BACKTEST · PAIRS
Long-only relative-value pair (ratio cross)
Long XLK when the XLK / XLU ratio crosses above its 50 day average.
From 2015-01-02 to 2024-12-31, this rule made 96 trades and returned +364.5%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 14.6%.
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SCORE
Portfolio equity vs benchmark
The rule
Long XLK when the XLK / XLU ratio crosses above its 50 day average. Orders fill at the next close.
ENTER WHEN
XLK / XLU ratio crosses above its 50 day average
EXIT WHEN
Ratio crosses below its average
FIRST TRADE, FROM THE REPORT
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Did it beat SPY?
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How it did over time
Strategy in orange-red. SPY buy and hold in light.
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The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
96 trades and 191 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2015-07-17 | 2015-07-20 | XLK | Buy | $43.67 | entry |
| 2015-07-27 | 2015-07-28 | XLK | Sell | $42.36 | exit |
| 2015-09-02 | 2015-09-03 | XLK | Buy | $39.91 | entry |
| 2015-09-03 | 2015-09-04 | XLK | Sell | $39.30 | exit |
| 2015-09-08 | 2015-09-09 | XLK | Buy | $39.87 | entry |
| 2015-09-17 | 2015-09-18 | XLK | Sell | $40.06 | exit |
| 2015-10-07 | 2015-10-08 | XLK | Buy | $41.30 | entry |
| 2015-10-08 | 2015-10-09 | XLK | Sell | $41.48 | exit |
| 2015-10-09 | 2015-10-12 | XLK | Buy | $41.53 | entry |
| 2015-10-12 | 2015-10-13 | XLK | Sell | $41.44 | exit |
| 2015-10-19 | 2015-10-20 | XLK | Buy | $42.02 | entry |
| 2015-10-20 | 2015-10-21 | XLK | Sell | $41.70 | exit |
| 2015-10-22 | 2015-10-23 | XLK | Buy | $43.83 | entry |
| 2015-12-17 | 2015-12-18 | XLK | Sell | $42.17 | exit |
| 2015-12-21 | 2015-12-22 | XLK | Buy | $42.91 | entry |
| 2015-12-22 | 2015-12-23 | XLK | Sell | $43.27 | exit |
| 2016-03-18 | 2016-03-21 | XLK | Buy | $43.74 | entry |
| 2016-04-27 | 2016-04-28 | XLK | Sell | $42.50 | exit |
| 2016-05-23 | 2016-05-24 | XLK | Buy | $43.45 | entry |
| 2016-06-03 | 2016-06-06 | XLK | Sell | $44.02 | exit |
| 2016-07-12 | 2016-07-13 | XLK | Buy | $44.76 | entry |
| 2016-07-13 | 2016-07-14 | XLK | Sell | $45.05 | exit |
| 2016-07-14 | 2016-07-15 | XLK | Buy | $45.01 | entry |
| 2016-10-31 | 2016-11-01 | XLK | Sell | $47.01 | exit |
| 2016-11-01 | 2016-11-02 | XLK | Buy | $46.71 | entry |
| 2016-11-03 | 2016-11-04 | XLK | Sell | $46.18 | exit |
| 2016-11-09 | 2016-11-10 | XLK | Buy | $46.59 | entry |
| 2016-12-29 | 2016-12-30 | XLK | Sell | $48.36 | exit |
| 2017-01-03 | 2017-01-04 | XLK | Buy | $48.96 | entry |
| 2017-02-24 | 2017-02-27 | XLK | Sell | $52.60 | exit |
| 2017-03-01 | 2017-03-02 | XLK | Buy | $52.74 | entry |
| 2017-03-02 | 2017-03-03 | XLK | Sell | $52.86 | exit |
| 2017-03-08 | 2017-03-09 | XLK | Buy | $52.83 | entry |
| 2017-03-15 | 2017-03-16 | XLK | Sell | $53.43 | exit |
| 2017-03-16 | 2017-03-17 | XLK | Buy | $53.34 | entry |
| 2017-03-21 | 2017-03-22 | XLK | Sell | $52.94 | exit |
| 2017-03-29 | 2017-03-30 | XLK | Buy | $53.41 | entry |
| 2017-04-04 | 2017-04-05 | XLK | Sell | $53.08 | exit |
| 2017-04-20 | 2017-04-21 | XLK | Buy | $53.17 | entry |
| 2017-04-21 | 2017-04-24 | XLK | Sell | $53.80 | exit |
Show all 191 fills
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2017-04-24 | 2017-04-25 | XLK | Buy | $54.08 | entry |
| 2017-06-01 | 2017-06-02 | XLK | Sell | $57.19 | exit |
| 2017-06-02 | 2017-06-05 | XLK | Buy | $57.24 | entry |
| 2017-06-09 | 2017-06-12 | XLK | Sell | $55.69 | exit |
| 2017-06-23 | 2017-06-26 | XLK | Buy | $56.00 | entry |
| 2017-06-26 | 2017-06-27 | XLK | Sell | $55.08 | exit |
| 2017-06-28 | 2017-06-29 | XLK | Buy | $54.77 | entry |
| 2017-06-29 | 2017-06-30 | XLK | Sell | $54.72 | exit |
| 2017-07-05 | 2017-07-06 | XLK | Buy | $54.38 | entry |
| 2017-08-10 | 2017-08-11 | XLK | Sell | $57.10 | exit |
| 2017-08-14 | 2017-08-15 | XLK | Buy | $58.10 | entry |
| 2017-08-17 | 2017-08-18 | XLK | Sell | $57.07 | exit |
| 2017-08-31 | 2017-09-01 | XLK | Buy | $58.78 | entry |
| 2017-09-05 | 2017-09-06 | XLK | Sell | $58.31 | exit |
| 2017-09-12 | 2017-09-13 | XLK | Buy | $58.91 | entry |
| 2017-09-14 | 2017-09-15 | XLK | Sell | $58.74 | exit |
| 2017-09-15 | 2017-09-18 | XLK | Buy | $58.79 | entry |
| 2017-11-29 | 2017-11-30 | XLK | Sell | $63.84 | exit |
| 2017-11-30 | 2017-12-01 | XLK | Buy | $63.51 | entry |
| 2017-12-04 | 2017-12-05 | XLK | Sell | $62.51 | exit |
| 2017-12-05 | 2017-12-06 | XLK | Buy | $62.91 | entry |
| 2018-03-22 | 2018-03-23 | XLK | Sell | $64.28 | exit |
| 2018-04-12 | 2018-04-13 | XLK | Buy | $66.32 | entry |
| 2018-04-13 | 2018-04-16 | XLK | Sell | $66.83 | exit |
| 2018-05-08 | 2018-05-09 | XLK | Buy | $69.08 | entry |
| 2018-06-25 | 2018-06-26 | XLK | Sell | $69.61 | exit |
| 2018-07-09 | 2018-07-10 | XLK | Buy | $71.77 | entry |
| 2018-07-10 | 2018-07-11 | XLK | Sell | $71.49 | exit |
| 2018-07-23 | 2018-07-24 | XLK | Buy | $73.32 | entry |
| 2018-07-26 | 2018-07-27 | XLK | Sell | $71.85 | exit |
| 2018-08-24 | 2018-08-27 | XLK | Buy | $74.96 | entry |
| 2018-09-05 | 2018-09-06 | XLK | Sell | $73.83 | exit |
| 2018-09-14 | 2018-09-17 | XLK | Buy | $74.00 | entry |
| 2018-09-17 | 2018-09-18 | XLK | Sell | $74.47 | exit |
| 2018-09-19 | 2018-09-20 | XLK | Buy | $75.16 | entry |
| 2018-10-05 | 2018-10-08 | XLK | Sell | $72.79 | exit |
| 2019-01-14 | 2019-01-15 | XLK | Buy | $63.90 | entry |
| 2019-03-08 | 2019-03-11 | XLK | Sell | $71.31 | exit |
| 2019-03-11 | 2019-03-12 | XLK | Buy | $71.73 | entry |
| 2019-05-13 | 2019-05-14 | XLK | Sell | $74.49 | exit |
| 2019-06-26 | 2019-06-27 | XLK | Buy | $78.05 | entry |
| 2019-08-05 | 2019-08-06 | XLK | Sell | $77.01 | exit |
| 2019-08-08 | 2019-08-09 | XLK | Buy | $78.49 | entry |
| 2019-08-09 | 2019-08-12 | XLK | Sell | $77.46 | exit |
| 2019-10-11 | 2019-10-14 | XLK | Buy | $81.52 | entry |
| 2019-10-22 | 2019-10-23 | XLK | Sell | $80.75 | exit |
| 2019-10-25 | 2019-10-28 | XLK | Buy | $83.97 | entry |
| 2020-01-27 | 2020-01-28 | XLK | Sell | $96.93 | exit |
| 2020-01-28 | 2020-01-29 | XLK | Buy | $97.18 | entry |
| 2020-01-29 | 2020-01-30 | XLK | Sell | $98.02 | exit |
| 2020-02-04 | 2020-02-05 | XLK | Buy | $99.70 | entry |
| 2020-02-21 | 2020-02-24 | XLK | Sell | $95.33 | exit |
| 2020-03-13 | 2020-03-16 | XLK | Buy | $72.56 | entry |
| 2020-03-16 | 2020-03-17 | XLK | Sell | $77.50 | exit |
| 2020-03-19 | 2020-03-20 | XLK | Buy | $71.42 | entry |
| 2020-03-27 | 2020-03-30 | XLK | Sell | $81.90 | exit |
| 2020-03-31 | 2020-04-01 | XLK | Buy | $76.54 | entry |
| 2020-04-09 | 2020-04-13 | XLK | Sell | $85.39 | exit |
| 2020-04-13 | 2020-04-14 | XLK | Buy | $88.97 | entry |
| 2020-07-24 | 2020-07-27 | XLK | Sell | $106.86 | exit |
| 2020-07-27 | 2020-07-28 | XLK | Buy | $105.61 | entry |
| 2020-07-28 | 2020-07-29 | XLK | Sell | $107.14 | exit |
| 2020-07-29 | 2020-07-30 | XLK | Buy | $107.74 | entry |
| 2020-10-02 | 2020-10-05 | XLK | Sell | $117.46 | exit |
| 2020-11-19 | 2020-11-20 | XLK | Buy | $120.11 | entry |
| 2021-03-08 | 2021-03-09 | XLK | Sell | $130.11 | exit |
| 2021-03-11 | 2021-03-12 | XLK | Buy | $131.41 | entry |
| 2021-03-12 | 2021-03-15 | XLK | Sell | $132.81 | exit |
| 2021-03-17 | 2021-03-18 | XLK | Buy | $129.99 | entry |
| 2021-03-18 | 2021-03-19 | XLK | Sell | $129.60 | exit |
| 2021-04-08 | 2021-04-09 | XLK | Buy | $141.77 | entry |
| 2021-04-14 | 2021-04-15 | XLK | Sell | $143.33 | exit |
| 2021-04-15 | 2021-04-16 | XLK | Buy | $143.30 | entry |
| 2021-04-16 | 2021-04-19 | XLK | Sell | $142.11 | exit |
| 2021-04-26 | 2021-04-27 | XLK | Buy | $143.08 | entry |
| 2021-04-29 | 2021-04-30 | XLK | Sell | $139.70 | exit |
| 2021-05-25 | 2021-05-26 | XLK | Buy | $138.64 | entry |
| 2021-06-03 | 2021-06-04 | XLK | Sell | $140.02 | exit |
| 2021-06-04 | 2021-06-07 | XLK | Buy | $139.99 | entry |
| 2021-08-11 | 2021-08-12 | XLK | Sell | $154.15 | exit |
| 2021-08-23 | 2021-08-24 | XLK | Buy | $157.57 | entry |
| 2021-08-26 | 2021-08-27 | XLK | Sell | $158.00 | exit |
| 2021-08-27 | 2021-08-30 | XLK | Buy | $159.70 | entry |
| 2021-09-01 | 2021-09-02 | XLK | Sell | $158.73 | exit |
| 2021-09-07 | 2021-09-08 | XLK | Buy | $158.79 | entry |
| 2021-09-08 | 2021-09-09 | XLK | Sell | $158.19 | exit |
| 2021-09-14 | 2021-09-15 | XLK | Buy | $157.85 | entry |
| 2021-10-04 | 2021-10-05 | XLK | Sell | $150.17 | exit |
| 2021-10-05 | 2021-10-06 | XLK | Buy | $151.15 | entry |
| 2021-12-14 | 2021-12-15 | XLK | Sell | $173.94 | exit |
| 2021-12-15 | 2021-12-16 | XLK | Buy | $169.01 | entry |
| 2021-12-16 | 2021-12-17 | XLK | Sell | $167.88 | exit |
| 2021-12-22 | 2021-12-23 | XLK | Buy | $172.94 | entry |
| 2021-12-30 | 2021-12-31 | XLK | Sell | $173.87 | exit |
| 2022-01-03 | 2022-01-04 | XLK | Buy | $173.66 | entry |
| 2022-01-04 | 2022-01-05 | XLK | Sell | $168.32 | exit |
| 2022-02-15 | 2022-02-16 | XLK | Buy | $158.75 | entry |
| 2022-02-17 | 2022-02-18 | XLK | Sell | $152.44 | exit |
| 2022-06-15 | 2022-06-16 | XLK | Buy | $123.49 | entry |
| 2022-06-16 | 2022-06-17 | XLK | Sell | $124.62 | exit |
| 2022-06-17 | 2022-06-21 | XLK | Buy | $127.46 | entry |
| 2022-06-23 | 2022-06-24 | XLK | Sell | $133.45 | exit |
| 2022-06-24 | 2022-06-27 | XLK | Buy | $132.55 | entry |
| 2022-06-27 | 2022-06-28 | XLK | Sell | $128.58 | exit |
| 2022-07-07 | 2022-07-08 | XLK | Buy | $132.87 | entry |
| 2022-07-11 | 2022-07-12 | XLK | Sell | $129.25 | exit |
| 2022-07-15 | 2022-07-18 | XLK | Buy | $131.10 | entry |
| 2022-08-19 | 2022-08-22 | XLK | Sell | $143.98 | exit |
| 2022-10-05 | 2022-10-06 | XLK | Buy | $125.95 | entry |
| 2022-10-11 | 2022-10-12 | XLK | Sell | $116.56 | exit |
| 2022-10-12 | 2022-10-13 | XLK | Buy | $120.18 | entry |
| 2022-11-03 | 2022-11-04 | XLK | Sell | $120.99 | exit |
| 2022-11-07 | 2022-11-08 | XLK | Buy | $124.19 | entry |
| 2022-11-28 | 2022-11-29 | XLK | Sell | $129.46 | exit |
| 2022-11-30 | 2022-12-01 | XLK | Buy | $136.15 | entry |
| 2022-12-05 | 2022-12-06 | XLK | Sell | $130.26 | exit |
| 2023-01-17 | 2023-01-18 | XLK | Buy | $129.39 | entry |
| 2023-04-11 | 2023-04-12 | XLK | Sell | $146.75 | exit |
| 2023-04-13 | 2023-04-14 | XLK | Buy | $148.65 | entry |
| 2023-04-21 | 2023-04-24 | XLK | Sell | $147.11 | exit |
| 2023-04-26 | 2023-04-27 | XLK | Buy | $149.21 | entry |
| 2023-08-11 | 2023-08-14 | XLK | Sell | $169.56 | exit |
| 2023-08-14 | 2023-08-15 | XLK | Buy | $167.89 | entry |
| 2023-08-17 | 2023-08-18 | XLK | Sell | $164.96 | exit |
| 2023-08-21 | 2023-08-22 | XLK | Buy | $167.92 | entry |
| 2023-09-13 | 2023-09-14 | XLK | Sell | $172.21 | exit |
| 2023-09-27 | 2023-09-28 | XLK | Buy | $163.37 | entry |
| 2023-10-26 | 2023-10-27 | XLK | Sell | $161.12 | exit |
| 2023-11-01 | 2023-11-02 | XLK | Buy | $170.01 | entry |
| 2024-01-02 | 2024-01-03 | XLK | Sell | $185.53 | exit |
| 2024-01-09 | 2024-01-10 | XLK | Buy | $190.65 | entry |
| 2024-03-11 | 2024-03-12 | XLK | Sell | $211.02 | exit |
| 2024-03-12 | 2024-03-13 | XLK | Buy | $208.74 | entry |
| 2024-03-15 | 2024-03-18 | XLK | Sell | $206.30 | exit |
| 2024-03-18 | 2024-03-19 | XLK | Buy | $207.37 | entry |
| 2024-03-19 | 2024-03-20 | XLK | Sell | $209.69 | exit |
| 2024-03-20 | 2024-03-21 | XLK | Buy | $209.84 | entry |
| 2024-03-22 | 2024-03-25 | XLK | Sell | $208.52 | exit |
| 2024-06-06 | 2024-06-07 | XLK | Buy | $215.60 | entry |
| 2024-07-24 | 2024-07-25 | XLK | Sell | $213.57 | exit |
| 2024-10-08 | 2024-10-09 | XLK | Buy | $230.47 | entry |
| 2024-10-16 | 2024-10-17 | XLK | Sell | $230.09 | exit |
| 2024-10-21 | 2024-10-22 | XLK | Buy | $231.75 | entry |
| 2024-10-23 | 2024-10-24 | XLK | Sell | $229.10 | exit |
| 2024-10-25 | 2024-10-28 | XLK | Buy | $230.22 | entry |
| 2024-10-31 | 2024-11-01 | XLK | Sell | $223.91 | exit |
| 2024-11-01 | 2024-11-04 | XLK | Buy | $223.74 | entry |
| 2024-11-21 | 2024-11-22 | XLK | Sell | $233.60 | exit |
| 2024-11-22 | 2024-11-25 | XLK | Buy | $233.59 | entry |
| 2024-11-26 | 2024-11-27 | XLK | Sell | $231.58 | exit |
| 2024-12-02 | 2024-12-03 | XLK | Buy | $236.80 | entry |
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Risk warning
Past results do not predict future returns. Not investment advice.