Streamlit recommended settings with point-in-time S&P 500 composition (no survivorship bias). Each window runs for exactly 10 years, starting the first trading day (Jan 3) of the given year. Walk-forward, no look-ahead bias. Initial capital $100,000. Highlighted rows = strategy beat SPY.
| Window (10 years) | Total Return | CAGR | SPY Return | SPY CAGR | Alpha | Max DD | SPY Max DD | Final $ | Sharpe | Win Rate | Avg Win | Avg Loss | Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006-01-03 → 2016-01-03 | +9.0% | +0.9% | +92.9% | +7.0% | -83.9% | -69.8% | -55.2% | $109,034 | 0.19 | 52.0% | +19.1% | -18.4% | 202 |
| 2007-01-03 → 2017-01-03 | +58.1% | +4.7% | +96.2% | +7.0% | -38.1% | -69.8% | -55.2% | $158,129 | 0.30 | 52.5% | +18.5% | -15.4% | 202 |
| 2008-01-03 → 2018-01-03 | +8.2% | +0.8% | +130.1% | +8.7% | -121.9% | -69.7% | -51.9% | $108,248 | 0.17 | 49.5% | +17.4% | -14.3% | 204 |
| 2009-01-03 → 2019-01-03 | +99.1% | +7.1% | +222.6% | +12.4% | -123.5% | -46.9% | -27.1% | $199,058 | 0.40 | 51.0% | +17.3% | -12.3% | 196 |
| 2010-01-03 → 2020-01-03 | +76.7% | +5.9% | +247.5% | +13.3% | -170.8% | -46.9% | -19.3% | $176,646 | 0.36 | 51.3% | +16.0% | -12.0% | 195 |
| 2011-01-03 → 2021-01-03 | +210.8% | +12.0% | +259.1% | +13.7% | -48.2% | -36.3% | -33.7% | $310,844 | 0.58 | 54.0% | +16.6% | -11.3% | 187 |
| 2012-01-03 → 2022-01-03 | +386.8% | +17.1% | +353.8% | +16.3% | +33.0% | -36.3% | -33.7% | $486,782 | 0.75 | 53.3% | +19.6% | -10.8% | 184 |
| 2013-01-03 → 2023-01-03 | +337.2% | +15.9% | +214.6% | +12.2% | +122.6% | -36.3% | -33.7% | $437,189 | 0.69 | 52.2% | +19.0% | -10.5% | 186 |
| 2014-01-03 → 2024-01-03 | +274.3% | +14.1% | +207.1% | +11.9% | +67.2% | -36.3% | -33.7% | $374,314 | 0.63 | 51.0% | +17.9% | -10.1% | 192 |
| 2015-01-03 → 2025-01-03 | +527.5% | +20.2% | +249.3% | +13.3% | +278.2% | -36.3% | -33.7% | $627,466 | 0.81 | 54.2% | +19.6% | -10.5% | 192 |
| 2016-01-03 → 2026-01-03 | +701.4% | +23.1% | +301.0% | +14.9% | +400.4% | -36.3% | -33.7% | $801,393 | 0.86 | 53.1% | +21.8% | -10.9% | 196 |
2016-01-03 → 2026-01-03
CAGR: +23.1%
2008-01-03 → 2018-01-03
CAGR: +0.8%