Delve into its example backtested performance metrics. If you find this timing model intriguing, consider subscribing at the bottom of the page.
Profiting from Bull and Bear Markets
Our algorithm generates signals for both the long and the short side of the market.
By trading both the market up waves and the down waves, investors can dramatically increase their profit potential. In a bullish market, asset prices are generally rising, which means there is the potential for traders to profit from buying low and selling high. This is the most straightforward way to make money in the markets. In a bearish market, traders can profit by short-selling or using other strategies that benefit from falling asset prices. This allows traders to make money even when the overall market is declining.
Example Backtested Performance Metrics
Our algorithm is designed to perform optimally when using investment vehicles that closely track the Nasdaq-100 Index.
Here are some detailed examples using various Long/Short strategies at varying degrees of risk and reward.
For the purposes of this example, we will assume entering multiple positions to spread our exposure over several days from the date of the Algorithmic Market Timing signal, but you can equally invest 100% capital, or whatever percentage of capital you choose.
Our assumption for this example is 30% of capital per day, with a maximum of 5 open positions, using 2:1 margin.
Note that margin is not essential for the strategy to work, but if you don’t use margin, you’ll most likely need to wait until a trade has settled in your broker account before switching from long to short, for example. From May 28, 2024, the SEC is implementing T+1 settlement dates, which means trades are settled one business day after the transaction. That’s very useful for a strategy like this one that switches between long and short ETFs.
Although the examples shown were backtested with varying amounts of historical data due to different ETF inception dates, all use the same underlying algorithmic market timing tested on 36+ years of historical index data.
*QQQ L/S means this sample performance metric goes both Long and Short on QQQ
Equity Curves: ALGORITHMIC MARKET TIMING vs Buy and Hold
The below charts show hypothetical growth of $40,000 for various ETF pair combinations compared with buy and hold of the long-only ETF of the pair. For example, the TQQQ-SQQQ ETF pair traded using Algorithmic Market Timing is compared with TQQQ using buy and hold.
Note that these are hypothetical results and the backtested hypothetical compounded growth of leveraged ETFs can be such that it outpaces the number of shares available in the market.
*QQQ L/S means this sample performance metric goes both Long and Short on QQQ
Annualized Returns and Drawdown
*QQQ L/S means this sample performance metric goes both Long and Short on QQQ
Monthly Performance
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1999 | – | – | 2.07 | 3.59 | -4.68 | 16.28 | -2.58 | 7.95 | 1.19 | 13.08 | 16.12 | 32.01 | 116.18% |
2000 | -2.29 | 23.69 | 20.67 | 47.28 | 30.15 | 0 | 26.47 | 0 | 0 | 0 | 0 | 0 | 253.55% |
