Another Robot That Beats the Market

Another Robot That Beats the Market

Dec. 20, 2023

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This week we’re seeing if robots really beat the market.

I was told recently that one of my robots fell short of the market. But actual research showed otherwise.

Let’s see if that was just a one-off, or if like I’ve said many times, systems almost always beat buy-and-hold.

Today, we’ll keep the apples-to-apples comparison (kind of) and compare the SPY to a breakout system on the E-Mini Futures contract (@ES.D, regular trading hours).

Here are the details of this system.

I’ve talked a lot recently about how much I’m loving Bollinger Bands™. Here’s another example.

The 10-Minute BB E-Mini Breakout

  • Long Only Entry: When price breaks above the Upper Band (60 length, 2.4 std dev).
  • Target: 4x the Average True Range (ATR, length 14)
  • Stop: 1x the ATR
  • Close: At the end of the day

Astute readers will note that this is in line with all the Band systems I’ve been talking about using different, unrelated instruments.

Here is the SPY with dividends reinvested from 1/8/07-12/17/23:

Buying and holding this index fund ETF hypothetically turned $10k into $45k for a return of 359%.

Here’s the 10M Band system over the same time period:

It turned a hypothetical $10k into $59k.

Again, a system with no compounding beat the market by a substantial margin.

Here’s the % Equity Curve via Portfolio Architect:

It had a little drawdown during the worst financial crisis of our lifetimes, but it’s hypothetically handled the rest quite nicely.

Bollinger Bands™ strike again.

And once again the research shows the market can be beat.

Talk to you soon.

 

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Disclaimer:
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.