In this Guide we want to share the Swing Model Backtesting Results during the month of October 2024. We took 125 Companies and ran a backtest over a 4 weeks period. We then do the same exercise but taking two smaller baskets: MAG7 and Major Indices/ETFs like SPX, NDX, SPY, VIX and QQQ.

We go over the full backtest during our Live here below:

Backtesting Assumptions

  • Data was taken from MenthorQ Swing Trading Model on the Sunday for 4 weeks. The levels from Sunday are calculated after market close on the previous Friday.
  • We took the Levels on 10/11/2024, 10/18/2024, 10/25/2024 and 11/01/2024
  • We then took the Bias given by the model weather Bullish or Bearish and we downloaded the various levels: Upper Band, Lower Band and Risk Trigger.
  • We then trade at the Open of the following Monday for 4 weeks.
  • We look at two types of Strategies: Going Long/Short the Stock or Selling Credit Spreads.
  • We look at the close price of the Friday to calculate the return.

Here you can find the File with the Data and Results.

Backtesting Swing Model – October 2024Download

Backtesting Strategies

We have created 3 baskets:

  • Full Coverage (125 Companies)
  • MAG7
  • Indices/ETFs (SPX, SPY, QQQ, NDX and VIX)

Then we run two types of strategies: Long/Short Stock and Selling Credit Spreads using Options

Assumptions:

  • For the Long / Short Strategy we go long at the Open of the Monday and exit at the Close of the Following Friday
  • For the Options Strategy we Sell Call Credit Spreads if Bias is Bearing and Sell Put Credit Spreads if Bias is Bullish. Here we calculate the Win Rate of the strategy based on the closing price of the Friday.
    • If we are in a Call Spread we consider a win if the price of Friday is below the Upper Band Level
    • If we are in a Put Spread we consider a win if the price of Friday is above the Lower Band Level
  • We do this exercise over a 4 weeks period.

Backtesting Results

Now let’s look at the results for the various baskets.

Basket 1: 125 Companies

Let’s now look at the results of the Long / Short Strategy:

  • Week of 10/11/2024. Our Win Rate is 71.2% and our P&L is +2.4%
  • Week of 10/18/2024. Our Win Rate is 34.4% and our P&L is -0.53%
  • Week of 10/25/2024. Our Win Rate is 40.8% and our P&L is -0.24%
  • Week of 11/01/2024. Our Win Rate is 66.4% and our P&L is +5.27%
  • The Overall Performance for the period is +6.9%
Swing Trading Model October Backtest - Backtesting 1
Swing Trading Model October Backtest 20

Now let’s look at the Options Strategy Selling Credit Spreads:

  • Week of 10/11/2024. Our Win Rate is 89.6%
  • Week of 10/18/2024. Our Win Rate is 72.8%
  • Week of 10/25/2024. Our Win Rate is 79.2%
  • Week of 11/01/2024. Our Win Rate is 78.4%
  • The Overall Win Rate over 4 Weeks is 80%
Swing Trading Model October Backtest - Backtesting 2
Swing Trading Model October Backtest 21

Basket 2: MAG7

Now let’s do the same exercise with the MAG7 Companies: AAPL, AMZN, GOOG, TSLA, NVDA, MSFT, META. Let’s now look at the results of the Long / Short Strategy:

  • Week of 10/11/2024. Our Win Rate is 71.43% and our P&L is +0.13%
  • Week of 10/18/2024. Our Win Rate is 57.14% and our P&L is +3.99%
  • Week of 10/25/2024. Our Win Rate is 28.57% and our P&L is -2.78%
  • Week of 11/01/2024. Our Win Rate is 100% and our P&L is +8.6%
  • Our Overall Performance for the period is +9.95%
Swing Trading Model October Backtest - Backtest 3
Swing Trading Model October Backtest 22

Now let’s look at the Options Strategy Selling Credit Spreads:

  • Week of 10/11/2024. Our Win Rate is 100%
  • Week of 10/18/2024. Our Win Rate is 100%
  • Week of 10/25/2024. Our Win Rate is 57.14%
  • Week of 11/01/2024. Our Win Rate is 100%
  • The Overall Win Rate over 4 Weeks is 89.29%
Swing Trading Model October Backtest - Backtest 5
Swing Trading Model October Backtest 23

Basket 3: Indices

Now let’s do the same exercise with the Main Indices: SPX, SPY, NDX, QQQ and VIX. Let’s now look at the results of the Long / Short Strategy:

  • Week of 10/11/2024. Our Win Rate is 40% and our P&L is -2.57%
  • Week of 10/18/2024. Our Win Rate is 60% and our P&L is +1.47%
  • Week of 10/25/2024. Our Win Rate is 60% and our P&L is +2.8%
  • Week of 11/01/2024. Our Win Rate is 40% and our P&L is +12.32%
  • Our Overall Performance for the period is +14.02%
Swing Trading Model October Backtest - Backtest 4
Swing Trading Model October Backtest 24

Now let’s look at the Options Strategy Selling Credit Spreads:

  • Week of 10/11/2024. Our Win Rate is 80%
  • Week of 10/18/2024. Our Win Rate is 100%
  • Week of 10/25/2024. Our Win Rate is 100%
  • Week of 11/01/2024. Our Win Rate is 100%
  • The Overall Win Rate over 4 Weeks is 95%
Swing Trading Model October Backtest - Backtest 6
Swing Trading Model October Backtest 25

If you want to learn more about our Swing Trading Model check out our Swing Trading Model Course.