This strategy adds a simple filter (A percentile filter, an implementation of which can be found on my trading profile) to a traditional buy and hold strategy of the index SPY .
Note, There are other filters that could also be added including a long-term moving average/percentile rank filter/ filter etc, to improve the returns further.
The filter closes our long position during periods of that exceed the 95th percentile (or in the top 5% of volatile days) and buys back when the is below 95% rank of the past 100 days
Have included the backtest results since 1993 which is 28 years of data at the time of writing. Comparison of traditional buy and hold with this modified strategy can be found below:
Traditional buy and hold:
- Return per year: 7.95 % (ex Dividends)
- Total return: 851.1 %
- Max drawdown: 50.79 %
'Modified' buy and hold (this script):
- Return per year: 9.92 % (ex Dividends)
- Total return: 1412.2 %
- Max drawdown: 31.57 %
Feel free to use some of the market filters in my trading profile to improve and refine your strategies further, or make a copy and play around with the code yourself. This is just a simple example for demo purposes.
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.