We include backtest results for eight strategies for traders and investors in various timeframes and markets.
All strategies trade liquid ETFs, and the backtests include $0.01 per share in commissions and slippage. This is just a sample of the Price Action Lab Blog strategies.
The strategies we have developed are based on the following two principles: simplicity and economic value. Simplicity reduces the probability of overfitting and data-mining bias. Economic value is necessary in the form of reasonable alpha and risk-adjusted returns.
Monthly Strategies
TFD3M
TFD3M invests in SPY and TLT ETFs long-only, using market timing. This strategy is not for sale, but it is one of the six in our Weekly Market Signals ensemble. The Sharpe value of this strategy has been about 1, and it has generated 34 trades since 2003. The maximum drawdown has been 12.3%, and beta with the market is low, about 0.23.
CSMOM
CSMOM is one of the two strategies we use for monthly hybrid asset allocation signals. This strategy is not for sale. This strategy has a Sharpe of approximately 1, and it has generated 150 trades using long-only asset ETFs since 2001. The maximum drawdown has been less than 12%, and beta with the market is low, about 0.16. The strategy has generated 150 trades in the backtest period.
DMSR
DMSR applies 2x leverage to the cross-sectional momentum of long-only sector ETFs. This strategy is part of the High Alpha package, and it is for sale. Since 2008, the annualized return has been 19.3%, and Sharpe is about 0.80. The strategy has produced 154 returns during the backtest period.
Weekly Strategies
ETFNRW
ETFNRW invests in long-only asset ETFs with cross-sectional momentum. This strategy is not for sale, but it is one of the six in our Weekly Market Signals ensemble. This strategy has a Sharpe of approximately 0.9 and has generated 258 trades since 2008. The maximum drawdown has been less than 11%, and beta with the market is low, about 0.16.
Daily Strategies
MRPSI5
MRPSI5 trades the SPY and QQQ ETFs long-only in convergent mode with our PSI5 algo. The strategy is not for sale, but we offer the daily signals via a subscription. Since 2003, the annualized return, maximum drawdown, and Sharpe have been 10%, -27.7%, and 0.75, respectively. You can use leveraged ETFs like SPXL and TQQQ instead of SPY and QQQ to significantly boost expected returns, albeit at higher volatility. The strategy has generated 1214 trades in the backtest period.
MRETFLS
MRETFLS is a mean-reversion long-short strategy for SPY, QQQ, and TLT ETFs. Although the annualized return and Sharpe are not high, we like this strategy because its correlation with the market is close to zero. The strategy has generated 1104 trades in the backtest period. The strategy bundle includes this strategy for sale.
ETFMO
ETFMO is a seasonality strategy that trades a leveraged ETF long-only. Since 2010, this strategy has not experienced any annual losses and has executed 177 trades. The Sharpe ratio stands at approximately 0.86, showing no correlation with the market. The strategy bundle includes this strategy for sale.
MRMOM
MRMOM combines mean-reversion and momentum with regime switching. It trades four liquid ETFs, long-only. The strategy has a high annualized return, a low maximum drawdown, and Sharpe higher than 1. It has generated 1546 trades in the backtest period. The strategy bundle includes this strategy for sale.
For more information, contact us.
Disclaimer: The strategies are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness of any particular purposes of any strategy. Under no circumstances, the strategies should be treated as financial advice. Please read our Disclaimer and Terms and Conditions.
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.
