Strategy Backtester
Backtesting: Mystical End Of Month
Author: vk
This strategy is based on the idea by Norman Fosback from the 1970's: the stock market is generally bullish at the beginning and end of each month. It buys X market days before the end of the month and sells Y market days after the start of the following month. I publish it with the QLD, it works on mostly all US index ETFs. (that what I tested) Try it yourself. I usee 99% of the portfolio value. While I was doing it, I discovered something really interesting... I reduce the position size here on the website to 95%. Want to know why?
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Data Range & Scale
The Web Backtester currently uses a Data Range of 10 years of daily data. We'll offer more options here in a future update.
Position Sizing
Starting Capital
Benchmark Symbol
Margin Factor
Sizing Method
Metric Strategy Results Benchmark Results (SPY)
Starting Capital 0.00 0.00
Profit 0.00 0.00
Profit % 0.00% 0.00%
APR (Annualized % Return) 0.00% 0.00%
Exposure % 0.00% 0.00%
Sharpe Ratio 0.00% 0.00%
WealthLab Score 0.00% 0.00%
Number of Positions 0.00% 0.00%
Average Profit % 0.00% 0.00%
Profit Factor 0.00% 0.00%
Payoff Ratio 0.00% 0.00%
Average Bars Held 0.00% 0.00%
NSF (Non-Sufficient Funds) Position Count 0.00% 0.00%
Maximum Drawdown 0.00% 0.00%
Maximum Drawdown % 0.00% 0.00%
Recovery Factor 0.00% 0.00%
Win % 0.00% 0.00%
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
The most recent 100 Positions out of 1,234 total are presented here.
Symbol Position Quantity Entry Date Entry Price Exit Date Exit Price Bars Held Profit Profit %
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