Quantitative Models
Quantitative Models
Market Seasonal Patterns - Statistics
Strategy 1 – SPY
Rules
- Go long when MSP index >= 1
- Exit (move to cash) when MSP index < 1
- Trade only when price > 200 MA
| Metric | Strategy 1 | SPY Buy and Hold |
|---|---|---|
| CAGR % | 9.96% | 8.78% |
| Total Return % | 1467.16% | 1164.47% |
| Profit Factor | 4.00 | 2.50 |
| Recovery Factor | 128.59 | 20.62 |
| Sortino Ratio | 2.85 | 0.78 |
| Sharpe Ratio | 0.50 | 0.08 |
| Max DD % | 11.41% | 56.47% |
* Assumed Risk-Free Rate 4.25% (historical average for the period 1990-2024)
Strategy 2 – SPY
Rules
- Go long when MSP index >= 1
- Exit (move to cash) when MSP index < 1
- (No 200 MA Filter)
| Metric | Strategy 2 | SPY Buy and Hold |
|---|---|---|
| CAGR % | 10.13% | 8.78% |
| Total Return % | 1615.57% | 1164.47% |
| Profit Factor | 4.20 | 2.50 |
| Recovery Factor | 81.17 | 20.62 |
| Sortino Ratio | 2.45 | 0.78 |
| Sharpe Ratio | 0.30 | 0.08 |
| Max DD % | 19.91% | 56.47% |
* Assumed Risk-Free Rate 4.25% (historical average for the period 1990-2024)
Strategy 3 – SPY
Rules
- Go long when MSP index >= 2
- Exit (move to cash) when MSP index < 2
- Trade only when price > 200 MA
| Metric | Strategy 2 | SPY Buy and Hold |
|---|---|---|
| CAGR % | 10.13% | 8.78% |
| Total Return % | 1615.57% | 1164.47% |
| Profit Factor | 4.20 | 2.50 |
| Recovery Factor | 81.17 | 20.62 |
| Sortino Ratio | 2.45 | 0.78 |
| Sharpe Ratio | 0.30 | 0.08 |
| Max DD % | 19.91% | 56.47% |
* Assumed Risk-Free Rate 4.25% (historical average for the period 1990-2024)
Strategy 4 – SPY
Rules
- Go long when MSP index >= 2
- Exit (move to cash) when MSP index < 2
- (No 200 MA Filter)
| Metric | Strategy 4 | SPY Buy and Hold |
|---|---|---|
| CAGR % | 11.86% | 8.78% |
| Total Return % | 2753.94% | 1164.47% |
| Profit Factor | 3.50 | 2.50 |
| Recovery Factor | 70.46 | 20.62 |
| Sortino Ratio | 2.20 | 0.78 |
| Sharpe Ratio | 0.20 | 0.08 |
| Max DD % | 39.07% | 56.47% |
* Assumed Risk-Free Rate 4.25% (historical average for the period 1990-2024)