Test return vs SPY, window by window
SPY is total return over the same dates.
Window 1: chosen through 2024-08-16, tested 2024-08-17 to 2025-04-25
Value (%)
- Strategy 2025-04-25
- 38.57%
- SPY 2025-04-25
- -0.67%
- Position size
- 10% of the portfolio
- Chosen on
- Training 2020-09-11 to 2022-08-15 · validation 2022-08-30 to 2024-08-16
- Validation return
- +121.77%
- Test return
- +38.57% vs SPY -0.67%
Window 2: chosen through 2025-04-25, tested 2025-04-26 to 2026-01-02
Value (%)
- Strategy 2026-01-02
- 143.99%
- SPY 2026-01-02
- 25.1%
- Position size
- 5% of the portfolio
- Chosen on
- Training 2020-09-11 to 2022-12-19 · validation 2023-01-03 to 2025-04-25
- Validation return
- +248.61%
- Test return
- +143.99% vs SPY +25.10%
Window 3: chosen through 2026-01-02, tested 2026-01-03 to 2026-09-11
Value (%)
- Strategy 2026-09-11
- 77.81%
- SPY 2026-09-11
- 11.73%
- Position size
- 3% of the portfolio
- Chosen on
- Training 2020-09-11 to 2023-04-24 · validation 2023-05-09 to 2026-01-02
- Validation return
- +306.19%
- Test return
- +77.81% vs SPY +11.73%
Every window, every chosen setting
Show the table · 3 rows, 12 columns
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| 1 | 2020-09-11 to 2022-08-15 | 2022-08-30 to 2024-08-16 | 2024-08-17 to 2025-04-25 | 10% of the portfolio | +121.77% | +38.57% | -0.67% | 1.06 | 31.09% | 282 | $239.34 |
| 2 | 2020-09-11 to 2022-12-19 | 2023-01-03 to 2025-04-25 | 2025-04-26 to 2026-01-02 | 5% of the portfolio | +248.61% | +143.99% | +25.10% | 2.99 | 13.65% | 349 | $244.14 |
| 3 | 2020-09-11 to 2023-04-24 | 2023-05-09 to 2026-01-02 | 2026-01-03 to 2026-09-11 | 3% of the portfolio | +306.19% | +77.81% | +11.73% | 1.77 | 10.67% | 283 | $123.93 |
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Fees: 0.1% of each stock trade and $0.65 per option contract. Returns are percent of $25,000 at the start of each test.
What the search could choose from
- Position size
- 3% of the portfolio · 5% of the portfolio · 7% of the portfolio · 10% of the portfolio
- Chosen by
- Highest validation Sortino ratio, among candidates meeting participationRate greaterThanOrEqual 0.35 and distinctUnderlyingsTraded greaterThanOrEqual 9 and return greaterThanOrEqual 0 and Sortino ratio greaterThanOrEqual 0.5; ties broken by max drawdown, then return, then dollars sold; degradation penalty 0.5
- Calendar
- Anchored training start, 252-day tests, 14-day embargo before validation, Day bars
- Fees
- 0.1% of each stock trade and $0.65 per option contract
Method
Each window searched 4 combinations of position size on training dates beginning 2020-09-11, then scored them on validation dates that begin after a 14-day embargo. Selection rule: Highest validation Sortino ratio, among candidates meeting participationRate greaterThanOrEqual 0.35 and distinctUnderlyingsTraded greaterThanOrEqual 9 and return greaterThanOrEqual 0 and Sortino ratio greaterThanOrEqual 0.5; ties broken by max drawdown, then return, then dollars sold; degradation penalty 0.5. The chosen settings then ran unchanged over the next 252 days from $25,000 with 0.1% of each stock trade and $0.65 per option contract. SPY is dividend-adjusted total return over the same test dates, measured from the first close in each window.
Limitations
3 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.