Recruitment of participants Example Of Combining Seasonal Effects In S&P 500 and Bonds

Strategy 88: Example Of Combining Seasonal Effects In S&P 500 and Bonds

The only Holy Grail in trading is to trade strategies that complement each other. This example combines two seasonal effects in bonds and stocks that have existed for decades and that we covered many years ago.

Performance metrics (for SPY and TLT):

• No. of trades: 654
• Average unleveraged gain per trade: 0.49% (1.8% for winners and -1.7% for losers)
• Win ratio: 62%
• Profit factor: 1.7
• CAGR: 7.4% (assuming no leverage and including dividends)
• Exposure/time in the market: 39%
• Risk-adjusted return: 18% (CAGR divided by time spent in the market (0.43))
• Max. drawdown: -11%

The equity curve (log scale):