@markos
Its no problem I built the tool for myself to make my backtesting chores quicker and easier so only makes sense to share it with everyone.
I also gain a huge amount of feedback to make the tool more reliable as I am certainly no professional at this. Sharing helps me hone my skills.
Regarding the flat periods early in the study, we have an issue with selection bias. A lot of the symbols in this study just did not exist that far back or they did not produce signals thought that time period. To illustrate that we can look at the number of trades/year over the life of the backtest.
Below is the chart of the Anual P/L with Notable events. The frequency of trades grows in the later years just due to selection bias. If we were testing in a professional backtesting platform this would look much different across a selection of 100 stocks as opposed to 20.
Weekend Trend Trader Rate of Change = 10
Events | Year | # of Trades | Annual P/L |
| 1985 | 4 | $ (190.07) |
| 1986 | 4 | $ 2.66 |
Flash Crash | 1987 | 6 | $ 25.30 |
| 1988 | 5 | $ 2.03 |
| 1989 | 5 | $ 446.33 |
| 1990 | 5 | $ 499.26 |
| 1991 | 12 | $ 1,611.56 |
| 1992 | 12 | $ 1,393.72 |
| 1993 | 9 | $ 1,834.78 |
| 1994 | 8 | $ 253.18 |
| 1995 | 5 | $ 382.49 |
| 1996 | 16 | $ 1,819.66 |
| 1997 | 14 | $ 8,256.94 |
| 1998 | 10 | $ 20,226.39 |
| 1999 | 17 | $ 22,198.04 |
| 2000 | 20 | $ 11,495.87 |
Tech Bubble | 2001 | 13 | $ 2,519.49 |
| 2002 | 14 | $ (5,575.98) |
| 2003 | 14 | $ (8,684.42) |
| 2004 | 16 | $ (4,179.24) |
| 2005 | 19 | $ 1,004.77 |
| 2006 | 11 | $ (7,328.64) |
| 2007 | 13 | $ 9,295.66 |
| 2008 | 13 | $ 7,273.35 |
GFC | 2009 | 18 | $ 6,925.38 |
| 2010 | 23 | $ 35,353.95 |
| 2011 | 15 | $ 19,726.05 |
| 2012 | 20 | $ 24,185.77 |
| 2013 | 12 | $ 10,165.91 |
| 2014 | 23 | $ 57,885.25 |
| 2015 | 13 | $ 50,379.24 |
| 2016 | 18 | $ 66,463.40 |
| 2017 | 15 | $ 81,024.81 |
| 2018 | 20 | $ 116,557.00 |
| 2019 | 11 | $ 77,166.53 |
| 2020 | 0 | $ - |
Weekend Trend Trader Rate of Change = 20
Events | Year | # of Trades | Annual P/L |
| 1985 | 1 | $ (63.05) |
| 1986 | 3 | $ 215.49 |
| 1987 | 4 | $ 171.64 |
Flash Crash | 1988 | 3 | $ (282.00) |
| 1989 | 5 | $ 359.20 |
| 1990 | 2 | $ 171.37 |
| 1991 | 11 | $ 1,288.09 |
| 1992 | 9 | $ 693.72 |
| 1993 | 9 | $ 245.33 |
| 1994 | 5 | $ 260.95 |
| 1995 | 3 | $ (16.89) |
| 1996 | 13 | $ 1,851.28 |
| 1997 | 15 | $ 3,960.34 |
| 1998 | 9 | $ 5,797.80 |
| 1999 | 15 | $ 6,009.33 |
| 2000 | 14 | $ 6,016.32 |
Tech Bubble | 2001 | 9 | $ (1,567.46) |
| 2002 | 9 | $ 355.29 |
| 2003 | 11 | $ (4,168.19) |
| 2004 | 11 | $ 1,145.62 |
| 2005 | 13 | $ 108.36 |
| 2006 | 5 | $ 251.27 |
| 2007 | 9 | $ (2,395.81) |
| 2008 | 6 | $ (5,669.76) |
GFC | 2009 | 15 | $ (5,138.39) |
| 2010 | 20 | $ 1,875.40 |
| 2011 | 13 | $ (1,138.93) |
| 2012 | 14 | $ (760.97) |
| 2013 | 12 | $ 2,961.23 |
| 2014 | 14 | $ 24,786.39 |
| 2015 | 5 | $ 24,682.87 |
| 2016 | 12 | $ 7,723.04 |
| 2017 | 13 | $ 55,738.74 |
| 2018 | 13 | $ (1,150.71) |
| 2019 | 7 | $ 43,186.44 |
| 2020 | 0 | $ - |