2001 | -0.07 | 21.11 | 0 | 26.98 | 4.83 | 6.78 | 0 | 0 | -1.1 | 25.55 | 23.78 | 14.63 | 203.07% |
2002 | 1.34 | 16.21 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 10.44 | 19.06 | 21.6 | 88.30% |
2003 | -0.33 | -3.38 | -0.44 | 0.39 | 12.44 | 0.76 | 8.68 | 6.86 | -3.92 | 11.6 | 0.75 | 4.04 | 42.34% |
2004 | 14.29 | 1.85 | 2.65 | 3.79 | -6.07 | -4.32 | 10.82 | 1.1 | 4.5 | 7.41 | 8.71 | 2.89 | 56.78% |
2005 | -1.3 | 0.67 | 2.42 | 6.76 | 0 | -4.58 | 11.57 | -2.22 | 1.82 | -2.2 | 9.02 | -2.9 | 19.22% |
2006 | 11.3 | 3.66 | 0 | 0 | 0 | 0 | 0 | 2.04 | 6.8 | 6.9 | 4.88 | -2.81 | 37.01% |
2007 | 2.99 | -2.36 | 0.65 | 7.88 | 4.36 | 0.55 | 3.55 | 0.26 | 0.96 | 6.16 | 10.21 | 3.6 | 45.57% |
2008 | 0 | 0 | 0 | 1.16 | 8.89 | 7.61 | -0.82 | -1.88 | 20.89 | 9.04 | 0 | 0 | 52.06% |
2009 | 0 | 0 | 5.49 | 19.54 | 4.54 | 3.95 | 11.66 | 1.97 | 7.41 | -4.01 | 8.41 | 6.54 | 85.80% |
2010 | -8.29 | 6.02 | 9.8 | 2.83 | 16.37 | 0 | -1.12 | -7.7 | 19.9 | 9.2 | -0.24 | 6.44 | 62.10% |
2011 | 3.93 | 4.35 | -0.8 | 3.91 | -2.93 | 6.07 | 0 | 1.02 | -1.03 | 0 | 0 | -2.89 | 11.75% |
2012 | 12.71 | 9.31 | 6.89 | 1.78 | 10.2 | -2.64 | 0.86 | 7.76 | 4.46 | 7.8 | -1.7 | 1.36 | 75.37% |
2013 | -3.4 | 0.52 | 4.19 | 3.76 | 5.24 | 2.44 | -5.16 | -0.59 | 6.76 | 7.26 | 5.09 | 3.67 | 33.11% |
2014 | -2.68 | 6.64 | -4.09 | -0.45 | 6.28 | 3.92 | 1.61 | 6.8 | 1.69 | 8.57 | 6.45 | 0.38 | 40.11% |
2015 | 3.04 | 1.61 | -3.84 | 2.9 | 3.36 | -4 | 11.43 | 23.01 | 0 | 5.61 | 0.77 | 2.88 | 54.27% |
2016 | 10.01 | 9.83 | 3.53 | -4.74 | 6.6 | -3.75 | 10.71 | 1.52 | 2.83 | -2.09 | 0.63 | 1.2 | 40.89% |
2017 | 7.36 | 6.14 | 2.5 | 3.74 | 5.29 | -3.46 | 5.49 | 2.76 | -0.68 | 6.11 | 2.58 | 0.51 | 45.07% |
2018 | 12.69 | 10.1 | 0 | 0 | 2.65 | 1.39 | 4.17 | 8.51 | -0.66 | 1.32 | 0.36 | 19.33 | 75.94% |
2019 | 14.5 | 4.31 | 5.31 | 8.94 | 7.38 | 0 | 0 | 0 | -0.68 | 6.66 | 6.06 | 5.35 | 74.16% |
2020 | 4.37 | 34.5 | 0.33 | 25.83 | 9.14 | 8.26 | 9.74 | 12.89 | 16.52 | -4.81 | 17.21 | 6.86 | 260.38% |
2021 | 0.37 | 20.2 | -2.05 | 1.36 | -1.8 | 9.24 | 4.19 | 6.09 | 9.99 | 1.34 | 4.47 | -1.82 | 62.38% |
2022 | 20.07 | 0 | 3.8 | 8.53 | 0 | 0 | 5.97 | 21.28 | 9.66 | 0 | 3.39 | 8.83 | 114.50% |
2023 | 2.49 | -0.53 | 13.67 | 0.72 | 11.09 | 8.42 | 5.22 | 0.83 | 7.73 | 2.69 | -5.31 | 56.23% |
*QQQ L/S means this sample performance metric goes both Long and Short on QQQ
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2006 | – | – | – | – | – | – | – | 3.92 | 12.72 | 12.74 | 8.27 | -13.39 | 23.84% |
2007 | 4.15 | -4.89 | 0.85 | 14.6 | 7.91 | 0.59 | 2.89 | 0.11 | 1.17 | 1.6 | 9.76 | 5.43 | 52.25% |
2008 | 0 | 0 | 0 | 1.28 | 7.22 | 7.9 | -1.61 | -3 | 23.54 | 17.83 | 0 | 0 | 62.78% |
2009 | 0 | 0 | 9.31 | 24.01 | 5.39 | 5.17 | 15.92 | 2.52 | 10.75 | -6.1 | 11.97 | 10.23 | 129.18% |
2010 | -12.47 | 8.72 | 15.16 | 4.06 | 30.84 | 0 | 0.17 | -13.05 | 42.63 | 17.97 | -1.12 | 12.91 | 144.13% |
2011 | 7.11 | 7.91 | -1.73 | 7.27 | -5.35 | 9.36 | 0 | 1.6 | 5.03 | 0 | 0 | -4.34 | 28.74% |
2012 | 26.15 | 18.44 | 13.56 | 1.7 | 13.9 | 0 | 7.21 | 15.49 | 8.72 | 8.67 | 0 | 0 | 187.51% |
2013 | 0.06 | 0.73 | 8.79 | 6.81 | 10.19 | 2.28 | -10.87 | -1.54 | 14.19 | 14.33 | 9.47 | 7.79 | 78.44% |
