COST 100-Day SMA Crossover Backtest

HISTORICAL BACKTEST · COST DAILY

What this backtest found

1994-01-03 to 2026-10-01 · $10,000.00 USD starting capital · costs as specified below

The strategy returned 444.32% over the full test period, compared with 4696.81% for buy and hold. It underperformed that benchmark on total return. Its largest decline from a previous equity high was 43.41%.

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

COST is tested on daily bars with one long 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: close crosses above SMA(100).
• Indicator exit: close crosses below SMA(100). It executes at the next open.

SMA: a simple moving average is the arithmetic mean of the requested number of daily closes. A price crossover compares the close with that average; a moving-average crossover compares the two averages. Moving averages lag prices and can whipsaw when trends do not persist.

10% trailing stop: starts at the entry open and follows the highest daily close reached while invested. The updated level becomes active the next session. The line is not tightened using the same day’s high or low. Gaps can execute beyond the level; it is not a guaranteed maximum loss.

Strategy versus buy and hold

Both curves start with $10,000.00 USD and use the same historical dates. Buy and hold returned 4696.81% (12.55% annualized), with 72.4% maximum drawdown.

● Strategy ● Buy and hold

Drawdowns over time

● Strategy ● Buy and hold

Annual performance

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.

Execution risk observed in this test

A 10% stop did not cap every loss: the trade exiting on 2008-07-23 lost 6.39% after opening beyond the stop. Daily gaps can bypass the intended exit level.

What these results mean

The strategy’s 5.31% annualized return was 7.24 percentage points below the long buy-and-hold benchmark’s 12.55%. Its worst daily peak-to-trough decline was smaller by 28.99 percentage points. That is a return/drawdown trade-off, not proof of better risk-adjusted performance. It held a position during 56.88% of sessions; cash earned no interest in this simulation.

Across 185 closed trades, 29.7% were profitable. The average winner was 8.8% and the average loser was -2.1%. Profit factor was 1.9: $1.9 of positive closed-trade P&L for each $1 of losses. The longest losing run was 11 trades. Win rate alone does not capture the size of wins and losses.

The weakest displayed calendar period was 2000 at -19.22%. First and last years may be partial. A full-period average can hide substantial variation.

The longest observed drawdown lasted 4339 calendar days, with 2990 underwater sessions, from 1999-01-29 to 2010-12-16. Equity regained the earlier peak on the ending date.

Best closed trade: 41.94% · 2021-04-06 to 2022-01-10, exiting because of fixed / trailing stop.

Worst closed trade: -6.79% · 2020-03-11 to 2020-03-12, exiting because of indicator exit.

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 ● SMA(100) ● Trailing stop (10%)

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

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 $10,000.00 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.
• 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: 2026-10-03 22:10:53 UTC. Engine: 3.1. Data: COST, 1994-01-03–2026-10-01.

Related backtests

These are separate saved tests. Compare dates and costs before comparing results.

Understand the metrics

Educational historical simulation, not investment advice.