How do 16 S&P 500 strategies trade with $25,000 in futures (except the ETF)? And does compounding raise their return?
| 52-Week High Breakout | Absolute Momentum (Antonacci) | AVALONPLUS | Buy after Down Week |
| Cumulative RSI (Connors) | Double 7 (Connors) | Elder Impulse System | Elder Triple Screen |
| Faber 10-Month Momentum | Golden Cross 50/200 | IBS Mean Reversion | Long Only (ETF) |
| RSI(2) Pullback (Connors) | Sell in May | SMA 200 | Turn of the Month |
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Every row below was produced by the backtester inside the AVALONPLUS app. Foreign rule sets contribute their entry and exit dates; position size, costs, interest and normalisation come from the same backtester that produces our own report.
S&P 500 cash index, daily closes. A signal is drawn at the close and executed at the next open.
Micro E-mini S&P 500 futures (MES, $5 a point), $25,000 starting capital, periods from 1963 to today.
Commission plus two ticks of slippage on every fill. Idle cash earns the broker rate between trades.
Each rule is sized by its own worst single-trade loss (max MAE) plus three percentage points of gap buffer. The same figure sets the protective stop.
| Setting | Here | What it does |
|---|---|---|
| Transaction Costs | on | $0.60 commission per contract plus two ticks of slippage on every fill, entry and exit. |
| Interest on Cash | on | Money not tied up in margin earns the broker rate — also on the days between trades, which is most days for some of these rules. |
| Pos. Size 50/50 | off | Full size: the whole account sizes the position. Switched on, only half of it does and the rest stays in cash — that is the AVALONPLUS (50/50) row. |
| Annual Adjustments | off | No tax and no withdrawals are booked at year end. Every figure on this page is before tax. |
| Normalize Positions | on | As it is actually traded: the position stops growing at 500 MES contracts. Without that limit, compounding produces contract counts no broker would fill. |
| Reinvest | off / on | Off, the position size stays tied to the starting capital. On, profits increase it. Both are shown for every window. |
| Instrument | MES | Micro E-mini S&P 500, $5 per index point. The signals always come from the cash index; the instrument only sets the point value. |
| Starting capital | $25,000 | The amount at which both sizing modes are possible. Below it, only full size is. |
| Preset | the window | Which stretch of history is computed — four of them on this page. |
| Component | Measured as | Weighting | Full marks at |
|---|---|---|---|
| Return per unit of capital risk | CAGR ÷ DD worst entry | 30% | 2.0 or better |
| Return | CAGR | 20% | 25% a year |
| Capital risk | DD worst entry | 20% | 0% (zero points at 60%) |
| Consistency | Profit factor | 15% | 3.0 or better |
| Recovery | Days to a new equity high | 10% | one year or less |
| Worst losing streak | Consecutive losing trades | 5% | 3 or fewer |
| Evidence | Number of losing trades | × factor | 10 losing trades |
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 61 | 203 | 66.0% | 12.0% | $34,744,941 | 11.4% | 14.2% | 3.2 yrs | 5 |
