Backtesting: TASC Oct 2022 (Enhanced Version)
This is an experiment with a system I "stole" from TASC Oct. 2022. Using the WL code presented there, I extended it with a long term market filter to reduce drawdowns during market meltdowns in 2015, 2016, 2018, 2020 and 2022. The system can be used in an aggressive mode, which provides higher profits, but also slightly expands drawdowns. The idea behind the aggressive mode would be to use it when the markets are in a clear bull mode (which could be incorporated in a next step). I have tested the system with TQQQ or QLD. QLD is less volatile and therefore has a slightly higher Sharpe Ratio. TQQQ achieves higher profits and higher drawdowns, but still shines with good metrics data.
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.
|Metric||Strategy Results||Benchmark Results (SPY)|
|APR (Annualized % Return)||0.00%||0.00%|
|Number of Positions||0.00%||0.00%|
|Average Profit %||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%|
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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