Quantitative Laboratory
Backtest Studies & Quantitative Research
Every study below tests one trading question against decades of SPY and Nasdaq 100 data, with survivorship bias removed and the full results shown, including the parts that look bad.
Sentiment · 9,000+ trades
I Backtested the CNN Fear & Greed Index Across 9,000+ Trades
“Buy fear, sell greed” is too simple. Moderate fear (20-40) held 3-4 weeks produced the best risk-adjusted SPY returns.
Read the study →Market Context · 85,000 trades
How to Become a Better Trader: Why Market Conditions Matter More Than Your Entry Signal
The broader market environment had more than five times the impact of the RSI entry signal on Nasdaq 100 trades since 2003.
Read the study →Mean Reversion · 1,668 trades
Buying Weakness on the Nasdaq 100: A Strategy Nobody Recommends
Four rules, no stop loss: 1.69 profit factor, 11.97% APR, and the same results in an out-of-sample test through 2008.
Read the study →Portfolio Design · 7 systems
Building a Better System From a Bunch of Average Ones
Seven uncorrelated Bensdorp systems in a WealthLab Meta Strategy: 16.70% APR with an 8.22% max drawdown.
Read the study →System Evaluation · SPY
The “82% Win Rate” SPY System and the Metrics That Actually Matter
A popular Google-ranked SPY system, replicated: 8.8% annual return, a −30.5% drawdown, and losers twice the size of winners.
Read the study →RSI · 25 years
The RSI Confirmation Myth: A 25-Year Quantitative Backtest
Buying the falling RSI beat waiting for it to turn back up in 17 of 18 RSI zones tested on the Nasdaq 100.
Read the study →Volatility · 25 years
Does ATR Extension Predict a Reversal?
25 years of Nasdaq 100 data on whether stretched moves snap back, and the answer is not what most traders expect.
Read the study →Read More of Dave's Research on Substack
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