339.49242.882414.846196.35
    2011-08-191BuyAAPL342.2240.882407.84NA
    2011-10-071Stop LongAAPL355.43240.885586.863172.02
    2011-11-101BuyAAPL370.26231.185579.86NA
    2012-03-141Long TargetAAPL566.68231.1130972.345385.44
    2012-04-161BuyAAPL557.59234.9130965.3NA
    2012-05-161Stop LongAAPL524.87234.9123273.11-7699.19
    2012-05-171BuyAAPL509.53241.9123266.11NA
    2012-10-111Stop LongAAPL606.29241.9146667.4123394.3
    2012-10-191BuyAAPL588.67249.1146660.41NA
    2012-11-071Stop LongAAPL541.09249.1134799.39-11868.01
    2012-11-081BuyAAPL521.45258.5134792.39NA
    2012-12-101Stop LongAAPL513.76258.5132797.56-2001.83
    2012-12-141BuyAAPL494.34268.6132790.56NA
    Start Value$10000End Value$138619.66Winning Trades20Losing Trades18Winning Per.52.6%
    Total Return1286.2%Annualized Return (For Days Position On)60%Max Drawdown51.2%S&P Ann. Ret2.8%Total Commissions$539
    Avg Daily Strategy Ret0.211%Avg S&P Daily Ret0.019%Avg Daily Buy-Hold Stock Ret0.168%Reject S&P Avg Ret = Strategy Avg Ret with:91.2% confidenceReject 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.

    Stocks: AAPL, SPY
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