The Algorithmic Trading Strategy combines Trend Following and Position Sizing models to take positions in ETFs.
The Strategy seeks to provide exposure to the US stock market, with attractive returns and less drawdown during times of market stress.
The objective of the Strategy is to capture the US stock market growth when the S&P 500 index is in a rising trend, and avoid losses by investing in a Long-Term US Treasuries ETF, when the index is in a falling trend.
If the S&P 500 is observed to be in a positive trend, we assume a Risk-On market regime and the Portfolio is allocated to one of three US stock ETFs : S&P 500 (SPY), Nasdaq (QQQ) or MidCap (MDY). The ETF that is bought has the best momentum (performance).
If in a falling trend, we assume a Risk-Off market environment and the Portfolio is allocated to a 20+ Year US Treasury Bond ETF (TLT)

The strategy seeks to minimize losses through market downturns. It experienced a lower drawdown (-14.4%) compared to its benchmark (-50%) or a buy-and-hold approach (-23%) during the market sell-off in 2008-2009.

The portfolio is rebalanced monthly. The portfolio holds only long positions.

Start Here Each Month

S&P 500 Index trend detection

Risk-On Market Regime

Buy/Hold the best-performing ETF from: QQQ SPY MDY

Risk-Off Market Regime

Buy/Hold ETFTLT

Natevia does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions, regardless of the cause or for the results obtained from the use of such information.

Rebalancing of the portfolio composition is done by Natevia based on publicly available data and may be delayed. Past performance is not an indication of future results. This is not an investment advice.

All prices are indicative and for information purposes only. Back-tested results.

  United States ETFs

Risk  5

Return  +22.26%

Max Drawdown-14.36%

Asset Allocation

QQQ100%
This strategy trades monthly

Last refresh:
9/23/20

Last trading day:
8/31/20

Next trading day:
9/30/20

Start Year:
2007

Benchmark:
SPY

Buy & Hold Portfolio:
QQQ 25%, SPY 25%, MDY 25%, TLT 25%

List of ETFs traded:

QQQ
Nasdaq 100

SPY
S&P 500

MDY
Midcap 400

TLT
Long-Term US Treasuries

Summary

Initial BalanceFinal BalanceCAGR Stdev Best YearWorst YearMax. DrawdownSharpe Ratio
Portfolio$10,000$158,60322.26%14.95%45.67%0.00%-14.36%1.37
Buy & Hold$10,000$38,27310.25%11.79%29.54%-20.18%-33.53%0.81
Benchmark$10,000$30,0618.33%15.41%32.15%-36.60%-50.53%0.54
YearPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
2007 +16.60%$11,659 +10.02% +5.30%
2008 +45.67%$16,984-20.18%-36.60%
2009 +29.97%$22,075 +13.72% +26.13%
2010 +25.51%$27,706 +17.14% +14.96%
2011 +32.72%$36,772 +9.88% +1.88%
2012 +8.29%$39,821 +12.49% +15.90%
2013 +36.33%$54,291 +19.90% +32.15%
2014 +14.15%$61,971 +17.08% +13.41%
2015 +1.28%$62,761 +2.20% +1.23%
2016 +23.05%$77,225 +9.82% +11.96%
2017 +25.58%$96,979 +21.18% +21.64%
2018 +13.19%$109,774-4.03%-4.56%
2019 +14.53%$125,726 +29.54% +31.15%
2020 +26.15%$158,602 +11.52% +1.68%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January0.00%$10,000 +1.21% +1.67%
February +1.07%$10,106 +0.19%-1.95%
March +1.33%$10,241 +0.32% +1.15%
April +2.75%$10,522 +3.39% +4.41%
May +5.10%$11,059 +2.38% +3.37%
June-2.16%$10,820-1.04%-1.45%
July-0.15%$10,804-1.27%-3.11%
August +2.82%$11,108 +1.75% +1.28%
September +5.24%$11,690 +3.03% +3.85%
October +7.03%$12,512 +3.28% +1.35%
November-6.75%$11,668-2.79%-3.85%
December-0.07%$11,659-0.64%-1.12%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +2.09%$11,902-5.54%-6.01%
February-0.46%$11,848-2.19%-2.57%
March +2.13%$12,101 +0.38%-0.89%
April-2.48%$11,802 +4.25% +4.74%
May +5.92%$12,501 +2.50% +1.50%
June +2.64%$12,831-5.59%-8.31%
July-0.37%$12,784-0.59%-0.89%
August +2.73%$13,133 +1.80% +1.54%
September +1.47%$13,326-8.29%-9.36%
October-1.85%$13,079-12.91%-16.41%
November +14.29%$14,949-1.24%-6.91%
December +13.61%$16,984 +6.88% +0.97%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January-13.04%$14,769-8.70%-8.14%
February-1.53%$14,544-5.57%-10.65%
March +4.04%$15,131 +6.88% +8.25%
April +13.06%$17,106 +4.62% +9.84%
May +3.21%$17,655 +1.14% +5.80%
June +0.88%$17,811 +1.14%-0.06%
July +8.42%$19,311 +5.47% +7.40%
August +1.47%$19,595 +2.77% +3.67%
September +5.63%$20,699 +4.15% +3.52%
October-4.50%$19,768-2.99%-1.91%
November +6.14%$20,982 +4.15% +6.12%
December +5.21%$22,075 +1.11% +1.90%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January-6.46%$20,648-2.45%-3.61%
February +5.06%$21,692 +2.87% +3.10%
March +7.17%$23,247 +4.33% +6.05%
April +4.17%$24,216 +2.84% +1.54%
May-7.05%$22,508-3.92%-7.90%
June +5.78%$23,810-2.36%-5.14%
July-0.95%$23,585 +4.33% +6.78%
August +8.37%$25,560-0.73%-4.47%
September-2.51%$24,918 +6.53% +8.89%
October +6.33%$26,495 +1.77% +3.80%
November-0.18%$26,447 +0.15%0.00%
December +4.76%$27,706 +3.12% +6.64%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +1.92%$28,239 +0.91% +2.32%
February +4.53%$29,519 +3.16% +3.45%
March +2.59%$30,283 +0.55% +0.01%
April +2.62%$31,078 +2.66% +2.88%
May-0.92%$30,793 +0.05%-1.12%
June-2.54%$30,012-2.15%-1.68%
July +4.40%$31,334 +0.30%-1.99%
August +9.65%$34,356-1.67%-5.47%
September +13.18%$38,884-1.02%-6.90%
October-3.82%$37,398 +6.20% +10.85%
November-2.69%$36,392-0.24%-0.40%
December +1.04%$36,772 +0.99% +1.04%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +6.59%$39,194 +4.40% +4.61%
February +4.51%$40,962 +2.75% +4.32%
March +5.05%$43,030 +1.21% +3.20%
April-1.17%$42,527 +0.81%-0.66%
May-7.03%$39,536-2.01%-5.98%
June-1.68%$38,873 +1.60% +4.04%
July +3.81%$40,355 +1.68% +1.17%
August-1.32%$39,823 +2.22% +2.49%
September +0.89%$40,177 +0.32% +2.52%
October-5.27%$38,057-2.18%-1.81%
November +2.30%$38,932 +1.40% +0.57%
December +2.28%$39,821-0.19% +0.89%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +7.08%$42,639 +2.42% +5.09%
February +0.83%$42,992 +0.90% +1.27%
March +4.84%$45,073 +2.63% +3.78%
April +0.60%$45,341 +2.50% +1.91%
