Period
Range

BTST Strategy Analysis

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Price & signals

Markers are signals. Unless noted, the fill is the next bar’s open.

Profit curve

Strategy Buy & hold In market

Drawdown

Strategy Buy & hold

Monthly returns

Calendar months in %. Grey months were spent in cash.

Trade returns

Each closed trade in order. Height is the return after costs.

Trades

Click a row to zoom the charts to it.

Methodology & data

Fills, costs and every metric

Execution

  • Signals are evaluated on each bar's close. Orders fill at the next bar's open.
  • Each entry invests 100% of current equity (fractional units). Commission and slippage are charged in basis points on every entry and exit.
  • Indicators are warmed up on the history before the start date; trades only happen inside the selected range.
  • Stop loss, take profit and max bars are checked on the close and exit at the next open.
  • Buy & hold buys at the close of the first bar with the same costs. An open position on the last bar is marked to market and excluded from trade statistics.

Data

  • Daily OHLCV, dividends and splits from Yahoo Finance. Weekly and monthly bars are built from the daily bars.
  • Prices are split-adjusted. With dividends on, earlier prices are scaled by (1 − D ÷ previous close).
  • Index symbols (^GSPC, ^NDX, ^HSI) are not directly tradable and carry no dividends.

Metrics

CAGR
(final ÷ initial equity)1/years − 1, years = calendar days ÷ 365.25.
Sharpe
mean(bar return − risk-free) ÷ stdev(bar return) × √(bars per year).
Sortino
Same numerator, downside deviation only.
Max drawdown
Largest fall from a running equity peak. Calmar = CAGR ÷ |max drawdown|.
Win rate
Closed trades with positive P&L after costs ÷ closed trades.
Profit factor
Gross profit ÷ gross loss of closed trades.