S&P/TSX 60 Bullish CrossoverCurrent Strategy SummaryBuys: 0 Sells: 2 Performance2023 ytd: +0.2% |
| Current Portfolio Report | Portfolio History Report |
| (subscribers only - Login ID and password required) |
|
The S&P/TSX 60 Bullish Crossover Portfolio trading strategy:
|
|---|
|
BUY a component stock of the S&P/TSX 60 index when:
tagged with a “Bullish Crossover” indicator
|
|
SELL a stock when:
tagged with a “Bearish Crossover” indicator
|
* This strategy has been applied to the stock history of the 60 current (constituent stocks since March 9, 2012) members of the S&P/TSX 60 Index. It does not replicate this strategy on the historical components of the index. The strategy will make adjustments for changes in the components of the S&P/TSX 60 index, however, existing portfolio positions of stocks removed from the index remain as holdings until the sell signal is triggered.
The money management rules for the portfolio are as follows:
Exposure to each position is limited to $10,000.
Transaction costs are factored into the cost of purchases and the net proceeds of sales at 1% in and 1% out, or 2% commission on a round trip.
Applying this very simple trading system on the Stock Trends 27-year historical data of current components of the S&P/TSX 60 index generates the following results:
The two-decade trading record has produced positive relative returns, although the 2008 market collapse hit the portfolio trading strategy hard. The annualized return on average capital invested is 14%, compared to the 5.8% average annual return of the benchmark TSX/S&P Composite index over the same period.
S&P/TSX 60 Bullish Crossover Portfolio strategy Performance - 1991 to 2021:
| Year | Avg Invested Capital ($) | Net Gain/(Loss) ($) | ST Portfolio (%)* | S&P/TSX(%) | Difference (%) |
| Since inception | $333,099 | $1,350,804 | +14.8% | +5.8% | +9.0% |
| 2021 | 447,547 | 134,912 | 30.1 | 21.7 | 8.4 |
| 2020 | 258,302 | -49,977 | -19.6 | 2.7 | -22.3 |
| 2019 | 317,925 | 18,187 | 5.8 | 20.7 | -14.9 |
| 2018 | 298,868 | -66,895 | -22.2 | -12.3 | -9.9 |
| 2017 | 360,377 | -792 | -0.2 | 6.0 | -6.2 |
| 2016 | 361,698 | 62,530 | 17.3 | 17.5 | -0.2 |
| 2015 | 207,547 | -27,842 | -13.4 | -8.9 | -4.5 |
| 2014 | 414,151 | 38,333 | 9.2 | 7.5 | 1.7 |
| 2013 | 373,396 | 47,035 | 12.6 | 10.3 | 2.3 |
| 2012 | 302,830 | -15,395 | -5.1 | 3.0 | -8.1 |
| 2011 | 324,717 | -45,841 | -14.0 | -11.1 | -2.9 |
| 2010 | 404,151 | 43,278 | 10.7 | 14.5 | -3.8 |
| 2009 | 314,717 | 62,560 | 20.1 | 41.4 | -21.3 |
| 2008 | 210,566 | -125,085 | -58.4 | -39.9 | -18.5 |
| 2007 | 412,453 | 79,510 | 19.2 | 7.1 | 12.1 |
| 2006 | 413,208 | 119,749 | 29.0 | 14.3 | 14.7 |
| 2005 | 491,698 | 257,363 | 52.3 | 21.9 | 30.4 |
| 2004 | 420,943 | 118,858 | 28.4 | 13.5 | 14.9 |
| 2003 | 402,075 | 184,768 | 46.2 | 23.1 | 23.1 |
| 2002 | 296,981 | 9,089 | 3.0 | -13.6 | 16.6 |
| 2001 | 348,491 | 52,987 | 15.1 | -13.8 | 28.9 |
| 2000 | 299,434 | 144,180 | 48.3 | 5.6 | 42.7 |
| 1999 | 265,094 | 69,945 | 26.2 | 29.6 | -3.4 |
| 1998 | 214,906 | -31,791 | -14.7 | -1.1 | -13.6 |
| 1997 | 309,623 | 135,589 | 43.7 | 11.5 | 32.2 |
| 1996 | 329,057 | 89,958 | 27.3 | 25.1 | 2.2 |
| 1995 | 264,717 | 35,953 | 13.6 | 11.6 | 2.0 |
* ST portfolio annual returns are based on average invested capital for the year.
Trading Statistics
| Total # of positions taken: | 1,082 |
| # of winning positions (winning %): | 444 (41%) |
| Average gain(%) per winning position: | 49% |
| Average loss(%) per losing position: | 13% |
| Profit factor**: | 2.7 |
| Maximum gain(%) on a position: | 793% |
| Maximum loss(%): | -79% |
| Annualized return on average invested capital: | 14.8% |
| Average invested capital: | $333,099 |
| Average # of positions held: | 33 |
| Average # of weeks invested in each position: | 44 |
|
* trading stats compiled at December 31, 2021 **Profit Factor = (% of winning trades X average $ gains on winning trades) / ABSOLUTE VALUE[(% of losing trades X average $ losses on losing trades)] |
|
Stock Trends S&P/TSX 60 Crossover Distribution of Returns
The current S&P/TSX 60 Bullish Crossover Portfolio report is published weekly. It shows current holdings, as well as current buy and sell transactions. Investors can follow the report to emulate the performance of the portfolio or use this model portfolio to adjust their own holdings in these important TSX stocks.