Backtesting Performance of Using a Combined Set of Strategies to S&P500 From 22/5/1980 to 5/3/2013

I develop 2 sets of strategies, one is trend following and another is trend reversal. These 2 sets of strategies should be used together. For the time being, I only test the trend reversal strategy from 1/1/1986 to 5/3/2013 and the trend following strategy from 22/5/1980 to 5/3/2013. The strategies are based on the chart patterns of 500 stocks of S&P 500 as well as the breakout price of S&P 500 and its 500 constituents.

The worst annual performance occurred in 1981, which had about a loss of 80 points, i.e. nearly 60% of the price of S&P 500. For the other 31 years, there is no one year with a loss. The gain reaches nearly 16,000 in 32.5 years. The average annual gain is about 492 points. The maximum drawdown over 32 years is about 600 points that occurred in August to September 2008.

Considering the transaction cost, it is about 0.25 point for both side transactions in reference to etrade. Then, the total transaction cost is about 1500 points in 32 years. The average annual gain reduces to 446 point. If using the price of S&P500 as the original balance, the percentage gain is equal to 446 / 1540 (price on 7/3/2013) =  29%, it is a quite attractive annual gain in such a long period of time. The actual annual gain ratio can be higher since my calculation of the original balance 1540 points may be adjusted according to the average S&P 500 price level each year.