SPX500 trading signals

Monthly returns

Percent of the starting capital gained or lost in each month (UTC). A month with no closed trade is 0.0.

By year

Return and drawdown in percent of the starting capital; the drawdown is measured inside the year, from its own high.

By system

In R, so risk and reinvesting do not change it; the spread and commission switch does.

How it is counted: a trade counts when it closes, so drawdowns are measured on closed trades, not at the worst point of an open one. Without reinvesting, every trade risks the same share of the starting capital, and every percentage — monthly, yearly and drawdown — is in points of that starting capital; with it, trades risk a share of the equity at the time and every percentage is of the equity then. With typical spread and commission switched off, results are before costs; switched on, each trade’s own spread and commission, in R, is taken off its result. The Sharpe ratio is annual: annualised from monthly returns (×√12), with no risk-free rate.