Quantitative Models
Quantitative Models
Market Seasonal Patterns - Historical Performance
We’ve conducted extensive backtests using a range of entry and exit thresholds on the major U.S. indices. By leveraging historical index data (instead of ETFs like SPY), we’ve been able to analyze performance across a much deeper historical timeframe.
Is the backtest robust?
The short answer: YES.
This model is inherently robust, with no parameters to optimize beyond the entry and exit thresholds. Seasonal patterns, such as Christmas occurring in late December or July always having 31 days, are fixed and unchanging. These predefined timings eliminate the need for parameter optimization, reducing the risk of overfitting and ensuring the model’s reliability.
ETFs
Backtests on the major US ETFs.
SPY
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
SPY
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
DIA
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
DIA
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
QQQ
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
QQQ
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
INDICES
Below are backtests conducted directly on the index, leveraging its longer historical data for analysis instead of the ETF.
SP500
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
SP500
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
DOW JONES
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
DOW JONES
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
NASDAQ
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: Yes
NASDAQ
RULES
Entry/Long: when MSP index >= given threshold
Exit/Cash: when MSP index < given threshold
200 MA Filter: No