May +2.36%$46,410 +0.11% +2.35%
June-2.40%$45,298-2.37%-1.33%
July +6.31%$48,157 +3.92% +5.15%
August-3.86%$46,299-2.06%-2.99%
September +4.83%$48,534 +3.57% +3.15%
October +4.96%$50,939 +3.69% +4.61%
November +3.55%$52,747 +1.37% +2.95%
December +2.93%$54,291 +1.83% +2.58%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January-1.92%$53,248-0.57%-3.51%
February +5.15%$55,990 +3.87% +4.53%
March-2.73%$54,460-0.42% +0.83%
April-1.48%$53,653 +0.14% +0.69%
May +2.32%$54,895 +2.93% +2.31%
June +2.06%$56,026 +2.37% +2.06%
July +1.18%$56,688-0.89%-1.34%
August +5.01%$59,526 +4.71% +3.93%
September-0.76%$59,075-2.12%-1.38%
October +2.64%$60,635 +2.82% +2.35%
November +4.54%$63,391 +3.14% +2.74%
December-2.24%$61,971 +0.16%-0.25%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January-1.10%$61,292 +0.75%-2.95%
February +5.02%$64,367 +2.96% +5.60%
March +1.33%$65,223-0.50%-1.57%
April-1.47%$64,263-0.37% +0.98%
May +2.25%$65,706 +0.84% +1.28%
June-2.48%$64,076-2.44%-2.02%
July +4.55%$66,993 +2.96% +2.25%
August-6.82%$62,426-5.01%-6.08%
September +1.96%$63,652-1.54%-2.54%
October-0.41%$63,392 +6.56% +8.48%
November +0.61%$63,778 +0.40% +0.36%
December-1.59%$62,761-1.94%-1.72%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +5.57%$66,255-3.37%-4.96%
February +3.08%$68,298 +0.51%-0.08%
March-0.09%$68,234 +5.42% +6.70%
April +1.19%$69,047-0.84% +0.39%
May +2.25%$70,597 +2.45% +1.70%
June +0.47%$70,926 +1.08% +0.34%
July +4.24%$73,935 +4.47% +3.64%
August +1.05%$74,711 +0.22% +0.12%
September +2.21%$76,363 +0.21% +0.01%
October-1.46%$75,251-2.48%-1.73%
November +0.44%$75,579 +0.84% +3.67%
December +2.18%$77,225 +1.24% +2.02%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +1.65%$78,496 +2.64% +1.78%
February +2.59%$80,533 +3.26% +3.92%
March +2.02%$82,163 +0.47% +0.12%
April +2.72%$84,401 +1.65% +0.99%
May +3.89%$87,685 +1.91% +1.41%
June-2.31%$85,656-0.17% +0.64%
July +4.06%$89,130 +1.93% +2.05%
August +2.07%$90,976 +1.09% +0.29%
September-0.29%$90,708 +0.76% +2.01%
October +4.60%$94,881 +2.66% +2.35%
November +1.97%$96,750 +2.37% +3.05%
December +0.24%$96,979 +0.86% +1.21%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +8.75%$105,466 +4.40% +5.62%
February-1.29%$104,104-2.84%-3.63%
March-4.08%$99,860-1.41%-2.73%
April +0.51%$100,365-0.17% +0.52%
May +2.00%$102,375 +3.96% +2.43%
June +0.41%$102,799 +0.76% +0.57%
July +2.79%$105,669 +1.99% +3.70%
August +5.77%$111,769 +3.85% +3.18%
September-0.28%$111,455-0.70% +0.59%
October-8.58%$101,887-7.55%-6.90%
November +1.79%$103,706 +1.32% +1.85%
December +5.85%$109,774-6.85%-8.78%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +0.38%$110,189 +7.41% +7.99%
February +4.32%$114,945 +2.56% +3.23%
March +3.92%$119,452 +2.70% +1.81%
April +5.49%$126,014 +3.52% +4.08%
May-8.22%$115,659-5.26%-6.36%
June +0.95%$116,757 +6.24% +6.94%
July +1.51%$118,522 +1.47% +1.51%
August-1.67%$116,538-0.06%-1.67%
September +0.92%$117,607 +0.89% +1.94%
October-1.11%$116,298 +2.15% +2.21%
November +4.07%$121,027 +2.90% +3.61%
December +3.88%$125,726 +2.18% +2.90%
MonthPortfolio ReturnPortfolio BalanceBuy & Hold ReturnBenchmark Return
January +3.04%$129,543 +1.93%-0.04%
February-6.05%$121,702-4.87%-7.90%
March +6.37%$129,457-8.15%-12.46%
April +1.22%$131,034 +11.17% +12.67%
May +6.60%$139,676 +4.59% +4.75%
June +6.28%$148,450 +3.32% +1.77%
July +7.34%$159,348 +6.02% +5.88%
August +10.94%$176,777 +5.84% +6.97%
September-10.28%$158,602-7.10%-7.25%
PeriodPortfolio ReturnBuy & Hold ReturnBenchmark Return
1 year +34.86% +19.77% +10.80%
2 years +42.30% +26.05% +15.34%
3 years +74.85% +46.96% +35.86%
5 years +149.17% +93.55% +85.46%
7 years +226.79% +136.28% +119.86%
10 years +536.50% +243.86% +243.75%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
1/31/076/29/075100% MDY
MDY : +8.26%
+8.26% +5.28% +5.51%
6/29/0712/31/076100% QQQ
