⚙ Backtested · Walk-forward validated · Not live yet
Trend-Gated US Equity
by Trado Quant · long-only spot · S&P 500
+38.9%
CAGR (2018–2026, OOS)
+23.9%
Alpha vs SPY
1.78
Sharpe ratio
−14.4%
Max drawdown
!
Backtested and walk-forward validated — but not yet trading live capital.
All numbers on this page are out-of-sample backtest results (signal weights trained only on 2010–2017, tested untouched on 2018–2026). Built on free daily data and a partially survivorship-corrected universe. No live capital has been deployed. Treat as a research portfolio, not a track record.
Growth of 100 · 2010–2026
Trend-Gated US EquitySPY buy & hold
Key statistics · out-of-sample 2018–2026
How it works
1
Trend gate. Every Friday close, check if SPY is above its 100-day moving average. If not, hold 100% short-term Treasuries (SHY) and wait. The 100-day window was chosen by walk-forward (beat 50/150/200-day on consistency and cost-robustness across all four sub-periods), not by picking the single best backtest.
2
Composite score. If the gate is open, score every liquid S&P 500 stock on five cross-sectional signals — 12-month momentum, 1-day reversal, 21-day reversal, intraday-move fade, and weak-close bounce — each z-scored and IC-weighted.
3
Earnings filter. Drop any stock reporting earnings within ±5 trading days. Concentrated positions hate binary earnings surprises — skipping them improves risk-adjusted return.
4
Hold & rotate. Buy the top 10 by score, equal-weight. Hold one week, repeat.
Walk-forward validation
Window
CAGR
Sharpe
Max DD
Alpha vs SPY
Signal weights were fit only on the in-sample window and never re-touched on the test window. The strategy beat SPY out-of-sample with a higher Sharpe and roughly half the drawdown. Across four independent rolling folds (not shown), it beat SPY in 3 of 4, averaging +6.4% edge per year.
Live paper track ·
Paper (real signals)SPY
Week
Gate
Paper
SPY
Cumulative
Current signal ·
What could go wrong
🟡
Multi-year lag in quiet bull markets. In a smooth, low-volatility uptrend (e.g. 2017–2019) the strategy can trail SPY by ~6%/year for 2–3 years. That is the cost of the regime gate, not a malfunction.
🟡
Concentration risk. Only 10 names at a time. The earnings filter cuts the worst binary surprises but idiosyncratic risk remains.
🟡
Cost sensitivity. Edge holds up to ~25 bps round-trip and breaks near 35 bps. Real costs on liquid S&P 500 names run ~5–15 bps.
🟡
Free-data limits. Built on yfinance daily bars and a partially survivorship-corrected S&P 500 universe. Backtested approximation, not audited.
Disclaimer. All figures are backtested or simulated and do not represent live trading. Past performance — simulated or actual — does not guarantee future results. This strategy has not been traded with live capital. For research and informational purposes only; not financial advice, an offer, or a solicitation to invest.