| Rank 2 | AVALONPLUS (full) | 50 | 203 | 66.0% | 12.4% | $42,043,083 | 23.9% | 28.7% | 3.2 yrs | 5 |
| Rank 3 | Sell in May | 44 | 64 | 75.0% | 11.2% | $22,109,137 | 33.8% | 42.1% | 3.0 yrs | 2 |
| Rank 4 | Faber 10-Month Momentum | 41 | 48 | 64.6% | 11.6% | $26,744,421 | 25.0% | 37.9% | 5.3 yrs | 3 |
| Rank 5 | Absolute Momentum (Antonacci) | 40 | 35 | 68.6% | 11.5% | $25,698,572 | 9.9% | 47.6% | 3.7 yrs | 3 |
| Rank 6 | Golden Cross 50/200 | 40 | 33 | 78.8% | 11.8% | $30,966,455 | 19.9% | 25.5% | 5.2 yrs | 2 |
| Rank 7 | 52-Week High Breakout | 34 | 31 | 71.0% | 11.0% | $19,087,734 | 44.4% | 50.2% | 6.9 yrs | 3 |
| Rank 8 | SMA 200 | 32 | 198 | 30.3% | 12.6% | $48,003,173 | 16.7% | 80.1% | 3.4 yrs | 9 |
| Rank 9 | Double 7 (Connors) | 20 | 578 | 72.5% | 7.5% | $2,443,953 | 79.0% | 78.9% | 33.1 yrs | 3 |
| Rank 10 | Cumulative RSI (Connors) | 20 | 528 | 72.5% | 8.3% | $4,091,129 | 85.3% | 85.2% | 30.6 yrs | 4 |
| Rank 11 | Buy after Down Week | 19 | 827 | 72.2% | 10.4% | $13,774,556 | 85.0% | 84.4% | 20.0 yrs | 6 |
| Rank 12 | Turn of the Month | 18 | 765 | 58.2% | 11.2% | $21,046,188 | 64.5% | 67.0% | 6.2 yrs | 6 |
| Rank 13 | RSI(2) Pullback (Connors) | 16 | 495 | 72.7% | 5.4% | $674,672 | 72.3% | 68.3% | 33.1 yrs | 5 |
| Rank 14 | Long Only (ETF) | 16 | — | — | 10.9% | $17,905,763 | 55.8% | 55.8% | 6.1 yrs | — |
| Rank 15 | Elder Impulse System | 15 | 1011 | 38.8% | 13.3% | $71,636,651 | 21.9% | 97.7% | 5.1 yrs | 10 |
| Rank 16 | Elder Triple Screen | 15 | 481 | 61.5% | 9.4% | $7,601,114 | 57.8% | 77.0% | 9.0 yrs | 7 |
| Rank 17 | IBS Mean Reversion | 9 | 1563 | 64.0% | 4.8% | $469,713 | 91.8% | 89.0% | 50.3 yrs | 9 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "1963 to Date" · Reinvest on. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 50 | 203 | 66.0% | 6.2% | $1,143,289 | 5.3% | 14.2% | 3.2 yrs | 5 |
| Rank 2 | AVALONPLUS (full) | 43 | 203 | 66.0% | 7.4% | $2,321,129 | 7.3% | 28.7% | 3.2 yrs | 5 |
| Rank 3 | Sell in May | 41 | 64 | 75.0% | 6.3% | $1,186,342 | 10.9% | 42.1% | 2.0 yrs | 2 |
| Rank 4 | Faber 10-Month Momentum | 35 | 48 | 64.6% | 6.4% | $1,289,021 | 7.0% | 37.9% | 5.3 yrs | 3 |
| Rank 5 | Golden Cross 50/200 | 34 | 33 | 78.8% | 6.4% | $1,248,393 | 8.0% | 25.5% | 5.2 yrs | 2 |
| Rank 6 | Absolute Momentum (Antonacci) | 34 | 35 | 68.6% | 5.6% | $773,179 | 1.6% | 47.6% | 3.7 yrs | 3 |
| Rank 7 | 52-Week High Breakout | 28 | 31 | 71.0% | 5.9% | $922,661 | 6.8% | 50.2% | 6.1 yrs | 3 |
| Rank 8 | SMA 200 | 28 | 198 | 30.3% | 7.9% | $3,178,248 | 2.7% | 80.1% | 3.2 yrs | 9 |
| Rank 9 | Long Only (ETF) | 16 | — | — | 10.9% | $17,905,763 | 55.8% | 55.8% | 6.1 yrs | — |
| Rank 10 | Turn of the Month | 14 | 765 | 58.2% | 6.7% | $1,565,218 | 14.6% | 67.0% | 4.7 yrs | 6 |
| Rank 11 | Cumulative RSI (Connors) | 14 | 528 | 72.5% | 3.4% | $181,685 | 85.3% | 85.2% | 30.6 yrs | 4 |
| Rank 12 | Double 7 (Connors) | 13 | 578 | 72.5% | 2.9% | $132,748 | 78.4% | 78.9% | 33.2 yrs | 3 |
| Rank 13 | RSI(2) Pullback (Connors) | 12 | 495 | 72.7% | 2.7% | $112,612 | 67.1% | 68.3% | 32.8 yrs | 5 |
| Rank 14 | Buy after Down Week | 11 | 827 | 72.2% | 4.1% | $308,371 | 85.0% | 84.4% | 20.0 yrs | 6 |
| Rank 15 | Elder Impulse System | 11 | 1011 | 38.8% | 8.2% | $3,755,346 | 6.6% | 97.7% | 5.3 yrs | 10 |
| Rank 16 | Elder Triple Screen | 11 | 481 | 61.5% | 4.6% | $420,562 | 56.4% | 77.0% | 8.9 yrs | 7 |
| Rank 17 | IBS Mean Reversion | 5 | 1563 | 64.0% | 2.7% | $113,008 | 85.5% | 89.0% | 44.2 yrs | 9 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "1963 to Date" · Reinvest off. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 89 | 87 | 71.3% | 27.2% | $15,509,374 | 14.9% | 14.2% | 3.0 yrs | 3 |
| Rank 2 | AVALONPLUS (full) | 70 | 87 | 71.3% | 28.2% | $18,939,311 | 13.7% | 28.7% | 3.0 yrs | 3 |
| Rank 3 | Double 7 (Connors) | 50 | 252 | 76.2% | 11.9% | $473,010 | 20.2% | 18.7% | 3.2 yrs | 3 |
| Rank 4 | RSI(2) Pullback (Connors) | 45 | 187 | 74.9% | 8.6% | $202,974 | 21.1% | 19.2% | 3.1 yrs | 3 |
| Rank 5 | Faber 10-Month Momentum | 42 | 20 | 65.0% | 17.1% | $1,681,918 | 39.7% | 34.4% | 5.3 yrs | 2 |
| Rank 6 | Absolute Momentum (Antonacci) | 37 | 15 | 60.0% | 20.9% | $3,934,245 | 50.7% | 47.6% | 7.7 yrs | 3 |
| Rank 7 | Sell in May | 35 | 27 | 74.1% | 10.5% | $331,280 | 34.3% | 33.1% | 6.0 yrs | 2 |
| Rank 8 | 52-Week High Breakout | 31 | 14 | 78.6% | 16.0% | $1,288,580 | 26.6% | 27.0% | 3.6 yrs | 1 |
| Rank 9 | Golden Cross 50/200 | 31 | 13 | 76.9% | 17.6% | $1,863,068 | 24.6% | 25.5% | 5.2 yrs | 1 |
| Rank 10 | Cumulative RSI (Connors) | 29 | 199 | 73.4% | 10.6% | $342,856 | 46.0% | 44.0% | 6.2 yrs | 3 |
| Rank 11 | SMA 200 | 28 | 97 | 26.8% | 12.6% | $572,185 | 75.8% | 76.0% | 14.7 yrs | 9 |
| Rank 12 | Buy after Down Week | 24 | 357 | 73.1% | 12.9% | $607,954 | 65.8% | 65.0% | 6.2 yrs | 4 |
| Rank 13 | IBS Mean Reversion | 22 | 850 | 65.5% | 15.5% | $1,157,759 | 66.6% | 67.9% | 8.2 yrs | 9 |
| Rank 14 | Long Only (ETF) | 13 | — | — | 8.3% | $186,681 | 55.8% | 55.8% | 6.1 yrs | — |
| Rank 15 | Turn of the Month | 7 | 321 | 55.5% | 3.0% | $29,827 | 65.8% | 66.4% | 15.3 yrs | 5 |
| Rank 16 | Elder Triple Screen | 6 | 206 | 62.1% | 3.1% | $31,546 | 80.8% | 77.0% | 6.8 yrs | 7 |
| Rank 17 | Elder Impulse System | 1 | 462 | 11.7% | -12.1% | $-24,210 | 97.1% | 97.3% | still underwater after 26.7 yrs | 8 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "2000 to Date" · Reinvest on. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 58 | 87 | 71.3% | 9.4% | $252,440 | 4.6% | 14.2% | 3.0 yrs | 3 |
| Rank 2 | AVALONPLUS (full) | 52 | 87 | 71.3% | 12.2% | $521,373 | 9.2% | 28.7% | 3.0 yrs | 3 |
| Rank 3 | RSI(2) Pullback (Connors) | 41 | 187 | 74.9% | 4.7% | $59,968 | 10.2% | 19.2% | 2.9 yrs | 3 |
| Rank 4 | Double 7 (Connors) | 40 | 252 | 76.2% | 5.7% | $84,365 | 14.5% | 18.7% | 3.2 yrs | 3 |
| Rank 5 | Faber 10-Month Momentum | 33 | 20 | 65.0% | 8.4% | $190,148 | 13.9% | 34.4% | 5.3 yrs | 2 |
| Rank 6 | Sell in May | 30 | 27 | 74.1% | 5.8% | $87,686 | 21.7% | 33.1% | 6.0 yrs | 2 |
| Rank 7 | Absolute Momentum (Antonacci) | 30 | 15 | 60.0% | 10.1% | $302,870 | 4.0% | 47.6% | 3.7 yrs | 3 |
| Rank 8 | 52-Week High Breakout | 25 | 14 | 78.6% | 7.8% | $159,617 | 26.6% | 27.0% | 3.6 yrs | 1 |
| Rank 9 | Cumulative RSI (Connors) | 24 | 199 | 73.4% | 5.5% | $80,461 | 18.5% | 44.0% | 5.0 yrs | 3 |
| Rank 10 | Golden Cross 50/200 | 23 | 13 | 76.9% | 7.9% | $166,112 | 3.6% | 25.5% | 5.2 yrs | 1 |
| Rank 11 | SMA 200 | 19 | 97 | 26.8% | 8.3% | $185,652 | 75.8% | 76.0% | 14.7 yrs | 9 |
| Rank 12 | Buy after Down Week | 16 | 357 | 73.1% | 6.7% | $115,633 | 56.1% | 65.0% | 4.7 yrs | 4 |
| Rank 13 | Long Only (ETF) | 13 | — | — | 8.3% | $186,681 | 55.8% | 55.8% | 6.1 yrs | — |
| Rank 14 | IBS Mean Reversion | 11 | 850 | 65.5% | 6.7% | $117,392 | 66.6% | 67.9% | 8.2 yrs | 9 |
| Rank 15 | Turn of the Month | 10 | 321 | 55.5% | 4.9% | $63,943 | 50.6% | 66.4% | 7.2 yrs | 5 |
| Rank 16 | Elder Triple Screen | 8 | 206 | 62.1% | 3.8% | $42,685 | 56.8% | 77.0% | 7.4 yrs | 7 |
| Rank 17 | Elder Impulse System | 1 | 462 | 11.7% | -12.1% | $-24,210 | 97.1% | 97.3% | still underwater after 26.7 yrs | 8 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "2000 to Date" · Reinvest off. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | Long Only (ETF) | 72 | — | — | 21.1% | $19,363 | 18.4% | 18.4% | 0.3 yrs | — |
| Rank 2 | IBS Mean Reversion | 70 | 80 | 68.8% | 13.8% | $11,806 | 8.7% | 9.5% | 0.6 yrs | 4 |
| Rank 3 | Double 7 (Connors) | 69 | 38 | 84.2% | 18.2% | $16,292 | 12.3% | 7.6% | 0.6 yrs | 1 |
| Rank 4 | Buy after Down Week | 62 | 38 | 78.9% | 18.0% | $16,046 | 11.9% | 16.3% | 0.3 yrs | 2 |
| Rank 5 | AVALONPLUS (50/50) | 61 | 13 | 69.2% | 47.1% | $54,582 | 7.6% | 8.8% | 0.7 yrs | 1 |
| Rank 6 | AVALONPLUS (full) | 60 | 13 | 69.2% | 104.1% | $187,737 | 19.5% | 17.6% | 0.7 yrs | 1 |
| Rank 7 | RSI(2) Pullback (Connors) | 56 | 31 | 80.6% | 11.5% | $9,671 | 12.3% | 7.5% | 0.9 yrs | 2 |
| Rank 8 | Elder Impulse System | 49 | 52 | 46.2% | 31.4% | $31,788 | 47.8% | 46.4% | 1.9 yrs | 4 |
| Rank 9 | Cumulative RSI (Connors) | 48 | 29 | 75.9% | 14.0% | $12,072 | 20.8% | 20.9% | 1.1 yrs | 2 |
| Rank 10 | SMA 200 | 43 | 6 | 66.7% | 113.9% | $219,935 | 8.4% | 8.2% | 1.4 yrs | 1 |
| Rank 11 | Turn of the Month | 34 | 36 | 63.9% | 9.2% | $7,600 | 36.6% | 40.4% | 0.4 yrs | 3 |
| Rank 12 | Elder Triple Screen | 30 | 25 | 72.0% | 11.9% | $10,005 | 44.7% | 45.1% | 1.8 yrs | 2 |
| Rank 13 | Sell in May | 28 | 3 | 66.7% | 13.9% | $11,984 | 1.5% | 3.2% | 2.0 yrs | 1 |
| Rank 14 | 52-Week High Breakout | 0 | 3 | 100.0% | 55.8% | $69,611 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 15 | Absolute Momentum (Antonacci) | 0 | 1 | 100.0% | 32.0% | $32,447 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 16 | Faber 10-Month Momentum | 0 | 4 | 100.0% | 37.0% | $39,278 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 17 | Golden Cross 50/200 | 0 | 2 | 100.0% | 43.7% | $49,213 | 0.0% | 0.0% | 0.0 yrs | 0 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 3 Years" · Reinvest on. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | Long Only (ETF) | 72 | — | — | 21.1% | $19,363 | 18.4% | 18.4% | 0.3 yrs | — |
| Rank 2 | IBS Mean Reversion | 67 | 80 | 68.8% | 12.3% | $10,377 | 8.7% | 9.5% | 0.6 yrs | 4 |
| Rank 3 | Double 7 (Connors) | 64 | 38 | 84.2% | 13.5% | $11,539 | 6.3% | 7.6% | 0.5 yrs | 1 |
| Rank 4 | AVALONPLUS (50/50) | 61 | 13 | 69.2% | 30.9% | $31,144 | 5.3% | 8.8% | 0.7 yrs | 1 |
| Rank 5 | Buy after Down Week | 60 | 38 | 78.9% | 16.0% | $14,065 | 11.9% | 16.3% | 0.6 yrs | 2 |
| Rank 6 | AVALONPLUS (full) | 60 | 13 | 69.2% | 55.5% | $69,041 | 7.4% | 17.6% | 0.4 yrs | 1 |
| Rank 7 | Elder Impulse System | 57 | 52 | 46.2% | 36.5% | $38,636 | 24.5% | 46.4% | 0.9 yrs | 4 |
| Rank 8 | RSI(2) Pullback (Connors) | 53 | 31 | 80.6% | 9.6% | $7,892 | 7.1% | 7.5% | 0.8 yrs | 2 |
| Rank 9 | Cumulative RSI (Connors) | 48 | 29 | 75.9% | 13.2% | $11,290 | 15.8% | 20.9% | 1.0 yrs | 2 |
| Rank 10 | SMA 200 | 43 | 6 | 66.7% | 65.0% | $87,306 | 6.1% | 8.2% | 1.4 yrs | 1 |
| Rank 11 | Turn of the Month | 33 | 36 | 63.9% | 10.2% | $8,484 | 32.1% | 40.4% | 2.1 yrs | 3 |
| Rank 12 | Elder Triple Screen | 30 | 25 | 72.0% | 11.5% | $9,658 | 44.7% | 45.1% | 1.8 yrs | 2 |
| Rank 13 | Sell in May | 27 | 3 | 66.7% | 11.7% | $9,804 | 1.5% | 3.2% | 2.0 yrs | 1 |
| Rank 14 | 52-Week High Breakout | 0 | 3 | 100.0% | 42.0% | $46,653 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 15 | Absolute Momentum (Antonacci) | 0 | 1 | 100.0% | 32.0% | $32,447 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 16 | Faber 10-Month Momentum | 0 | 4 | 100.0% | 29.2% | $28,901 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 17 | Golden Cross 50/200 | 0 | 2 | 100.0% | 33.6% | $34,671 | 0.0% | 0.0% | 0.0 yrs | 0 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 3 Years" · Reinvest off. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 84 | 20 | 60.0% | 28.4% | $62,175 | 9.4% | 11.0% | 2.2 yrs | 3 |
| Rank 2 | AVALONPLUS (full) | 81 | 20 | 60.0% | 53.7% | $189,327 | 21.0% | 20.4% | 2.2 yrs | 3 |
| Rank 3 | IBS Mean Reversion | 66 | 153 | 64.1% | 20.3% | $38,060 | 16.5% | 18.2% | 0.8 yrs | 5 |
| Rank 4 | SMA 200 | 61 | 16 | 31.2% | 72.7% | $359,431 | 58.5% | 56.7% | 3.1 yrs | 9 |
| Rank 5 | Cumulative RSI (Connors) | 61 | 45 | 75.6% | 15.8% | $27,144 | 19.3% | 20.9% | 1.5 yrs | 2 |
| Rank 6 | RSI(2) Pullback (Connors) | 58 | 43 | 79.1% | 8.1% | $11,833 | 11.5% | 7.5% | 1.4 yrs | 2 |
| Rank 7 | Double 7 (Connors) | 50 | 49 | 79.6% | 10.0% | $15,337 | 15.9% | 16.6% | 2.4 yrs | 3 |
| Rank 8 | Long Only (ETF) | 49 | — | — | 13.6% | $22,339 | 24.1% | 24.1% | 1.9 yrs | — |
| Rank 9 | Buy after Down Week | 44 | 65 | 72.3% | 13.0% | $21,099 | 29.4% | 33.1% | 1.5 yrs | 2 |
| Rank 10 | Faber 10-Month Momentum | 31 | 7 | 71.4% | 33.3% | $80,133 | 35.9% | 32.8% | 3.1 yrs | 2 |
| Rank 11 | Turn of the Month | 24 | 60 | 56.7% | 4.2% | $5,746 | 33.7% | 40.4% | 2.1 yrs | 4 |
| Rank 12 | Sell in May | 23 | 5 | 60.0% | 7.3% | $10,592 | 18.2% | 18.2% | 2.0 yrs | 1 |
| Rank 13 | Elder Triple Screen | 14 | 44 | 59.1% | -8.1% | $-8,590 | 66.5% | 67.3% | 0.2 yrs | 4 |
| Rank 14 | Elder Impulse System | 12 | 92 | 35.9% | -13.6% | $-12,988 | 84.3% | 85.3% | 0.2 yrs | 7 |
| Rank 15 | 52-Week High Breakout | 0 | 4 | 100.0% | 49.1% | $159,051 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 16 | Absolute Momentum (Antonacci) | 0 | 2 | 100.0% | 39.0% | $104,498 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 17 | Golden Cross 50/200 | 0 | 3 | 100.0% | 42.4% | $121,550 | 0.0% | 0.0% | 0.0 yrs | 0 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 5 Years" · Reinvest on. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (full) | 75 | 20 | 60.0% | 31.5% | $73,144 | 16.3% | 20.4% | 2.2 yrs | 3 |
| Rank 2 | AVALONPLUS (50/50) | 74 | 20 | 60.0% | 18.4% | $33,130 | 9.2% | 11.0% | 2.2 yrs | 3 |
| Rank 3 | IBS Mean Reversion | 57 | 153 | 64.1% | 14.8% | $24,823 | 16.4% | 18.2% | 0.6 yrs | 5 |
| Rank 4 | RSI(2) Pullback (Connors) | 57 | 43 | 79.1% | 7.0% | $10,055 | 6.4% | 7.5% | 1.4 yrs | 2 |
| Rank 5 | Cumulative RSI (Connors) | 55 | 45 | 75.6% | 12.2% | $19,469 | 13.3% | 20.9% | 1.5 yrs | 2 |
| Rank 6 | SMA 200 | 54 | 16 | 31.2% | 46.0% | $140,762 | 20.9% | 56.7% | 3.1 yrs | 9 |
| Rank 7 | Long Only (ETF) | 49 | — | — | 13.6% | $22,339 | 24.1% | 24.1% | 1.9 yrs | — |
| Rank 8 | Double 7 (Connors) | 45 | 49 | 79.6% | 7.3% | $10,586 | 15.9% | 16.6% | 2.4 yrs | 3 |
| Rank 9 | Buy after Down Week | 41 | 65 | 72.3% | 10.9% | $16,925 | 29.4% | 33.1% | 1.6 yrs | 2 |
| Rank 10 | Faber 10-Month Momentum | 29 | 7 | 71.4% | 26.2% | $54,957 | 16.0% | 32.8% | 3.1 yrs | 2 |
| Rank 11 | Turn of the Month | 25 | 60 | 56.7% | 4.9% | $6,776 | 32.8% | 40.4% | 2.1 yrs | 4 |
| Rank 12 | Sell in May | 21 | 5 | 60.0% | 6.0% | $8,410 | 18.2% | 18.2% | 2.0 yrs | 1 |
| Rank 13 | Elder Triple Screen | 14 | 44 | 59.1% | -8.1% | $-8,590 | 66.5% | 67.3% | 0.2 yrs | 4 |
| Rank 14 | Elder Impulse System | 12 | 92 | 35.9% | -13.6% | $-12,988 | 84.3% | 85.3% | 0.2 yrs | 7 |
| Rank 15 | 52-Week High Breakout | 0 | 4 | 100.0% | 31.4% | $72,811 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 16 | Absolute Momentum (Antonacci) | 0 | 2 | 100.0% | 26.7% | $56,714 | 0.0% | 0.0% | 0.0 yrs | 0 |
| Rank 17 | Golden Cross 50/200 | 0 | 3 | 100.0% | 27.1% | $57,926 | 0.0% | 0.0% | 0.0 yrs | 0 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 5 Years" · Reinvest off. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 84 | 34 | 76.5% | 48.7% | $1,297,218 | 9.9% | 11.0% | 2.2 yrs | 3 |
| Rank 2 | AVALONPLUS (full) | 81 | 34 | 76.5% | 81.1% | $9,450,001 | 11.1% | 20.4% | 2.2 yrs | 3 |
| Rank 3 | IBS Mean Reversion | 60 | 295 | 67.5% | 25.4% | $214,650 | 26.2% | 28.9% | 2.2 yrs | 5 |
| Rank 4 | Buy after Down Week | 60 | 131 | 76.3% | 24.4% | $197,057 | 38.8% | 33.1% | 2.2 yrs | 3 |
| Rank 5 | Double 7 (Connors) | 54 | 99 | 78.8% | 12.0% | $52,735 | 17.1% | 16.6% | 2.4 yrs | 3 |
| Rank 6 | SMA 200 | 50 | 29 | 37.9% | 39.3% | $661,953 | 60.4% | 59.0% | 3.3 yrs | 9 |
| Rank 7 | RSI(2) Pullback (Connors) | 45 | 82 | 76.8% | 7.7% | $27,505 | 17.1% | 14.8% | 3.3 yrs | 2 |
| Rank 8 | Long Only (ETF) | 44 | — | — | 15.5% | $80,681 | 34.3% | 34.3% | 1.9 yrs | — |
| Rank 9 | Cumulative RSI (Connors) | 41 | 88 | 72.7% | 10.9% | $45,586 | 28.7% | 27.2% | 3.5 yrs | 3 |
| Rank 10 | Faber 10-Month Momentum | 36 | 11 | 63.6% | 19.1% | $118,199 | 39.7% | 34.4% | 3.3 yrs | 2 |
| Rank 11 | Sell in May | 32 | 10 | 70.0% | 11.5% | $49,270 | 20.4% | 18.2% | 3.0 yrs | 1 |
| Rank 12 | Turn of the Month | 31 | 120 | 60.8% | 9.8% | $38,745 | 36.7% | 40.4% | 2.5 yrs | 4 |
| Rank 13 | 52-Week High Breakout | 27 | 6 | 83.3% | 29.3% | $301,755 | 17.3% | 17.0% | 3.2 yrs | 1 |
| Rank 14 | Absolute Momentum (Antonacci) | 25 | 6 | 50.0% | 15.1% | $76,804 | 45.1% | 47.6% | 3.3 yrs | 3 |
| Rank 15 | Golden Cross 50/200 | 22 | 5 | 80.0% | 24.1% | $191,725 | 25.6% | 25.5% | 3.3 yrs | 1 |
