Test return vs SPY, window by window
SPY is total return over the same dates.
Window 1: chosen through 2024-04-03, tested 2024-04-04 to 2024-10-02
Value (%)
- Strategy 2024-10-02
- 12.75%
- SPY 2024-10-02
- 11.57%
- Purchase lookback
- 180 days
- Weighted by
- Midpoint of disclosed range
- Invested
- 100%
- Chosen on
- Training 2021-10-01 to 2023-09-28 · validation 2023-10-04 to 2024-04-03
- Validation return
- +69.36%
- Test return
- +12.75% vs SPY +11.57%
Window 2: chosen through 2024-10-02, tested 2024-10-03 to 2025-04-02
Value (%)
- Strategy 2025-04-02
- 1.93%
- SPY 2025-04-02
- 0.05%
- Purchase lookback
- 90 days
- Weighted by
- Midpoint of disclosed range
- Invested
- 100%
- Chosen on
- Training 2021-10-01 to 2024-02-21 · validation 2024-02-27 to 2024-10-02
- Validation return
- +17.90%
- Test return
- +1.93% vs SPY +0.05%
Window 3: chosen through 2025-04-02, tested 2025-04-03 to 2025-10-01
Value (%)
- Strategy 2025-10-01
- 15.85%
- SPY 2025-10-01
- 25.26%
- Purchase lookback
- 90 days
- Weighted by
- High end of disclosed range
- Invested
- 100%
- Chosen on
- Training 2021-10-01 to 2024-07-15 · validation 2024-07-21 to 2025-04-02
- Validation return
- +6.63%
- Test return
- +15.85% vs SPY +25.26%
Window 4: chosen through 2025-10-01, tested 2025-10-02 to 2026-04-01
Value (%)
- Strategy 2026-04-01
- 0.02%
- SPY 2026-04-01
- -1.53%
- Purchase lookback
- 30 days
- Weighted by
- High end of disclosed range
- Invested
- 100%
- Chosen on
- Training 2021-10-01 to 2024-12-08 · validation 2024-12-14 to 2025-10-01
- Validation return
- +15.20%
- Test return
- +0.02% vs SPY -1.53%
Window 5: chosen through 2026-04-01, tested 2026-04-02 to 2026-09-30
Value (%)
- Strategy 2026-09-30
- 10.98%
- SPY 2026-09-30
- 16.87%
- Purchase lookback
- 90 days
- Weighted by
- High end of disclosed range
- Invested
- 100%
- Chosen on
- Training 2021-10-01 to 2025-05-03 · validation 2025-05-09 to 2026-04-01
- Validation return
- +14.67%
- Test return
- +10.98% vs SPY +16.87%
Every window, every chosen setting
Show the table · 5 rows, 14 columns
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| 1 | 2021-10-01 to 2023-09-28 | 2023-10-04 to 2024-04-03 | 2024-04-04 to 2024-10-02 | 180 days | Midpoint of disclosed range | 100% | +69.36% | +12.75% | +11.57% | 0.64 | 29.45% | 172 | $508.16 |
| 2 | 2021-10-01 to 2024-02-21 | 2024-02-27 to 2024-10-02 | 2024-10-03 to 2025-04-02 | 90 days | Midpoint of disclosed range | 100% | +17.90% | +1.93% | +0.05% | 0.12 | 21.30% | 331 | $442.95 |
| 3 | 2021-10-01 to 2024-07-15 | 2024-07-21 to 2025-04-02 | 2025-04-03 to 2025-10-01 | 90 days | High end of disclosed range | 100% | +6.63% | +15.85% | +25.26% | 0.80 | 12.83% | 134 | $315.03 |
| 4 | 2021-10-01 to 2024-12-08 | 2024-12-14 to 2025-10-01 | 2025-10-02 to 2026-04-01 | 30 days | High end of disclosed range | 100% | +15.20% | +0.02% | -1.53% | -0.30 | 8.08% | 131 | $240.52 |
| 5 | 2021-10-01 to 2025-05-03 | 2025-05-09 to 2026-04-01 | 2026-04-02 to 2026-09-30 | 90 days | High end of disclosed range | 100% | +14.67% | +10.98% | +16.87% | 0.60 | 35.60% | 258 | $608.52 |
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Fees: 0.1% of each stock trade. Returns are percent of $100,000 at the start of each test.
What the search could choose from
- Purchase lookback
- 30 days · 60 days · 90 days · 180 days
- Weighted by
- Low end of disclosed range · Midpoint of disclosed range · High end of disclosed range
- Invested
- 50% · 75% · 100%
- Chosen by
- Highest validation Sortino ratio; ties broken by return, then max drawdown, then dollars sold
- Calendar
- Anchored training start, 182-day tests, 5-day embargo before validation, Day bars
- Fees
- 0.1% of each stock trade
Method
Each window searched 36 combinations of purchase lookback, weighted by, invested on training dates beginning 2021-10-01, then scored them on validation dates that begin after a 5-day embargo. Selection rule: Highest validation Sortino ratio; ties broken by return, then max drawdown, then dollars sold. The chosen settings then ran unchanged over the next 182 days from $100,000 with 0.1% of each stock trade. SPY is dividend-adjusted total return over the same test dates, measured from the first close in each window.
Limitations
5 test windows is a small sample. Each test starts from cash, so the chained figure compounds independent tests rather than one continuous account. The chosen settings changed between windows. Strategy curves are the stored daily account values of each test, ending on the reported test return.
The results describe historical observations. They do not establish live trading performance.