February, 2021.
In this article I report the backtest of the algorithms working on the 152 biggest Stocks of S&P 500 Index, from 23rd of October 2018 to 11th of February 2021. Data from Interactive Brokers, the same broker of realtime trading.
Net final result is +38.47% (25.8% on yearly basis) vs 32.78% of S&P500 Index. Max Drawdown was 39% vs 36% of S&P500 Index.
Performance from bottom (March, 2020) to top (Febraury, 2021) is 110% vs 79% of S&P500 Index.
Parameters are always the same:
- Commission: 40 $ per trade (Buy + Sell)
- Slippage: 0,10% per trade
- Initial Capital 10 mln $ (10.000.000 $)
- Time in the Market 98,81%
- Starting Trading Period. October, 23rd 2018
- Ending Trading Period. February, 11th 2021
- Trading Period: 2 years, 3 Months, 24 Days
Graph and Summary:
Symbols traded with each result:
