June 2020.
This strategy shows the algorithm applied on Nasdaq 100 Stocks. The buy/sell algorithm is the same of S&P 500 but the money managment algorithm has a difference: stocks are traded by the same weigth. So Nasdaq 100 Index is also built in equal weigthed way to show the real difference between Index and Strategy. The real comparison between Index and strategy is to adopt a money managment with reinvested gains but, to show what would happen to an investment starting at any time, I report also a money managment method without gains reinvested. In this last case it is possible to verify how much an investment could gain by starting at any time with the same 10 initial USD milions. The report for both backtest parameters are the same and they are shown here:
- Commission: 40 $ per trade (Buy + Sell)
- Slippage: 0,10% per trade
- Initial Capital 10 mln $ (10.000.000 $)
- Time in the Market 99,91%
- Trading Period 23 years 9 months
Equity Line (Gains reinvested).
Equity Line (Gains not reinvested).
In this case, with a no gains reinvested method, I report also the summary details of the backtest. Annual percentage returns are to be intended as a simple rent; to obtain the compound annuity it is necessary to raise the simple annuity to a power by the number of years (e.g. 16,4% for 4 years is 1,164^4 = 1,835 = 83.5%).
Nasdaq 100 Index (not weighted).
The Index is shown with the same aspect as the equity line to notice the difference between drawdowns:
Nasdaq Index Equity 1 Equity 2
- October 2002 52% 34% 38%
- March 2009 46% 36% 42%
- March 2020 30% 34% 42%
During greatest drawdowns Equities are 2/3 times better; in all cases they reached new higher gains before the Index. During uptrend Market periods Equities are stronger except during the last uptrend (2016-2020). In total, in 23 years and 9 months, the strategy has gained over an half more than the Index.