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Stock Trends: Portfolio
S&P 100 Bullish Crossover
Current Portfolio Report
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Trading History

 

The S&P 100 Bullish Crossover Portfolio trading strategy:
BUY a component stock of the S&P100 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 100 current (constituent stocks commencing March 9, 2012) members of the S&P 100 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 index, however, existing portfolio positions of stocks that are removed from the index remain as portfolio 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 37-year historical data of current components of the S&P 100 index generates the following results:
 
 

 

 

 

S&P 100 Bullish Crossover Portfolio strategy Performance - 1981 to 2017:
      % Returns
Year

Average

 Invested 

Capital

Net

Gain/(Loss)

ST

Portfolio*

S&P 500

Index

Difference

Since inception
37 years
Jan/1981 to
Dec 31/2017

$ 525,780 $ 3,886,973 +20%
p.a.
+8%
p.a.
+12%
p.a.
2017 711,698 131,465 18.5 19.4 -0.9
2016 604,340 25,359 4.2 9.5 -5.3
2015 519,623 -38,767 -7.4 -1.3 -6.1
2014 773,396 106,975 13.8 13.4 0.4
2013 822,453 289,105 35.1 31.3 3.8
2012 726,604 40,589 5.6 11.5 -5.9
2011 662,075 -16,042 -2.4 0.0 -2.4
2010 682,642 43,480 6.4 12.8 -6.4
2009 473,019 203,398 43.8 29.1 14.7
2008 300,755 -196,359 -64.1 -41.0 -23.1
2007 740,755 220,443 29.6 4.2 25.4
2006 623,774 61,119 9.9 13.6 -3.7
2005 625,283 95,839 15.3 3.0 12.3
2004 685,094 169,584 24.8 10.4 14.4
2003 603,774 190,645 31.8 25.2 6.6
2002 357,170 -100,456 -27.9 -24.6 -3.3
2001 381,698 -98,928 -25.8 -12.1 -13.7
2000 440,189 -103,748 -23.6 -10.1 -13.5
1999 558,113 531,421 94.5 19.5 75.0
1998 527,170 463,809 87.8 31.0 56.8
1997 673,396 233,740 34.7 23.7 11.0
1996 612,453 229,060 37.4 22.9 14.5
1995 621,698 271,613 43.7 34.1 9.6
1994 395,472 -7,798 -2.0 -1.5 -0.5
1993 464,340 106,437 22.9 7.1 15.8
1992 489,434 59,919 12.2 8.2 4.0
1991 494,528 293,369 59.1 23.7 35.4
1990 386,981 -2,440 -0.6 -7.0 6.4
1989 600,377 252,721 42.1 27.3 14.8
1988 285,849 -12,834 -4.5 12.4 -16.9
1987 473,774 6,275 1.3 2.1 -0.8
1986 474,528 147,038 30.8 17.8 13.0
1985 452,264 119,307 26.5 26.1 0.4
1984 254,528 -52,987 -21.0 0.8 -21.8
1983 480,755 119,372 24.7 17.3 7.4
1982 342,264 147,990 43.8 14.8 29.0
1981 127,359 -27,508 -21.8 -10.1 -11.7

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

 

Trading Statistics

   
Total # of positions taken: 2,237
# of winning positions (winning %): 1005 (45%)
Average gain(%) per winning position: 53%
Average loss(%) per losing position: 12%
Profit factor**: 3.7
Maximum gain(%) on a position: 2,572%
Maximum loss(%): -56%
Annualized return on average invested capital: 20%
Average invested capital: $525,780
Average # of positions held: 53
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 100 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 U.S. stocks.
 
 

 

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