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Stock Trends: Portfolio
S&P/TSX 60 Bullish Crossover
Current Portfolio Report
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Trading History

 

The S&P/TSX 60 Bullish Crossover Portfolio trading strategy:
BUY a component stock of the S&P/TSX 60 index when:
tagged with a “Bullish Crossover indicator
SELL a stock when:
tagged with a “Bearish Crossover indicator
 

 
* This strategy has been applied on the stock history of the 60 current (constituent stocks since March 9, 2012) members of the S&P/TSX 60 Index. It does not replicate this strategy on the historical components of the index. The strategy will make adjustments for changes in the components of the S&P/TSX 60 index, however, existing portfolio positions of stocks removed from the index remain as holdings until the sell signal is triggered.
 
The money management rules for the portfolio are as follows:

Exposure on each position is limited to $10,000.

Transaction costs are factored into the cost of purchases and the net proceeds of sales at 1% in and 1% out, or 2% commission on a round trip.
 

Applying this very simple trading system on the Stock Trends 23-year historical data of current components of the S&P/TSX 60 index generates the following results:
 
 

 

The two decade trading record has produced positive relative returns, although the 2008 market collapse hit the portfolio trading strategy hard. The annualized return on average capital invested is 17%, compared to the 6% average annual return of the benchmark TSX/S&P Composite index over the same period.
 

 

S&P/TSX 60 Bullish Crossover Portfolio strategy Performance - 1991 to 2017:
      % Returns
Year

Average

 Invested 

Capital

Net

Gain/(Loss)

ST

Portfolio*

S&P/TSX

Index

Difference
Since inception
23 years
Aug 26/1994 to Dec 31/2017
$ 333,409 $ 1,317,923 +17%
p.a.
+6%
p.a.
+11%
p.a.
2017 360,377 -792 -0.2 6.0 -6.2
2016 361,698 62,530 17.3 17.5 -0.2
2015 207,547 -27,842 -13.4 -8.9 -4.5
2014 414,151 38,333 9.2 7.5 1.7
2013 373,396 47,035 12.6 10.3 2.3
2012 302,830 -15,395 -5.1 3.0 -8.1
2011 324,717 -45,841 -14.0 -11.1 -2.9
2010 404,151 43,278 10.7 14.5 -3.8
2009 314,717 62,560 20.1 41.4 -21.3
2008 210,566 -125,085 -58.4 -39.9 -18.5
2007 412,453 79,510 19.2 7.1 12.1
2006 413,208 119,749 29.0 14.3 14.7
2005 491,698 257,363 52.3 21.9 30.4
2004 420,943 118,858 28.4 13.5 14.9
2003 402,075 184,768 46.2 23.1 23.1
2002 296,981 9,089 3.0 -13.6 16.6
2001 348,491 52,987 15.1 -13.8 28.9
2000 299,434 144,180 48.3 5.6 42.7
1999 265,094 69,945 26.2 29.6 -3.4
1998 214,906 -31,791 -14.7 -1.1 -13.6
1997 309,623 135,589 43.7 11.5 32.2
1996 329,057 89,958 27.3 25.1 2.2
1995 264,717 35,953 13.6 11.6 2.0

* ST portfolio annual returns are based on average invested capital for the year.

 

Trading Statistics

   
Total # of positions taken: 911
# of winning positions (winning %): 390 (42.8%)
Average gain(%) per winning position: 50%
Average loss(%) per losing position: 12%
Profit factor**: 3.1
Maximum gain(%) on a position: 793%
Maximum loss(%): -64%
Annualized return on average invested capital: 17%
Average invested capital: $333,409
Average # of positions held: 33
Average # of weeks invested in each position: 45

* all trading stats compiled at December 31, 2017

 **Profit Factor = (% of winning trades X average $ gains on winning trades) / ABSOLUTE VALUE[(% of losing trades X average $ losses on losing trades)]

 

 

 

 

  

The current S&P/TSX 60 Bullish Crossover Portfolio report is published weekly. It shows current holdings, as well as current buy and sell transactions. Investors can follow the report to emulate the performance of the portfolio or use this model portfolio to adjust their own holdings in these important TSX stocks.
 
 

 

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