The rules
Buy on the SMA(20/50) cross up; a trailing stop 4% of price below the high converts to a limit 0.5% lower; sell on the cross down.
- Universe
- SPY, QQQ and IWM
- Bars
- daily
- Position size
- 15% of equity per ETF
- Rebalance
- on each crossover
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 31, 2016 to Oct 30, 2026 | 2001-2025 | Oct 31, 2016 to Oct 30, 2026 |
| Total return | +20.04% | +28.10% | +316.62% |
| CAGR | +1.84% | +1.00% | +15.35% |
| Sharpe | −0.92 | −0.38 | 0.65 |
| Discounted Sharpe | −1.92 | — | — |
| Max drawdown | −6.6% | −6.2% | −33.7% |
| Win rate | 56.9% | 47.6% | — |
| Profit factor | 2.50 | 1.69 | — |
| Trades | 72 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O11 Trailing Stop Limit · +20.0% vs SPY +316.6%
$10k$20k$40k20172019202120232025SPY
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Trade SPY, QQQ and IWM on daily bars. Buy with 15% of equity when the 20-day SMA crosses above the 50-day SMA. Exit with a 4% trailing stop from the highest price since entry, or when the 20-day SMA crosses back below the 50-day. Long only; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Is it real?
- Strategies tested together
- 22
- Beta to SPY
- 0.05
- Alpha vs SPY
- −3.0% a year
- Costs paid
- $1,181, 6% of the gain before costs
- Data
- Daily bars, 2,514 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Orbital's trailing stop sells at market once triggered, so the limit 0.5% under the trail is not modelled. That makes it the same rule as O09 on Orbital.
Sources