Backtest: Russell 2000 ($RUT)
| Details: | ||||||
|---|---|---|---|---|---|---|
| Signals | $RUT Performance (21 Days After Signal) 24 Observations, 5 Years, Possibly Overlapping | |||||
| Date | Signal | Price | Low | High | 21 Days | Final |
| 22-Mar-2017 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,345.60 | -0.03% | 3.00% | 2.55% | |
| 05-Feb-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,491.09 | -1.83% | 5.60% | 5.60% | |
| 11-Oct-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,545.38 | -4.96% | 3.33% | 0.27% | |
| 19-Oct-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,542.04 | -4.76% | 2.60% | -2.95% | |
| 07-Dec-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,448.09 | -12.51% | 0.50% | -0.64% | |
| 17-Dec-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,378.14 | -8.07% | 6.47% | 6.47% | |
| 19-Dec-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,349.23 | -6.10% | 9.88% | 8.02% | |
| 21-Dec-2018 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,292.09 | -1.95% | 14.74% | 13.34% | |
| 06-Mar-2019 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,536.82 | -2.01% | 2.00% | 2.00% | |
| 02-Aug-2019 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,533.66 | -5.06% | -0.10% | -4.00% | |
| 25-Feb-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,571.90 | -36.95% | -1.22% | -29.36% | |
| 09-Mar-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,313.44 | -24.54% | 2.85% | -13.27% | |
| 04-May-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,263.97 | -2.43% | 14.88% | 14.88% | |
| 13-May-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,233.25 | 0.35% | 24.62% | 12.52% | |
| 11-Jun-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,356.22 | 1.66% | 7.08% | 3.49% | |
| 09-Jul-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,398.92 | 0.33% | 12.17% | 12.17% | |
| 23-Sep-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,451.46 | 0.02% | 13.61% | 12.32% | |
| 28-Oct-2020 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 1,543.28 | -0.31% | 20.22% | 20.22% | |
| 27-Jan-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,108.70 | -1.66% | 9.02% | 4.38% | |
| 24-Mar-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,134.27 | 1.14% | 6.45% | 6.45% | |
| 12-May-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,135.14 | 1.68% | 9.77% | 9.40% | |
| 07-Jul-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,252.85 | -5.42% | 1.29% | -0.75% | |
| 15-Jul-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,190.29 | -2.72% | 2.62% | 1.50% | |
| 17-Aug-2021 | Signal (1) Daily $RUT.PCTD3 crossed above LEVEL(35) | 2,177.17 | -2.06% | 5.83% | 2.56% | |
| Averages | -4.92% | 7.38% | 3.63% | |||