2014 | -5.36 | 13.66 | -7.22 | -1.43 | 11.86 | 7.78 | 2.65 | 12.77 | 1.82 | 18.15 | 13.1 | -2.43 | 82.26% |
2015 | 4.87 | -4.15 | -7.64 | 5.62 | 6.82 | -7.71 | 22.43 | 56.49 | 0 | 6.37 | -3.33 | 3.27 | 96.67% |
2016 | 20.52 | 25.31 | 6.35 | -9.74 | 13.33 | -7.43 | 22.08 | 2.72 | 5.81 | -4.24 | 0.8 | 2.9 | 100.44% |
2017 | 14.27 | 11.74 | 5.01 | 6.87 | 9.69 | -6.42 | 10.37 | 4.43 | -0.76 | 11.23 | 4.48 | 1.07 | 97.61% |
2018 | 23.82 | 24.37 | 0 | 0 | 5.01 | 2.55 | 7.48 | 17.08 | -1.15 | -3.16 | -1.68 | 49.91 | 194.43% |
2019 | 29.34 | 7.84 | 10.31 | 16.5 | 15.83 | 0 | 0 | 0 | -3.47 | 12.97 | 11.86 | 10.78 | 180.57% |
2020 | 7.78 | 54.17 | 1 | 42.66 | 14.06 | 13.8 | 16.44 | 22.59 | 30.81 | -5.43 | 33.37 | 13.53 | 730.92% |
2021 | 0.3 | 38.88 | -7.85 | -1.88 | 7.77 | 18.48 | 7.66 | 11.35 | 2.11 | 3.06 | 2.58 | -5.25 | 97.19% |
2022 | 48 | 0 | 3.92 | 9.11 | 0 | 0 | 11.12 | 32.81 | 23.95 | 0 | 8.12 | 15.29 | 282.64% |
2023 | 13.05 | -2.06 | 22.23 | 0.39 | 17.52 | 16.44 | 9.86 | 1.05 | 2.77 | 112.11% |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2010 | – | – | – | – | – | – | 0.34 | -19.09 | 67.5 | 26.14 | -1.81 | 18.85 | 100.16 |
2011 | 9.84 | 11.05 | -2.79 | 10.23 | -7.14 | 0 | 0 | 2.46 | 6.45 | 0 | 0 | -7.09 | 23 |
2012 | 40.89 | 27.61 | 19.95 | -0.34 | 0 | 0 | 10.72 | 23 | 9.02 | 0 | 0 | 0 | 219.08 |
2013 | 0.25 | 0.9 | 13.18 | 10.05 | 15.07 | 2.47 | -13.9 | -2.5 | 22.23 | 20.6 | 13.78 | 11.45 | 133.11 |
2014 | -8.03 | 19.8 | -10.36 | -2.58 | 17.19 | 11.64 | 3.69 | 18.58 | 2.53 | 27.05 | 20.33 | -4.76 | 131.06 |
2015 | 7.26 | -6.41 | -11.44 | 8.25 | 9.88 | -11.51 | 34.5 | 98.9 | 0 | 9.52 | -5.31 | 4.23 | 170.55 |
2016 | 30.7 | 25.56 | 9.42 | -14.04 | 19.83 | -11.39 | 34.07 | 4.14 | 7.93 | -6.18 | 1.5 | 3.52 | 143.5 |
2017 | 21.2 | 17.21 | 7.01 | 9.91 | 13.8 | -9.53 | 15.09 | 5.92 | -1.23 | 16.03 | 6.29 | 1.34 | 158.84 |
2018 | 35.03 | 28.98 | 0 | 0 | 7.43 | 3.27 | 11.23 | 25.4 | -2.16 | -6.02 | -3.81 | 76.52 | 320.76 |
2019 | 44.05 | 11.6 | 14.5 | 24.58 | 23.43 | 0 | 0 | 0 | -5.4 | 19.27 | 17.82 | 15.77 | 335.63 |
2020 | 10.96 | 88.56 | 1.42 | 67.33 | 21.1 | 19.94 | 24.28 | 34.59 | 36.62 | -11.36 | 53.97 | 20.55 | 1,839.30 |
2021 | -0.62 | 62.32 | -13.4 | -2.52 | 11.31 | 27.75 | 11.17 | 16.44 | 3.2 | 4.62 | 3.85 | -8.28 | 157.79 |
2022 | 56.91 | 0 | 5.81 | 14.05 | 0 | 0 | 16.68 | 51.93 | 15.77 | 0 | 10.93 | 27.71 | 450.57 |
2023 | 19.64 | -3.99 | 32.64 | -0.04 | 26.1 | 23.58 | 14.27 | 0 | 0 | 0 | 171.18 |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | – | – | – | – | – | – | 5.53 | 21.04 | -20.94 | 18.9 | 0 | 0 | 18.68 |
2019 | 64.22 | 0.84 | 13.75 | 19.08 | 31.92 | 0 | 0 | 0 | -16.57 | 29.73 | 33.58 | 32.3 | 466.01 |
2020 | 31.39 | 118.87 | 2.35 | 99.96 | 23.25 | 27.88 | 49.6 | 69.41 | 3.39 | -5.36 | 29.8 | 45.77 | 4252.47 |
2021 | 3.48 | 93.72 | 27.92 | 1.72 | -2.66 | 45.72 | -9.05 | 11.72 | 9.21 | 4.46 | 3.45 | 4.26 | 362.57 |
2022 | 45.33 | 0 | 4.4 | 27.02 | 0 | 0 | 12.16 | 52.69 | 9.28 | 0 | 28.1 | 41.96 | 555.89 |
2023 | 25.32 | 6.37 | 36.68 | -5.38 | 54.11 | 29.63 | 12.61 | 10.98 | 0 | 0 | 330.41 |
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