HISTORICAL BACKTEST · PEP DAILY
What this backtest found
2017-12-20 to 2026-10-01 · $6,955,315.00 USD starting capital · costs as specified below
The strategy returned 0% over the full test period, compared with 5.97% for buy and hold. It underperformed that benchmark on total return. Its largest decline from a previous equity high was 0%.
CAGR is the equivalent compounded yearly return across these dates, not the return earned in every year. Drawdown measures the largest fall from a previous daily equity high. Ending equity includes any open position marked to the final close.
How this strategy works
PEP is tested on daily bars with one short position at a time. Entry conditions are combined using AND: every condition must match. A close signal executes at the next session’s open.
- Entry: MACD (12/26) crosses below EMA(50).
- Indicator exit: MACD (12/26) crosses above EMA(50). It executes at the next open.
MACD (12, 26, 9): the 12-session EMA minus the 26-session EMA forms the MACD line. Its 9-session EMA is the signal line. A crossing requires the previous line relationship and the current relationship to change; staying above or below alone is not another crossover. A signal-line crossover can occur above or below zero. This is a momentum signal, not a forecast, and sideways markets can produce repeated reversals.
EMA: an exponential moving average gives more weight to recent closes. The engine seeds each period with a simple average, then applies exponential smoothing. A close/EMA crossover compares yesterday’s relationship with today’s; an EMA/EMA rule compares the two requested averages.
100% profit target: measured from the raw entry open, before execution slippage and fees. Opening gaps fill at open; otherwise daily high/low touches determine fills. A stop takes priority when both stop and target touch in one daily bar.
50% fixed stop: measured from the raw entry open, before execution slippage and fees. Opening gaps fill at open; otherwise daily high/low touches determine fills. A stop takes priority when both stop and target touch in one daily bar.
Strategy versus buy and hold
Both curves start with $6,955,315.00 USD and use the same historical dates. Buy and hold returned 5.97% (0.66% annualized), with 35.89% maximum drawdown.
● Strategy ● Buy and hold
Drawdowns over time
● Strategy ● Buy and hold
Annual performance
| Year | Strategy | Buy and hold | Closed trades | Worst ongoing drawdown |
|---|---|---|---|---|
| 2017 (partial) | 0% | 1.06% | 0 | 0% |
| 2018 | 0% | -7.87% | 0 | 0% |
| 2019 | 0% | 23.71% | 0 | 0% |
| 2020 | 0% | 8.51% | 0 | 0% |
| 2021 | 0% | 17.13% | 0 | 0% |
| 2022 | 0% | 4% | 0 | 0% |
| 2023 | 0% | -5.99% | 0 | 0% |
| 2024 | 0% | -10.47% | 0 | 0% |
| 2025 | 0% | -5.62% | 0 | 0% |
| 2026 (partial) | 0% | -12.39% | 0 | 0% |
Annual returns use the previous year’s final equity, or initial capital for the first year. Ongoing drawdown retains the previous all-time peak, including peaks in earlier years.
What these results mean
The strategy’s 0% annualized return was 0.66 percentage points below the long buy-and-hold benchmark’s 0.66%. Its worst daily peak-to-trough decline was smaller by 35.89 percentage points. That is a return/drawdown trade-off, not proof of better risk-adjusted performance. It held a position during 0% of sessions; cash earned no interest in this simulation.
The weakest displayed calendar period was 2017 at 0%. First and last years may be partial. A full-period average can hide substantial variation.
Fewer than 20 closed trades make these statistics especially sensitive to individual outcomes.
Fees and slippage are 0% and 0% per side. This is a zero-cost simulation; adding execution costs can reduce results. This report contains no out-of-sample validation or parameter robustness study, so it does not establish that these rules generalize.
Price, trades and active exit levels
● Daily close ● EMA(50)
MACD and signal line
● MACD (12/26) ● MACD signal (9)
Price circles show executed entries and exits; select a circle to open its trade. Triangles mark individual crossover conditions, not executed orders: other conditions and the existing position can prevent execution. Dashed exit levels apply only while a position is held. All charts share the same date range. Zoom in/out, select a year, or pan on any chart to update them together.
Trade history
Show 0 closed trades
| Entry | Exit | Entry $ | Exit $ | Return | Reason |
|---|
Exact rules and methodology
Read the strategy-specific explanation above.
- Signals use completed daily bars; entries and indicator/holding exits execute at the next session open. Indicators warm up using earlier history; no pre-range entry signal is carried in.
- Opening stop/target gaps execute at open. Otherwise a scheduled indicator/holding exit executes at open; within a bar, stop takes priority if both stop and target touch.
- Initial capital $6,955,315.00 USD; one fully allocated fractional position, no pyramiding or leverage. Fees and adverse slippage apply to entry and exit. Buy-and-hold benchmark is always long.
- Shorts reserve capital at 1x exposure; borrow availability, borrow fees, margin calls and dividend obligations are not modeled. Simulation stops at zero capital; real short losses can exceed capital.
- Open positions are marked at the last close without an assumed final sale fee. Cash interest and dividends are excluded.
Results are calculated on the supplied daily prices. Dividends and cash interest are excluded.
Calculated: 2026-10-07 18:25:14 UTC. Engine: 3.1. Data: PEP, 2017-12-20–2026-10-01.
Dataset fingerprint
0e9e2e97257bc4fad118c506eb5412a95b65216eeed44a5f7b4e3a2bffb5ff6cRelated backtests
These are separate saved tests. Compare dates and costs before comparing results.
Understand the metrics
What is CAGR?
The equivalent compounded yearly growth across the test’s elapsed calendar dates. It is not the return earned in each year.
What are drawdown and drawdown duration?
Drawdown is the percentage decline from a previous daily equity peak. Longest drawdown duration is the longest observed calendar time from a peak until that equity level is regained, or until the test ends. Underwater sessions count daily closes below the peak and exclude the recovery close. This duration need not belong to the deepest drawdown. “Unrecovered at test end” means the recovery date is unknown.
How is profit factor calculated?
Gross positive dollar profit divided by the absolute sum of negative dollar profit across closed trades, after configured costs. It excludes open positions. Because capital compounds, later trades can have greater dollar weight. Legacy reports without saved dollar P&L use reconstructed amounts from rounded trade returns and are labeled approximate. No losses gives “No losing trades,” not a finite ratio.
What are best/worst trade and losing streak?
Best and worst rank closed trades by percentage return. Longest losing streak counts consecutive closed trades with negative returns; a zero-return or positive trade breaks the streak. These statistics do not forecast future outcomes.
How are holding period and time invested measured?
Holding periods count sessions inclusively, including entry and exit sessions. Time invested is the share of sessions with a position at any point; it does not measure intraday hours. Average winners and losers use closed-trade percentage returns.
Educational historical simulation, not investment advice.