QQQ : +7.77%
+7.77% +3.25%-1.83%
12/31/074/30/084100% TLT
TLT : +1.22%
+1.22%-3.31%-4.97%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
4/30/085/30/081100% QQQ
QQQ : +5.93%
+5.93% +2.50% +1.51%
5/30/083/31/0910100% TLT
TLT : +21.11%
+21.11%-25.78%-41.85%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
3/31/095/29/092100% QQQ
QQQ : +16.69%
+16.69% +5.82% +16.36%
5/29/096/30/091100% MDY
MDY : +0.89%
+0.89% +1.14%-0.07%
6/30/098/31/092100% QQQ
QQQ : +10.03%
+10.03% +8.39% +11.43%
8/31/0910/30/092100% MDY
MDY : +0.89%
+0.89% +1.04% +1.56%
10/30/0911/30/091100% SPY
SPY : +6.16%
+6.16% +4.15% +6.16%
11/30/091/29/102100% QQQ
QQQ : -1.59%
-1.59%-1.37%-1.79%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
1/29/105/28/104100% MDY
MDY : +9.01%
+9.01% +6.05% +2.26%
5/28/109/30/104100% TLT
TLT : +10.73%
+10.73% +7.73% +5.41%
9/30/1012/31/103100% QQQ
QQQ : +11.20%
+11.20% +5.11% +10.76%
12/31/106/30/116100% MDY
MDY : +8.34%
+8.34% +5.19% +5.92%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
6/30/1110/31/114100% TLT
TLT : +24.67%
+24.67% +3.67%-4.41%
10/31/1111/30/111100% QQQ
QQQ : -2.69%
-2.69%-0.24%-0.41%
11/30/1112/30/111100% SPY
SPY : +1.05%
+1.05% +0.99% +1.05%
12/30/112/29/122100% MDY
MDY : +11.40%
+11.40% +7.27% +9.18%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
2/29/125/31/123100% QQQ
QQQ : -3.49%
-3.49%-0.01%-3.63%
5/31/128/31/123100% TLT
TLT : +0.73%
+0.73% +5.61% +7.93%
8/31/1210/31/122100% QQQ
QQQ : -4.44%
-4.44%-1.87% +0.67%
10/31/124/30/136100% MDY
MDY : +19.16%
+19.16% +10.02% +14.27%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
4/30/135/31/131100% SPY
SPY : +2.36%
+2.36% +0.11% +2.36%
5/31/137/31/132100% QQQ
QQQ : +3.77%
+3.77% +1.46% +3.77%
7/31/138/30/131100% MDY
MDY : -3.86%
-3.86%-2.06%-3.00%
8/30/133/31/147100% QQQ
QQQ : +17.64%
+17.64% +14.01% +15.96%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
3/31/144/30/141100% MDY
MDY : -1.49%
-1.49% +0.14% +0.70%
4/30/146/30/142100% SPY
SPY : +4.43%
+4.43% +5.37% +4.43%
6/30/1412/31/146100% QQQ
QQQ : +10.62%
+10.62% +7.89% +6.09%
12/31/144/30/154100% MDY
MDY : +3.71%
+3.71% +2.84% +1.87%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
4/30/158/31/154100% QQQ
QQQ : -2.86%
-2.86%-3.79%-4.71%
8/31/1510/30/152100% TLT
TLT : +1.55%
+1.55% +4.92% +5.74%
10/30/1512/31/152100% QQQ
QQQ : -1.00%
-1.00%-1.55%-1.37%
12/31/153/31/163100% TLT
TLT : +8.73%
+8.73% +2.39% +1.33%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
3/31/167/29/164100% MDY
MDY : +8.36%
+8.36% +7.27% +6.19%
7/29/1611/30/164100% QQQ
QQQ : +2.23%
+2.23%-1.24% +2.01%
11/30/162/28/173100% MDY
MDY : +6.56%
+6.56% +7.30% +7.93%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
2/28/1711/30/179100% QQQ
QQQ : +20.16%
+20.16% +13.35% +13.67%
11/30/1712/29/171100% MDY
MDY : +0.24%
+0.24% +0.86% +1.21%
12/29/174/30/184100% QQQ
QQQ : +3.49%
+3.49%-0.16%-0.48%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
4/30/185/31/181100% TLT
TLT : +2.00%
+2.00% +3.96% +2.43%
5/31/186/29/181100% MDY
MDY : +0.41%
+0.41% +0.76% +0.58%
6/29/1810/31/184100% QQQ
QQQ : -0.89%
-0.89%-2.77% +0.21%
10/31/181/31/193100% TLT
TLT : +8.15%
+8.15% +1.37% +0.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
1/31/192/28/191100% MDY
MDY : +4.32%
+4.32% +2.56% +3.24%
2/28/195/31/193100% QQQ
QQQ : +0.62%
+0.62% +0.72%-0.79%
5/31/196/28/191100% TLT
TLT : +0.95%
+0.95% +6.24% +6.96%
6/28/198/30/192100% SPY
SPY : -0.19%
-0.19% +1.42%-0.19%
8/30/199/30/191100% QQQ
QQQ : +0.92%
+0.92% +0.89% +1.95%
9/30/1910/31/191100% TLT
TLT : -1.11%
-1.11% +2.15% +2.21%
10/31/192/28/204100% QQQ
QQQ : +4.65%
+4.65% +1.94%-1.85%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBuy & Hold PerformanceBenchmark Performance
2/28/204/30/202100% TLT
TLT : +7.67%
+7.67% +2.11%-1.37%
4/30/209/23/205100% QQQ
QQQ : +21.06%
+21.06% +12.64% +12.01%