| Rank 16 | Elder Impulse System | 19 | 163 | 42.3% | 6.6% | $22,552 | 90.4% | 85.3% | 0.7 yrs | 7 |
| Rank 17 | Elder Triple Screen | 4 | 83 | 66.3% | -4.1% | $-8,573 | 73.2% | 71.2% | still underwater after 9.2 yrs | 4 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 10 Years" · Reinvest on. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
| Strategy | Score | Trades | Win rate | CAGR | PnL | Max DD | DD worst entry | Recovery | Losing streak | |
|---|---|---|---|---|---|---|---|---|---|---|
| Rank 1 | AVALONPLUS (50/50) | 78 | 34 | 76.5% | 19.5% | $122,852 | 2.4% | 11.0% | 1.5 yrs | 3 |
| Rank 2 | AVALONPLUS (full) | 73 | 34 | 76.5% | 27.4% | $257,613 | 2.6% | 20.4% | 1.5 yrs | 3 |
| Rank 3 | Buy after Down Week | 48 | 131 | 76.3% | 12.8% | $58,112 | 14.8% | 33.1% | 1.3 yrs | 3 |
| Rank 4 | Double 7 (Connors) | 46 | 99 | 78.8% | 7.6% | $27,018 | 9.8% | 16.6% | 2.4 yrs | 3 |
| Rank 5 | SMA 200 | 45 | 29 | 37.9% | 23.7% | $184,891 | 24.4% | 59.0% | 3.3 yrs | 9 |
| Rank 6 | IBS Mean Reversion | 44 | 295 | 67.5% | 13.1% | $60,329 | 22.0% | 28.9% | 2.1 yrs | 5 |
| Rank 7 | RSI(2) Pullback (Connors) | 44 | 82 | 76.8% | 6.1% | $20,164 | 11.3% | 14.8% | 3.1 yrs | 2 |
| Rank 8 | Long Only (ETF) | 44 | — | — | 15.5% | $80,681 | 34.3% | 34.3% | 1.9 yrs | — |
| Rank 9 | Cumulative RSI (Connors) | 36 | 88 | 72.7% | 7.9% | $28,355 | 25.2% | 27.2% | 3.5 yrs | 3 |
| Rank 10 | Faber 10-Month Momentum | 32 | 11 | 63.6% | 15.0% | $76,244 | 18.6% | 34.4% | 3.3 yrs | 2 |
| Rank 11 | Sell in May | 31 | 10 | 70.0% | 8.8% | $33,209 | 10.4% | 18.2% | 2.0 yrs | 1 |
| Rank 12 | Turn of the Month | 29 | 120 | 60.8% | 8.2% | $29,750 | 36.7% | 40.4% | 2.5 yrs | 4 |
| Rank 13 | Absolute Momentum (Antonacci) | 23 | 6 | 50.0% | 12.4% | $55,151 | 35.0% | 47.6% | 3.3 yrs | 3 |
| Rank 14 | 52-Week High Breakout | 21 | 6 | 83.3% | 17.4% | $99,455 | 7.6% | 17.0% | 3.2 yrs | 1 |
| Rank 15 | Elder Impulse System | 20 | 163 | 42.3% | 14.3% | $69,781 | 51.1% | 85.3% | 4.5 yrs | 7 |
| Rank 16 | Golden Cross 50/200 | 18 | 5 | 80.0% | 14.7% | $73,126 | 13.9% | 25.5% | 3.3 yrs | 1 |
| Rank 17 | Elder Triple Screen | 6 | 83 | 66.3% | -1.6% | $-3,740 | 65.9% | 71.2% | 4.1 yrs | 4 |
Backtester settings: Transaction Costs on · Interest on Cash on · Pos. Size 50/50 off · Annual Adjustments off · Normalize Positions on · MES · $25,000 · "Last 10 Years" · Reinvest off. The AVALONPLUS (50/50) row is the same run with Pos. Size 50/50 on.
The fall from the equity curve's own high. It says how deep the ride got for someone who was already ahead.
The same fall measured in dollars against the starting capital. It answers what happened to someone who started at the worst possible moment.
Buy when the close is above the 200-day average and at a 7-day low; sell at a 7-day high.
Larry Connors and Cesar Alvarez, Short Term Trading Strategies That Work (2008).
Worst single-trade loss in the test (max MAE): 32.2% · position sized and stop placed at 35.2% (max MAE + 3 points gap buffer).
Buy when the close is above the 200-day average and RSI(2) drops below 10; sell when RSI(2) rises above 70.
Larry Connors, Short Term Trading Strategies That Work.
