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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 pursue... 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!

    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.

    Stocks: AAPL, SPY
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