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Daily Pivot Breakout Strategy Backtest
Daily Pivot Backtest Journal · Shared on Aug 19, 2026 · 1094 closed trades
1 Month
-2.38%
YTD
-0.40%
1 Year
+27.39%
Total
+1328.42%
CAGR
+14.31%
Performance
Deposit-adjusted time-weighted return vs SPY
+1328.42%
Total return
Daily Pivot Breakout Strategy Backtest
SPY
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +9.3% | +2.6% | -5.8% | +5.8% | -2.6% | -0.7% | -9.4% | +1.5% | -0.4% | ||||
| 2025 | +7.6% | -6.7% | -6.0% | -4.2% | -0.4% | +1.4% | -1.4% | +13% | +17% | +2.2% | +3.9% | +0.0% | +26% |
| 2024 | +2.2% | +5.2% | +6.5% | -9.2% | +6.4% | +2.4% | +1.8% | +1.2% | +2.8% | -1.7% | +22% | -6.7% | +34% |
| 2023 | -0.9% | +1.5% | -1.8% | -2.6% | -2.4% | +12% | +4.0% | -1.8% | -3.7% | -2.1% | +8.6% | +7.2% | +18% |
| 2022 | -8.7% | -0.3% | +4.5% | -1.0% | +0.3% | -1.7% | +1.4% | +2.8% | -4.5% | +2.2% | +1.0% | -3.6% | -7.9% |
| 2021 | +2.6% | +7.5% | -0.1% | +6.6% | +1.5% | +1.5% | +0.3% | +6.1% | -5.5% | +9.0% | -1.2% | +3.2% | +35% |
| 2020 | +2.0% | -8.2% | -5.4% | +1.1% | +0.1% | +2.8% | +6.3% | +2.6% | -8.0% | +2.7% | +14% | +7.1% | +16% |
| 2019 | +0.8% | -0.7% | -0.3% | +0.2% | +2.5% | +4.5% | +4.4% | +1.9% | -6.4% | +0.6% | +2.2% | +1.2% | +11% |
| 2018 | +5.7% | -2.7% | +2.5% | +1.5% | +4.1% | +0.4% | +2.3% | +8.3% | +1.5% | -11% | +0.2% | -3.5% | +8.6% |
| 2017 | +3.2% | +6.9% | +0.3% | +4.3% | +1.6% | -1.6% | +4.8% | +1.7% | +2.7% | +2.6% | +3.1% | -1.3% | +32% |
| 2016 | -3.4% | +0.3% | +0.5% | +2.1% | -3.7% | +3.7% | +16% | -4.4% | -0.1% | -1.2% | +5.8% | +1.8% | +17% |
| 2015 | -1.4% | +5.7% | +5.0% | -4.8% | +4.6% | +2.0% | +2.2% | -9.6% | -1.7% | +2.3% | +0.8% | -2.5% | +1.5% |
| 2014 | -0.3% | +9.3% | -3.3% | -3.4% | +4.5% | +5.7% | -3.5% | +8.2% | -3.4% | -6.8% | +0.5% | -0.9% | +5.3% |
| 2013 | +6.5% | +0.6% | +5.3% | -1.7% | +5.9% | -4.1% | +9.8% | -2.0% | +11% | +3.0% | +7.9% | +0.1% | +50% |
| 2012 | +1.6% | +1.9% | +6.6% | -1.1% | -7.5% | -0.6% | -3.3% | +0.7% | +7.5% | -1.9% | -2.6% | +3.3% | +3.8% |
| 2011 | -0.3% | +7.1% | +5.2% | +4.8% | -3.8% | -2.5% | -0.8% | -13% | -0.5% | +1.6% | -1.5% | +1.8% | -3.0% |
| 2010 | -6.0% | +3.5% | +10% | +5.7% | -11% | -1.0% | +4.3% | -1.7% | +6.4% | +2.3% | +3.5% | -0.4% | +15% |
| 2009 | 0.0% | 0.0% | 0.0% | +0.2% | +3.3% | -6.6% | +9.7% | +0.7% | +8.6% | -2.5% | +6.7% | +6.0% | +28% |
| 2008 | -8.1% | -0.1% | +0.5% | -0.2% | +1.5% | +0.7% | -4.3% | -0.8% | -2.1% | 0.0% | 0.0% | 0.0% | -13% |
| 2007 | +2.2% | +1.5% | +0.2% | +4.7% | +7.5% | +3.4% | -5.1% | -4.3% | +3.6% | +6.8% | -5.1% | +0.2% | +16% |
| 2006 | +3.4% | +3.4% | +4.3% | +11% | |||||||||
| Avg | +0.7% | +1.7% | +1.2% | +0.4% | +0.6% | +1.1% | +2.0% | +0.6% | +1.3% | +0.6% | +3.7% | +0.9% | — |
Daily Activity
Trade opens and closes over the last 12 months
Aug 2025 – Aug 2026
M
W
F
AugSepOctNovDecJanFebMarAprMayJunJulAug
LessMore
-23.60% Max Drawdown
Daily Pivot Breakout Strategy Backtest Drawdown
Portfolio Info
Current Positions16
Avg Trades / Month7.9
Avg Hold Time4.3 months
Last ActiveAug 19, 2026
Start DateOct 2, 2006
Risk Metrics
Sharpe Ratio0.84
Sortino Ratio0.77
Volatility17.8%
Max Drawdown-23.60%
Correlation to S&P 5000.53
Return Statistics
Avg Daily Return+0.06%
Best Day+4.63%
% Green Days53.6%
Longest Win Streak12 days
Asset Allocation
Stocks
100%
- Stocks100%
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Open Positions(16)
| Symbol | Side | Open P/L % |
|---|---|---|
| SE | long | -0.38% |
| ANET | long | -2.84% |
| SNDK | long | -1.40% |
| TVTX | long | +7.44% |
| MPWR | long | -6.11% |
| LITE | long | -2.60% |
| RELY | long | -1.37% |
| HPE | long | +1.74% |
| TER | long | -4.45% |
| NET | long | +6.07% |
Closed Trades(1094)
| Symbol | Side |
|---|---|
| COHR | long |
| COHR | long |
| FSLY | long |
| ALAB | long |
| HUT | long |
| ACHC | long |
| EXTR | long |
| HIMS | long |
| HOOD | long |
| RBRK | long |
Returns are time-weighted and adjusted for deposits/withdrawals. Trade stats use closed trades only. Not financial advice.