Statistics don’t care about opinions.
60/40 Is Out of Balance - This Month’s Trading Strategy
This month, we’re publishing a trading strategy that stands out for one reason: it’s based on imbalances between stocks (S&P 500) and Treasury Bonds. It goes long either SPY/ES or TLT/TY/US.
There is only one trading rule for entry and exit, and it is a strategy you can trade manually.
Equity curve:
Performance:
No. of trades: 280
Average unleveraged gain per trade: 0.85%
Win ratio: 65%
Profit factor: 2.9
Annual returns (CAGR): 10.4% (assuming no leverage)
Exposure/time in the market: 32%
Risk-adjusted return: 32%
Max. drawdown: -23%
Best regards,
Oddmund Groette and Håkan Samuelsson