Backtest Chart
Backtest Results and Insights
Our strategy combines daily predictions to go long or short on SPY, seeking to capitalize on both upward and downward movements.
Key Results
- CAPM Alpha (Trading Account): 0.1951%
- CAPM Beta (Trading Account): 0.4815%
Alpha suggests that the strategy delivered returns beyond what traditional market exposure would predict, while a beta below 1.0 indicates less sensitivity to overall market fluctuations.
Potential Enhancements
Capital & Risk Management
All capital deployed per trade with stop losses assumed to execute perfectly
Use partial allocations to manage risk and prepare for sudden market moves
Market Conditions
Assumes instant fills at the closing price without liquidity issues
Incorporate realistic order book depth, execution challenges, and partial fills
Trading Frequency
Current model makes one trade per day.
Execute multiple trades per day.