SPY Signals Equity

SPDR S&P 500 (SPY) Signals-Daily

These SPDR S&P 500 (SPY) signals traded as directed would have performed around 2.5 times better than buy-hold with an ROI of 98% for the period 16-Aug-16 to 19-Sep-18

SPDR S&P 500 (SPY) Signals

The SPDR S&P 500 (SPY) signals were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the SPDR S&P 500 (SPY) signals

For the 528 day (2.1 year) period from Aug 16 2016 to Sep 19 2018, these signals for SPDR S&P 500 (SPY) traded both long and short would have yielded $9,780 in profits from a $10,000 initial investment, an annualized return of 38.6%. Traded long only (no short selling) the signals would have returned $6,906, an annualized return of 28.5%. 87.7% of time was spent holding stock long. The return would have been $3,914 (an annualized return of 17.1%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 25 buy signals and 32 sell signals for this particular SPY strategy .These led to 9 round trip long trades of which 8 were profitable, and 8 short trades of which 7 were profitable. This is a daily strategy--daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 4% for long-short and 4% for long only. This compares to 10% for buy-hold. The reward/risk for the trading long and short was 4.33 compared to 1.15 for buy-hold, a factor of 3.8 improvement. If traded long only, the reward/risk was 3.21. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 8 dividends.

Microsoft (MSFT) Signals Equity

Microsoft (MSFT) Signals-Daily

These Microsoft (MSFT) signals traded as directed would have performed around 3.4 times better than buy-hold with an ROI of 350% for the period 16-Aug-16 to 19-Sep-18

Microsoft (MSFT) Signals

The above trading signals for Microsoft (MSFT) were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Microsoft (MSFT) signals

For the 528 day (2.1 year) period from Aug 16 2016 to Sep 19 2018, these signals for Microsoft (MSFT) traded both long and short would have yielded $34,970 in profits from a $10,000 initial investment, an annualized return of 105.2%. Traded long only (no short selling) the signals would have returned $20,123, an annualized return of 69.4%. 66.3% of time was spent holding stock long. The return would have been $10,335 (an annualized return of 40.4%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 375 buy signals and 87 sell signals for this particular MSFT strategy .These led to 61 round trip long trades of which 50 were profitable, and 60 short trades of which 38 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 7% for long-short and 5% for long only. This compares to 9% for buy-hold. The reward/risk for the trading long and short was 9.02 compared to 2.80 for buy-hold, a factor of 3.2 improvement. If traded long only, the reward/risk was 7.18. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Micron (MU) Signals Equity

Micron (MU) Signals-Daily

These Micron (MU) signals traded as directed would have performed around 7.3 times better than buy-hold with an ROI of 1379% for the period 16-Aug-16 to 19-Sep-18

MU Trading Signals Daily

The Micron (MU) signals were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Micron (MU) Signals

For the 528 day (2.1 year) period from Aug 16 2016 to Sep 19 2018, these signals for Micron (MU) traded both long and short would have yielded $137,905 in profits from a $10,000 initial investment, an annualized return of 262.5%. Traded long only (no short selling) the signals would have returned $55,659, an annualized return of 145.9%. 63.6% of time was spent holding stock long. The return would have been $18,979 (an annualized return of 66.3%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 282 buy signals and 252 sell signals for this particular MU strategy .These led to 116 round trip long trades of which 70 were profitable, and 117 short trades of which 71 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 15% for long-short and 18% for long only. This compares to 35% for buy-hold. The reward/risk for the trading long and short was 13.29 vs. 1.65 for buy-hold, an improvement factor of around 8.1 If traded long only, the reward/risk was 6.34. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

NFLX Signals Daily Equity

Netflix (NFLX) Signals-Daily

These Netflix (NFLX) signals traded as directed would have performed around 4.6 times better than buy-hold with an ROI of 1291% for the period 15-Aug-16 to 18-Sep-18

NFLX Signals Daily

These trading signals for NFLX were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns

For the 528 day (2.1 year) period from Aug 15 2016 to Sep 18 2018, these signals for Netflix (NFLX) traded both long and short would have yielded $129,107 in profits from a $10,000 initial investment, an annualized return of 252.1%. Traded long only (no short selling) the signals would have returned $64,042, an annualized return of 160.4%. 79.4% of time was spent holding stock long. The return would have been $27,969 (an annualized return of 89.2%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 65 buy signals and 36 sell signals for this particular NFLX strategy .These led to 22 round trip long trades of which 15 were profitable, and 21 short trades of which 18 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 15% for long-short and 14% for long only. This compares to 25% for buy-hold. The reward/risk for the trading long and short was 12.36 vs. 2.94 for buy-hold, an improvement factor of around 4.2 If traded long only, the reward/risk was 8.44. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

DUST Signals Equity

Direxion Daily Gold Miners Bear 3X ETF (DUST) Signals-Daily

These Direxion Daily Gold Miners Bear 3X ETF (DUST) signals traded as directed would have performed around 117.8 times better than buy-hold with an ROI of 9504% for the period 11-Aug-16 to 14-Sep-18

DUST Signals Daily

These trading signals for DUST were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns

For the 528 day (2.1 year) period from Aug 11 2016 to Sep 14 2018, these signals for Direxion Daily Gold Miners Bear 3X ETF (DUST) traded both long and short would have yielded $950,426 in profits from a $10,000 initial investment, an annualized return of 786.7%. Traded long only (no short selling) the signals would have returned $151,215, an annualized return of 277.8%. 39.4% of time was spent holding stock long. The return would have been $8,065 (an annualized return of 32.7%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 111 buy signals and 46 sell signals for this particular DUST strategy .These led to 26 round trip long trades of which 22 were profitable, and 26 short trades of which 19 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 55% for long-short and 34% for long only. This compares to 73% for buy-hold. The reward/risk for the trading long and short was 13.03 vs. 0.42 for buy-hold, an improvement factor of around 31.0 If traded long only, the reward/risk was 7.21. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

NUGT Signals Equity

Direxion Daily Gold Miners (NUGT) Signals-Daily

These Direxion Daily Gold Miners (NUGT) signals traded as directed would have performed around 86.8 times better than short-hold with an ROI of 7930% for the period 11-Aug-16 to 14-Sep-18.

NUGT Signals Daily

These trading signals for NUGT were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns

For the 528 day (2.1 year) period from Aug 11 2016 to Sep 14 2018, these signals for Direxion Daily Gold Miners (NUGT) traded both long and short would have yielded $793,045 in profits from a $10,000 initial investment, an annualized return of 714.0%. Traded long only (no short selling) the signals would have returned $30,185, an annualized return of 94.4%. 37.2% of time was spent holding stock long. The return would have been -$9,133 (an annualized return of -68.9%) if you had bought and held the stock for the same period. The signals would have returned $174,580 (303% annualized return) if traded short only.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 292 buy signals and 453 sell signals for this particular NUGT strategy .These led to 162 round trip long trades of which 91 were profitable, and 161 short trades of which 109 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 46% for long-short and 41% for long only. This compares to 92% for buy-hold. The reward/risk for the trading long and short was 13.99 vs. 1.88 for short-hold, an improvement factor of around 7.4. If traded long only, the reward/risk was 2.06, short only was 5.12 (54% drawdown). We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Apple (AAPL) Signals Daily Equity

Apple (AAPL) Signals-Daily

These Apple (AAPL) signals traded as directed would have performed around 2.4 times better than buy-hold with an ROI of 266% for the period 11-Aug-16 to 14-Sep-18

Apple AAPL Signals Daily

These trading signals for AAPL were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns

For the 528 day (2.1 year) period from Aug 11 2016 to Sep 14 2018, these signals for Apple (AAPL) traded both long and short would have yielded $26,635 in profits from a $10,000 initial investment, an annualized return of 86.0%. Traded long only (no short selling) the signals would have returned $18,379, an annualized return of 64.7%. 75.6% of time was spent holding stock long. The return would have been $11,309 (an annualized return of 43.6%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 162 buy signals and 43 sell signals for this particular AAPL strategy .These led to 23 round trip long trades of which 14 were profitable, and 24 short trades of which 18 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 9% for long-short and 11% for long only. This compares to 14% for buy-hold. The reward/risk for the trading long and short was 6.09 vs. 2.33 for buy-hold, an improvement factor of around 2.6 If traded long only, the reward/risk was 4.14. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Alibaba Signals Equity Growth

Alibaba (BABA) Signals – Daily

From 11-Aug-16 to 14-Sep-18, these trading signals for Alibaba (BABA) used as directed would have performed around 5.2 times better than buy-hold.

Alibaba (BABA) Daily Signals

These trading signals for BABA were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics.While backtests don't always provide reliable signals which can be counted on moving forward, many traders find value in knowing what buy and sell signals would have worked well in the past.

For the 528 day (2.1 year) period from Aug 11 2016 to Sep 14 2018, these signals for Alibaba (BABA) traded both long and short would have yielded $41,203 in profits from a $10,000 initial investment, an annualized return of 118.3%. Traded long only (no short selling) the signals would have returned $19,507, an annualized return of 67.8%. 78.0% of time was spent holding stock long. If you had bought and held the stock for the same period the profit would have been $7,879 (an annualized return of 32.0%).

