Saturated Exit SMA-constrained strategy (SESMA)

Idea

Wait for a minor pull-back to buy if the stock is trending up long-term and is off its all-time-high.

Buy and hold until the minimum profit target has been reached.

If the target is reached, re-evaluate the longer-term trend and close the position if not in significant longer-term uptrend.

Parameters
Example   Test it!

Strategy

Buy S&P 500 ETF (SPY) if the setting is promising: closing price is 2% above the 200-days SMA (the stock is trending upwards long-term) and the stock is over 5% off its all-time-high.

Wait for a minor pull-back (stock is 1% below 2-days SMA), buy and hold the stock until the position appreciates by 8%.

Once the minimum profit target is reached, reconsider if the position is still promising: close the position if the 2% above SMA-200 trend is not maintained.

Invest for the period of 10 years.

Simulation on a single period

Note: We quote the results for just the most recent 10-year period from 2009-03-13 to 2019-03-11. Review the simulation for other periods.

Key indicator Value Description
Annualized return 6.87% Compound annual return (CAGR) over the period
Max drawdown -5.54% Maximum loss relative to the initial value experienced over the period

Statistical simulation

Note: We simulate over all 10-year periods in the past 25 years (at 1 week step).

Key indicator Value Description
Percentile 20% of annual return 3.62% 80% of the periods produced this annualized return (CAGR) or better
Percentile 20% of max drawdown -12.71% 80% of the periods experienced this max draw-down (relative to the initial investment) or better