This is a simple strategy for trading Dow 30 stocks with no parameters to optimize and no filters. The strategy has outperformed SPY ETF annualized return since inception by a wide margin and has Sharpe of 1.
For all backtests in this article we used Norgate data for Dow 30 index that include current and past constituents. We highly recommend this data service (we do not have a referral arrangement with the company.)
Timeframe: Daily (adjusted data)
Index: Dow 30 (current and past constituents)
Strategy type: Long-only mean-reversion
Maximum positions: 10
Position size: equity/10
All trades are executed at the open of the next bar
Backtest range: 01/29/1993 –07/02/2021
- The length of the backtest matches the history of SPY ETF to have a fair comparison.
- The strategy has no parameters and no price action filers.
Equity curve (green) and comparison to SPY total return (red)
|STRATEGY||SPY BUY AND HOLD|
|AVG. BARS IN TRADE||6.9||–|
Strategy CAGR is 18.2% versus 10.4% for buy and hold. Maximum drawdown of the strategy is -30.5% versus -55.2% for buy and hold. Sharpe of the strategy is 1.04 versus 0.56 for buy and hold.
Average holding period is 6.9 days and exposure is 40.6%. The strategy has generated more than 10,000 trades in the test period.
The description of this strategy is available separately or as part of a bundle of four strategies. Contact us for more details and price. Instructions for unlocking the restricted content below are emailed after payment is received.
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data