Backtest: S&P 500 ($SPX)
| Details: | ||||||
|---|---|---|---|---|---|---|
| Signals | $SPX Performance (63 Days After Signal) 16 Observations, 20 Years, Possibly Overlapping | |||||
| Date | Signal | Price | Low | High | 63 Days | Final |
| 09-Jul-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 882.68 | -0.40% | 21.41% | 19.81% | |
| 18-Aug-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 989.67 | 0.51% | 12.09% | 12.09% | |
| 04-Sep-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,016.40 | 0.87% | 9.27% | 8.81% | |
| 28-Sep-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,062.98 | -3.55% | 6.10% | 6.10% | |
| 07-Oct-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,057.58 | -2.02% | 7.95% | 7.95% | |
| 06-Nov-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,069.30 | -1.17% | 7.57% | 0.11% | |
| 01-Dec-2009 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,108.86 | -4.70% | 3.73% | 1.27% | |
| 18-Feb-2010 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 1,106.75 | -1.10% | 9.99% | 0.75% | |
| 09-Oct-2020 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,477.14 | -5.96% | 9.99% | 9.27% | |
| 05-Nov-2020 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,510.45 | -0.03% | 11.54% | 11.54% | |
| 07-Jan-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,803.79 | -2.35% | 8.54% | 8.54% | |
| 12-Jan-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,801.19 | -2.29% | 8.96% | 8.51% | |
| 20-Jan-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,851.85 | -3.57% | 8.66% | 8.35% | |
| 03-Feb-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,830.17 | -1.61% | 9.96% | 8.81% | |
| 01-Mar-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,901.82 | -3.42% | 8.48% | 7.75% | |
| 09-Mar-2021 | Signal (4) Daily $VIX crossed below $VIX | SMA(50) Daily $SPX | PRICE above $SPX | SMA(200) Daily $VIX above LEVEL(20) Daily $VIX | SMA(200) above $VIX | SMA(50) | 3,875.44 | 0.35% | 9.22% | 9.08% | |
| Averages | -1.90% | 9.59% | 8.05% | |||