For this type of strategy, not every signal is acted upon and signals are often reinforced. If you are long in the security, buy signals can be ignored, for example. Similarly if you are short you can ignore sell signals. For this particular BABA strategy there were 519 buy buy signals and 214 sell sell signals.These led to 114 round trip long trades of which 69 were profitable, and 113 short trades of which 66 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown (the worst case loss for an single entry and exit into the strategy) was 12% for long-short and 13% for long only, compared to 27% for buy-hold. Using drawdown plus 5% as our risk metric, and annualized return as the reward metric, the reward/risk for the trading long and short was 6.93 vs. 1.00 for buy-hold, an improvement factor of around 6.9 If traded long only, the reward/risk was 3.71

The backtests assume a commission per trade of $7.

Facebook (FB) Signals – Daily

From 09-Aug-16 to 12-Sep-18, these trading signals for Facebook (FB) used as directed would have performed around 10.6 times better than buy-hold.

Facebook (FB) Signals-Daily

These trading signals for FB were selected from over a million backtest results for their reward/risk and parameter sensitivity characteristics. While backtests don't always provide reliable signals which can be counted on moving forward, many traders find value in knowing what buy and sell signals would have worked well in the past.

For the 528 day (2.1 year) period from Aug 9 2016 to Sep 12 2018, these signals for Facebook, Inc. (FB) traded both long and short would have yielded $30,973 in profits from a $10,000 initial investment, an annualized return of 96.3%. Traded long only (no short selling) the signals would have returned $13,330, an annualized return of 49.9%. 83.5% of time was spent holding stock long. If you had bought and held the stock for the same period the profit would have been $2,925 (an annualized return of 13.1%).

For this type of strategy, not every signal is acted upon and signals are often reinforced. If you are long in the security, buy signals can be ignored, for example. Similarly if you are short you can ignore sell signals. For this particular FB strategy there were 79 buy signals and 16 sell signals.These led to 16 round trip long trades of which 13 were profitable, and 15 short trades of which 14 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown (the worst case loss for an single entry and exit into the strategy) was 14% for long-short and 14% for long only, compared to 26% for buy-hold. Using drawdown plus 5% as our risk metric, and annualized return as the reward metric, the reward/risk for the trading long and short was 5.00 vs. 0.43 for buy-hold, an improvement factor of around 11.8. If traded long only, the reward/risk was 2.59.

The backtests assume a commission per trade of $7.

The MASC BAO Trading Strategy

Finding MASC BAO strategies on randomly selected stocks

The MASC BAO trading strategy frequently shows up in the top ten backtests. It has the distinction of being the strategy used in the most profitable backtest SignalSolver has ever found--AAPL Monthly MASC BAO which would have generated over $400 Billion from $10,000 invested.

Here we look for MASC BAO strategies which beat Buy/Hold for stock symbols A through F (i.e. an arbitrary selection) using backtests run against daily, weekly and monthly data for each stock. The point of the exercise is simply to show that you can usually find a MASC BAO algorithm that beats buy or short-hold. Here are the results:

MASC BAO backtest results

Each table shows the difference between the buy-hold returns and the returns from the MASC BAO strategy. Strategy returns are shown in three parts, those for the long only, short only and combined long&short (L&S). Also of interest are the Reward/Risk numbers (higher is better).

You can see that for all 18 data sets, SignalSolver was able to find MASC BAO trading algorithms which beat buy-hold or short-hold. Many were significantly better, such as the 83% annualized return for E daily (vs 0% for buy-hold), however a few were only marginally better such as the 15.3% for D weekly (vs. 12.8% for buy-hold).

More about the MASC BAO strategy

MASC BAO roughly follows a "buy the dips but sell at the first sign of trouble" methodology. The MASC BAO strategy for the Percentage Band is this:

  1. A BUY signal occurs if, in a given period, the price fails to rise a fixed percentage above the last sale price.
  2. A SELL signal occurs if the price goes below a fixed percentage below the median price (i.e. half H+L) of the previous period.
  3. A sell signal turns a bullish position to bearish at the open of the subsequent period.
  4. A buy signal switches a bearish position bullish at the close of the period.
  5. You only respond to one signal per time period.

For example, if the last sale price was 100, a buy signal for [MASC 10% PB] would occur if the price in a given day, week or month failed to go above 110. This could be dangerous if you were trading short or long and short. If you were short and the price broke out to new highs, there would be no buy (cover) signals and you would lose all if the price went to double your short sale price. If you were just trading long, you would be simply be locked out of a bull run.

For other bands, the percentage value is calculated on the band in use and added into the reference (in this case last sale price on buys, median price on sells), as described here. Interestingly, only 4 bands emerged from this study: SMA (Simple moving average), TMTR (Trimmed mean of the true range), Bol1 (Bollinger band 1) and the PB (percentage band). Other bands often gave good results, but these four bands gave the best results.

As always, good backtest results don't necessarily translate into future profits for any trading strategy.

Settings

If you care to reproduce these results, here are the settings: