S&P 100 Bullish CrossoverCurrent Strategy SummaryBuys: 3 Sells: 3 Performance2023 ytd: -3.8% |
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The S&P 100 Bullish Crossover Portfolio trading strategy:
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BUY a component stock of the S&P100 index when:
tagged with a “Bullish Crossover” indicator
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SELL a stock when:
tagged with a “Bearish Crossover” indicator
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* This strategy has been applied to the stock history of the 100 current (constituent stocks commencing March 9, 2012) members of the S&P 100 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 index, however, existing portfolio positions of stocks that are removed from the index remain as portfolio holdings until the sell signal is triggered.
The money management rules for the portfolio are as follows:
Exposure to each position is limited to $10,000.
Transaction costs are factored into the cost of purchases and the net proceeds of sales at 1% in and 1% out, or 2% commission on a round trip.
Applying this very simple trading system on the Stock Trends 40-year historical data of current components of the S&P 100 index generates the following results:
S&P 100 Bullish Crossover Portfolio strategy Performance - 1981 to 2021:
| Year | Avg Invested Capital ($) | Net Gain/(Loss) ($) | ST Portfolio (%)* | S&P 500 (%) | Difference (%) |
| Since inception | $533,566 | $4,054,745 | +18.5% | +9.1% | +9.4% |
| 2021 | 809,434 | 240,708 | 29.6 | 26.9 | 2.7 |
| 2020 | 477,358 | -74,782 | -15.8 | 14.3 | -30.1 |
| 2019 | 510,000 | 64,579 | 12.7 | 30.3 | -17.6 |
| 2018 | 621,887 | -74,217 | -11.8 | -7.0 | -4.8 |
| 2017 | 711,698 | 131,465 | 18.5 | 19.4 | -0.9 |
| 2016 | 604,340 | 25,359 | 4.2 | 9.5 | -5.3 |
| 2015 | 519,623 | -38,767 | -7.4 | -1.3 | -6.1 |
| 2014 | 773,396 | 106,975 | 13.8 | 13.4 | 0.4 |
| 2013 | 822,453 | 289,105 | 35.1 | 31.3 | 3.8 |
| 2012 | 726,604 | 40,589 | 5.6 | 11.5 | -5.9 |
| 2011 | 662,075 | -16,042 | -2.4 | 0.0 | -2.4 |
| 2010 | 682,642 | 43,480 | 6.4 | 12.8 | -6.4 |
| 2009 | 473,019 | 203,398 | 43.8 | 29.1 | 14.7 |
| 2008 | 300,755 | -196,359 | -64.1 | -41.0 | -23.1 |
| 2007 | 740,755 | 220,443 | 29.6 | 4.2 | 25.4 |
| 2006 | 623,774 | 61,119 | 9.9 | 13.6 | -3.7 |
| 2005 | 625,283 | 95,839 | 15.3 | 3.0 | 12.3 |
| 2004 | 685,094 | 169,584 | 24.8 | 10.4 | 14.4 |
| 2003 | 603,774 | 190,645 | 31.8 | 25.2 | 6.6 |
| 2002 | 357,170 | -100,456 | -27.9 | -24.6 | -3.3 |
| 2001 | 381,698 | -98,928 | -25.8 | -12.1 | -13.7 |
| 2000 | 440,189 | -103,748 | -23.6 | -10.1 | -13.5 |
| 1999 | 558,113 | 531,421 | 94.5 | 19.5 | 75.0 |
| 1998 | 527,170 | 463,809 | 87.8 | 31.0 | 56.8 |
| 1997 | 673,396 | 233,740 | 34.7 | 23.7 | 11.0 |
| 1996 | 612,453 | 229,060 | 37.4 | 22.9 | 14.5 |
| 1995 | 621,698 | 271,613 | 43.7 | 34.1 | 9.6 |
| 1994 | 395,472 | -7,798 | -2.0 | -1.5 | -0.5 |
| 1993 | 464,340 | 106,437 | 22.9 | 7.1 | 15.8 |
| 1992 | 489,434 | 59,919 | 12.2 | 8.2 | 4.0 |
| 1991 | 494,528 | 293,369 | 59.1 | 23.7 | 35.4 |
| 1990 | 386,981 | -2,440 | -0.6 | -7.0 | 6.4 |
| 1989 | 600,377 | 252,721 | 42.1 | 27.3 | 14.8 |
| 1988 | 285,849 | -12,834 | -4.5 | 12.4 | -16.9 |
| 1987 | 473,774 | 6,275 | 1.3 | 2.1 | -0.8 |
| 1986 | 474,528 | 147,038 | 30.8 | 17.8 | 13.0 |
| 1985 | 452,264 | 119,307 | 26.5 | 26.1 | 0.4 |
| 1984 | 254,528 | -52,987 | -21.0 | 0.8 | -21.8 |
| 1983 | 480,755 | 119,372 | 24.7 | 17.3 | 7.4 |
| 1982 | 342,264 | 147,990 | 43.8 | 14.8 | 29.0 |
| 1981 | 127,359 | -27,508 | -21.8 | -10.1 | -11.7 |
* ST portfolio annual returns are based on average invested capital for the year.
Trading Statistics
| Total # of positions taken: | 2,526 |
| # of winning positions (winning %): | 1126 (45%) |
| Average gain(%) per winning position: | 51% |
| Average loss(%) per losing position: | 12% |
| Profit factor**: | 3.4 |
| Maximum gain(%) on a position: | 2,572% |
| Maximum loss(%): | -83% |
| Annualized return on average invested capital: | 18.5% |
| Average invested capital: | $533,566 |
| Average # of positions held: | 53 |
| Average # of weeks invested in each position: | 45 |
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* 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)] |
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