Backtest research / AAPL
Moving average crossover
Jan 3, 2023 to Jan 3, 2024 · US · Demo data
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Experiment setup
AAPL with moving average, Jan 3, 2023 to Jan 3, 2024
Signal at close · Fill at next open · Costs applied
Results are hypothetical and depend on the data and assumptions shown here. They are not investment advice or a promise of future performance.Read disclaimer
Price, indicators, and fills
5 fillsAAPL daily bars
View recent chart data
| Date | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 2023-12-07 | 122.77 | 124.15 | 121.77 | 123.06 | 3,575,925 |
| 2023-12-08 | 121.55 | 121.70 | 121.23 | 121.40 | 1,987,159 |
| 2023-12-11 | 120.15 | 120.75 | 119.31 | 119.77 | 1,947,001 |
| 2023-12-12 | 119.97 | 120.72 | 118.99 | 120.54 | 2,013,295 |
| 2023-12-13 | 120.48 | 121.08 | 119.61 | 120.29 | 3,391,121 |
| 2023-12-14 | 118.68 | 119.25 | 117.98 | 118.40 | 3,051,976 |
| 2023-12-15 | 118.20 | 118.52 | 117.65 | 118.10 | 1,361,693 |
| 2023-12-18 | 119.40 | 120.47 | 117.69 | 118.44 | 1,060,384 |
| 2023-12-19 | 119.70 | 120.53 | 118.76 | 119.54 | 2,788,474 |
| 2023-12-20 | 119.29 | 119.78 | 119.02 | 119.28 | 1,247,873 |
| 2023-12-21 | 119.00 | 119.88 | 118.28 | 118.82 | 1,317,730 |
| 2023-12-22 | 118.57 | 119.09 | 117.66 | 118.73 | 3,341,161 |
| 2023-12-25 | 118.55 | 119.27 | 117.64 | 118.88 | 3,122,551 |
| 2023-12-26 | 117.42 | 118.27 | 116.53 | 117.30 | 2,023,550 |
| 2023-12-27 | 118.67 | 119.45 | 117.44 | 118.33 | 3,132,424 |
| 2023-12-28 | 121.10 | 122.06 | 120.32 | 121.17 | 1,758,117 |
| 2023-12-29 | 122.53 | 123.03 | 121.30 | 122.24 | 2,293,798 |
| 2024-01-01 | 120.19 | 120.61 | 119.73 | 120.31 | 1,136,161 |
| 2024-01-02 | 120.94 | 121.48 | 120.26 | 120.44 | 3,428,130 |
| 2024-01-03 | 118.22 | 119.04 | 117.95 | 118.16 | 1,070,729 |
Portfolio metrics1 asset · 5 fills
Total returnMethod-3.6%
AnnualizedMethod-3.5%
VolatilityMethod13.7%
Sharpe ratioMethod-0.19
Max drawdownMethod12.2%
Win rateMethod50.0%
Final valueMethod$96,352
Portfolio breakdown
Asset attribution
Ranked by net strategy P&L.
| Rank | Ticker | Stock return | Final price | Strategy P&L | Contribution | End weight |
|---|---|---|---|---|---|---|
| 1 | AAPL | 32.4% | $118 | -$3,648 | -3.6% | 100.0% |
Research readout
Finished behindWhat this run actually says
$100,000 became $96,352. That is a 3.6% loss over the dates shown.
- Against holding
- Equal-weight holding finished 35.2 percentage points ahead of the rules in this period.
- Downside
- The worst fall from a previous high was 12.2%. Risk-adjusted return was below the risk-free comparison.
- Sample
- 5 trades is a thin sample. One trade can change the result sharply. The win rate was 50.0%; it says nothing about the size of wins and losses.
- Last rule
- BUY AAPL on Dec 11, 2023. That is the last recorded rule, not a trade for today.
- Next step
- The record stops on Jan 3, 2024. Try the same rules on another period before trusting the pattern. A strong fit here can still fail later.
Methodology and assumptionsReview the rules behind this result.
- data
- Demo bars are deterministic and synthetic.
- execution
- Orders fill completely with configurable fees and adverse slippage.
- monteCarlo
- Simulations use historical daily mean and covariance with equal asset weights.
- optimization
- The long-only frontier is an approximate historical sample, not a forecast.
- riskControls
- Risk exits use the current bar's open and never its closing price.
- signalTiming
- Signals use closing data and execute at the next bar's open.
- universe
- The selected symbols are not a point-in-time index universe.