Capitulation strategy #1 - equity curve (2009-2026)
$1,000,000 from 2009-01-02 to 2026-10-08 · 277 closed trades · backtest, not investment advice
Universe: stocks in the S&P 500 or Nasdaq-100 on the signal date (point-in-time). Buy a new 60-day low while 30%+ below the 52-week high, next open, 2.5% per stock, max 40, biggest by dollar volume first. Sell at the next open after a close 30% below the highest close since purchase. Idle money held in SPY.
Final value
$15,863,427
SPY $11,740,035
Annual return
16.9%
SPY 14.9%
Sharpe ratio
0.87
SPY 0.87
Max drawdown
-36%
SPY -34%
Growth of $1,000,000 (log scale)
Strategy #1SPY buy & hold
Drawdown from previous peak
Read with care: this is one start date. Started on 431 different weeks (2016-2024, 2-year runs), the same rules
beat SPY in only about 41% of them (median about 1 point a year behind). Results depend heavily on when the book starts filling up.
Calendar-year returns
| Year | Strategy #1 | SPY | Difference |
|---|---|---|---|
| 2009 | +22.6% | +26.0% | -3.4% |
| 2010 | +14.2% | +15.1% | -0.8% |
| 2011 | -0.5% | +1.9% | -2.4% |
| 2012 | +17.3% | +16.0% | +1.3% |
| 2013 | +25.4% | +32.3% | -6.9% |
| 2014 | +13.5% | +13.5% | +0.0% |
| 2015 | +2.6% | +1.2% | +1.4% |
| 2016 | +15.4% | +12.0% | +3.4% |
| 2017 | +22.6% | +21.7% | +0.9% |
| 2018 | -2.9% | -4.6% | +1.7% |
| 2019 | +33.0% | +31.2% | +1.8% |
| 2020 | +34.6% | +18.3% | +16.3% |
| 2021 | +22.9% | +28.7% | -5.8% |
| 2022 | -24.2% | -18.2% | -6.1% |
| 2023 | +44.4% | +26.2% | +18.3% |
| 2024 | +32.9% | +24.9% | +8.0% |
| 2025 | +26.3% | +17.7% | +8.6% |
| 2026 (YTD) | +19.6% | +14.2% | +5.4% |
No redactions applied.
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