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Swing Trading Model October Backtest is the focus of this guide, where we share the model’s performance during October 2024. We analyzed 125 companies over a four-week period, then repeated the same process using two smaller baskets: the MAG7 and major indices/ETFs such as 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.
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 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 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 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 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 24
Now let’s look at the Options Strategy Selling Credit Spreads:
