Buy & Hold of SPY on profitable months

After reading Sanz Prophet blog post on analysis of monthly profit and loss of S&P500, I was curious to see if using a simple buy and hold on the profitable months (Mar, Apr, Oct, Nov, Dec) would be successful. The strategy buys on the first day of the month and sells on the last day of the month.

Clone Algorithm
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Backtest from to with initial capital ( data)
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Information Ratio
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Benchmark Returns
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Volatility
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Max Drawdown
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Information Ratio 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
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1 response

Very Nice Algo