Worst single-trade loss in the test (max MAE): 32.2% · position sized and stop placed at 35.2% (max MAE + 3 points gap buffer).
At each month end: long for the whole next month if the close is above its 10-month moving average.
Meb Faber, A Quantitative Approach to Tactical Asset Allocation (2007).
Worst single-trade loss in the test (max MAE): 21.7% · position sized and stop placed at 24.7% (max MAE + 3 points gap buffer).
At each month end: long for the whole next month if the 12-month return beats the 12-month cash rate.
Gary Antonacci, Dual Momentum Investing (2014).
Worst single-trade loss in the test (max MAE): 28.2% · position sized and stop placed at 31.2% (max MAE + 3 points gap buffer).
Long from November through April, in cash from May through October.
Seasonal rule, also known as the Halloween indicator.
Worst single-trade loss in the test (max MAE): 31.4% · position sized and stop placed at 34.4% (max MAE + 3 points gap buffer).
Buy at a new 252-day high, sell at a new 126-day low.
Donchian-style breakout.
Worst single-trade loss in the test (max MAE): 12.9% · position sized and stop placed at 15.9% (max MAE + 3 points gap buffer).
Long while the 50-day moving average is above the 200-day moving average.
Classic moving-average crossover.
Worst single-trade loss in the test (max MAE): 23.6% · position sized and stop placed at 26.6% (max MAE + 3 points gap buffer).
Buy when the close is above the 200-day average and the 2-day RSI of today plus yesterday adds up to less than 35; sell when RSI(2) rises above 65.
Larry Connors and Cesar Alvarez, High Probability ETF Trading (2009).
Worst single-trade loss in the test (max MAE): 15.6% · position sized and stop placed at 18.6% (max MAE + 3 points gap buffer).
Long while the close is above its 200-day simple moving average, in cash otherwise.
Standard trend filter, widely published.
Worst single-trade loss in the test (max MAE): 5.8% · position sized and stop placed at 8.8% (max MAE + 3 points gap buffer).
After a week that closes lower than the week before, long for the following week.
Weekly pullback pattern, widely published.
Worst single-trade loss in the test (max MAE): 30.5% · position sized and stop placed at 33.5% (max MAE + 3 points gap buffer).
Buy when the close is in the bottom fifth of the day's range (IBS below 0.2); sell when it closes in the top fifth (IBS above 0.8).
Alexander Pagonidis, The IBS Effect (NAAIM, 2013).
Worst single-trade loss in the test (max MAE): 29.1% · position sized and stop placed at 32.1% (max MAE + 3 points gap buffer).
Long from the second-to-last trading day of each month through the third trading day of the next month, in cash otherwise.
Calendar effect documented by Ariel (1987) and Lakonishok and Smidt (1988).
Worst single-trade loss in the test (max MAE): 11.7% · position sized and stop placed at 14.7% (max MAE + 3 points gap buffer).
Buy when the 13-week EMA is rising and the slow stochastic (5, 3) drops below 30; sell when the stochastic rises above 70 or the 13-week EMA turns down.
Alexander Elder, Trading for a Living (1993); first published 1986.
Worst single-trade loss in the test (max MAE): 11.8% · position sized and stop placed at 14.8% (max MAE + 3 points gap buffer).
Buy on a green bar (13-day EMA and MACD histogram 12/26/9 both rising); sell on a red bar (both falling).
Alexander Elder, Come Into My Trading Room (2002).
Worst single-trade loss in the test (max MAE): 7.6% · position sized and stop placed at 10.6% (max MAE + 3 points gap buffer).
AVALONPLUS (50/50) led with 27.2% a year with profits reinvested, a PnL of $15,509,374 on $25,000 since 2000. Every number on comes from the same backtester, the same price series and the same cost model, so the ranking compares rules and not assumptions.
Not in this run, but Elder Impulse System came close: a DD worst entry of 97.3% means an account opened at the worst possible moment was down to 2.7% of the money paid in. Size the same rule more aggressively and it crosses 100%, which is a wiped-out account.
Max DD is the fall from the equity curve's own high. DD worst entry measures the same fall in dollars against the starting capital, so it answers what would have happened to someone who started at the worst possible moment. Above 100% that account is gone.
Each rule set is sized by its own worst single-trade loss in the test (max MAE) plus three percentage points of gap buffer, and the same figure sets the protective stop. Sizing every rule with the same risk assumption would compare the assumption instead of the rule.
Micro E-mini S&P 500 futures (MES, $5 a point), $25,000 starting capital, commission and two ticks of slippage on every fill, interest on idle cash at the broker rate, and position sizes normalised so that the contract count stays realistic across 64 years of index levels.
Hypothetical backtests on historical data. Past results do not predict future results. Futures trading carries substantial risk of loss, including losses larger than the amount paid in. Nothing on this page is investment advice.